{"title":"具有高频数据的资产组合的回撤风险度量","authors":"Giovanni Masala, Filippo Petroni","doi":"10.1007/s10436-022-00421-y","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":0.8000,"publicationDate":"2022-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-022-00421-y.pdf","citationCount":"0","resultStr":"{\"title\":\"Drawdown risk measures for asset portfolios with high frequency data\",\"authors\":\"Giovanni Masala, Filippo Petroni\",\"doi\":\"10.1007/s10436-022-00421-y\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":45289,\"journal\":{\"name\":\"Annals of Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2022-12-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://link.springer.com/content/pdf/10.1007/s10436-022-00421-y.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Annals of Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://link.springer.com/article/10.1007/s10436-022-00421-y\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of Finance","FirstCategoryId":"1085","ListUrlMain":"https://link.springer.com/article/10.1007/s10436-022-00421-y","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Drawdown risk measures for asset portfolios with high frequency data
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.
期刊介绍：
Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance
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