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.
2023
2022
Inglese
ANNALS OF FINANCE
19
265
289
25
2-s2.0-85145214190
Esperti anonimi
internazionale
scientifica
Asset portfolio
Drawdown risk measure
GARCH models
High-frequency data
Right censoring
Weighted-indexed semi-Markov models
Goal 4: Quality education
no
Masala, G.; Petroni, F.
1.1 Articolo in rivista
info:eu-repo/semantics/article
1 Contributo su Rivista::1.1 Articolo in rivista
262
2
none
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