当前位置: X-MOL 学术Adv. Complex Syst. › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
A SEMI-MARKOVIAN APPROACH TO DRAWDOWN-BASED MEASURES
Advances in Complex Systems ( IF 0.4 ) Pub Date : 2021-06-23 , DOI: 10.1142/s0219525920500204
GUGLIELMO D’AMICO 1 , BICE DI BASILIO 1 , FILIPPO PETRONI 2
Affiliation  

In this paper we assess the suitability of weighted-indexed semi-Markov chains (WISMC) to study risk measures as applied to high-frequency financial data. The considered measures are the drawdown of fixed level, the time to crash, the speed of crash, the recovery time and the speed of recovery; they provide valuable information in portfolio management and in the selection of investments. The results obtained by implementing the WISMC model are compared with those based on the real data and also with those achieved by GARCH and EGARCH models. Globally, the WISMC model performs much better than the other econometric models for all the considered measures unless in the cases when the percentage of censored units is more than 30% where the models behave similarly.

中文翻译:

基于回撤措施的半马尔可夫方法

在本文中,我们评估了加权索引半马尔可夫链 (WISMC) 对研究应用于高频金融数据的风险度量的适用性。考虑的措施是固定水平的回撤、崩盘时间、崩盘速度、恢复时间和恢复速度;它们为投资组合管理和投资选择提供有价值的信息。通过实施 WISMC 模型获得的结果与基于真实数据的结果以及 GARCH 和 EGARCH 模型获得的结果进行了比较。在全球范围内,WISMC 模型在所有考虑的措施上都比其他计量经济模型表现得更好,除非在审查单位的百分比超过 30% 且模型表现相似的情况下。
更新日期:2021-06-23
down
wechat
bug