Xin Chen

University of Washington - Department of Applied Mathematics

Box 352420

Seattle, WA 98195-2420

United States

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Scholarly Papers (1)

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Standard Errors of Risk and Performance Estimators with Serially Correlated Returns

Number of pages: 58 Posted: 12 Dec 2017 Last Revised: 17 Jul 2019
Xin Chen and R. Douglas Martin
University of Washington - Department of Applied Mathematics and University of Washington
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Abstract:

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Risk/Performance Measure, Maximum-Likelihood Estimator (MLE), Influence Functions, Estimator Variance, Estimator Standard Error, Generalized Linear Model (GLM), Elastic Net Regularization, Serial Correlation