Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Bertrand B. Maillet"'
Publikováno v:
Annals of Operations Research.
Publikováno v:
Journal of Economic Surveys
Journal of Economic Surveys, Wiley, 2014, 28 (5), pp.917--942. ⟨10.1111/joes.12041⟩
Journal of Economic Surveys, 2014, 917-942 p
Journal of Economic Surveys, Wiley, 2014, 28 (5), pp.917--942. ⟨10.1111/joes.12041⟩
Journal of Economic Surveys, 2014, 917-942 p
International audience; Performance measurement is one of the most studied subjects in financial literature. Since the introduction of the Sharpe ratio in 1966, a large variety of new measures has appeared constantly in scientific journals as well as
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7defa8d55a50b5abe252a4d2ee7bb319
https://hal.univ-reunion.fr/hal-01243416
https://hal.univ-reunion.fr/hal-01243416
The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the quantification of extreme downward risk. A key reason for this is that risk measures are subject to model risk d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::57e78f24a36e31c363dc282639cf8857
http://eprints.lse.ac.uk/59299/
http://eprints.lse.ac.uk/59299/
Following Bali and Weinbaum (2005) and Maillet et al. (2010), we present several estimates of volatilities computed with high- and low frequency data and complement their results using additional measures of risk and several alternative methods for T
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::973c5f60abd9cf7d8cf382b40ad3773d
http://www.unive.it/media/allegato/DIP/Economia/Working_papers/Working_papers_2010/WP_DSE_maillet_medecin_10_10.pdf
http://www.unive.it/media/allegato/DIP/Economia/Working_papers/Working_papers_2010/WP_DSE_maillet_medecin_10_10.pdf
Publikováno v:
SSRN Electronic Journal.
Autor:
Rousset P; CEREQ, 10 place de la Joliette, F-13567 Marseille, France. rousset@cereq.fr, Guinot C, Maillet B
Publikováno v:
Neural networks : the official journal of the International Neural Network Society [Neural Netw] 2006 Jul-Aug; Vol. 19 (6-7), pp. 838-46. Date of Electronic Publication: 2006 Jul 07.