Bayesian nonparametric measurement of factor betas and clustering with application to hedge fund returns
Year of publication: |
2016
|
---|---|
Authors: | Garay, Urbi ; ter Horst, Enrique ; Molina, German ; Rodriguez, Abel |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 4.2016, 1, p. 1-23
|
Publisher: |
Basel : MDPI |
Subject: | nonparametric clustering | Bayesian | cluster | nonparametric alpha and beta | hedge fund performance |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/econometrics4010013 [DOI] 863430872 [GVK] hdl:10419/171866 [Handle] |
Classification: | C2 - Econometric Methods: Single Equation Models ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods |
Source: |
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