Drawdown risk measures for asset portfolios with high frequency data

Giovanni Masala () and Filippo Petroni ()
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Giovanni Masala: Università degli Studi di Cagliari
Filippo Petroni: Università Politecnica delle Marche

Annals of Finance, 2023, vol. 19, issue 2, No 5, 265-289

Abstract: Abstract 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.

Keywords: Drawdown risk measure; Weighted-indexed semi-Markov models; Asset portfolio; High-frequency data; Right censoring; GARCH models (search for similar items in EconPapers)
JEL-codes: C02 G30 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:kap:annfin:v:19:y:2023:i:2:d:10.1007_s10436-022-00421-y

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DOI: 10.1007/s10436-022-00421-y

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