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  • Search: subject:"Weighted-indexed semi-Markov models"
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ARCH model 1 ARCH-Modell 1 Assetportfolio 1 Drawdown risk measure 1 Financial market 1 Finanzmarkt 1 GARCH models 1 High-frequency data 1 Measurement 1 Messung 1 Portfolio selection 1 Portfolio-Management 1 Right censoring 1 Risiko 1 Risikomanagement 1 Risikomaß 1 Risk 1 Risk management 1 Risk measure 1 Theorie 1 Theory 1 Volatility 1 Volatilität 1 Weighted-indexed semi-Markov models 1
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Masala, Giovanni 1 Petroni, Filippo 1
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Drawdown risk measures for asset portfolios with high frequency data
Masala, Giovanni; Petroni, Filippo - In: Annals of finance 19 (2023) 2, pp. 265-289
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