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An econometric analysis of drawdown based measures. (English) Zbl 07819627

Malyarenko, Anatoliy (ed.) et al., Stochastic processes, statistical methods, and engineering mathematics. SPAS 2019, Västerås, Sweden, September 30 – October 2, 2019. Cham: Springer. Springer Proc. Math. Stat. 408, 489-510 (2022).
MSC:  91G70 62M10
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