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Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data

✍ Scribed by Taras Bodnar, Wolfgang Schmid, Taras Zabolotskyy

Book ID
120744705
Publisher
Springer
Year
2013
Tongue
English
Weight
574 KB
Volume
76
Category
Article
ISSN
0026-1335

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Estimation of the maximum and minimum in
Estimation of the maximum and minimum in a model for bounded, dependent data
✍ Adam T. Martinsek πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 140 KB

Estimation of the maximum and minimum is considered in a random coe cient autoregressive model for bounded data. Limiting distributions and conΓΏdence intervals are obtained, for nonrandom sample sizes and also for a stopping rule designed to achieve su cient precision of the estimates.