Autocorrelation effects on CTA and equity risk measurement
Year of publication: |
2013
|
---|---|
Authors: | Burghardt, Galen ; Liu, Lianyan |
Published in: |
The journal of alternative investments. - New York, NY : Pageant Media Ltd., ISSN 1520-3255, ZDB-ID 2049760-X. - Vol. 16.2013/14, 1, p. 19-42
|
Subject: | Hedgefonds | Hedge fund | Performance-Messung | Performance measurement | Autokorrelation | Autocorrelation | Systemrisiko | Systemic risk |
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