Interval estimation for the Sharpe Ratio when returns are not i.i.d. with special emphasis on the GARCH(1,1) process with symmetric innovations
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References listed on IDEAS
- Whitney K. Newey & Kenneth D. West, 1994.
"Automatic Lag Selection in Covariance Matrix Estimation,"
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- Newey, W.K. & West, K.D., 1992. "Automatic Lag Selection in Covariance Matrix Estimation," Working papers 9220, Wisconsin Madison - Social Systems.
- Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
- Andrews, Donald W K & Monahan, J Christopher, 1992.
"An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator,"
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- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(03), pages 318-334, September.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lucio Capitani & Leo Pasquazzi, 2015. "Inference for performance measures for financial assets," METRON, Springer;Sapienza Università di Roma, vol. 73(1), pages 73-98, April.
More about this item
KeywordsFinancial performance measures; Stationary and ergodic process; Central limit theorem for dependent data; Newey–West estimator;
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