We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the individual stocks that comprise the index. This difference may hint towards an synchronize of the draw downs of the stocks.
CITATION STYLE
Simonsen, I., Johansen, A., & Jensen, M. H. (2006). Investment horizons : A time-dependent measure of asset performance. In Practical Fruits of Econophysics (pp. 246–251). Springer-Verlag. https://doi.org/10.1007/4-431-28915-1_45
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