Drawdown risk measures for asset portfolios with high frequency data
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DOI: 10.1007/s10436-022-00421-y
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More about this item
Keywords
Drawdown risk measure; Weighted-indexed semi-Markov models; Asset portfolio; High-frequency data; Right censoring; GARCH models;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G30 - Financial Economics - - Corporate Finance and Governance - - - General
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