Computing the Substantial-Gain-Loss-Ratio

Voelzke, J; Mentemeier, S

Voelzke, J (reprint author), Univ Munster, Dept Econ, Munster, Germany.

COMPUTATIONAL ECONOMICS, 2019; 54 (2): 613

Abstract

The Substantial-Gain-Loss-Ratio (SGLR) was developed to overcome some drawbacks of the Gain-Loss-Ratio (GLR) as proposed by Bernardo and Ledoit (J Pol......

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