Drawdown risk measures for asset portfolios with high frequency data
Masala G.;
2023-01-01
Abstract
In this paper, we analyze Drawdown-based risk measures for an equity portfolio with high-frequency data. The returns of individual stocks are modeled through multivariate weighted-indexed semi-Markov chains with a copula dependence structure. Through this recently published model, we show that the estimate of Drawdown-based risk measures is more faithful than that obtained with the application of classic econometric models.Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.