Hedge fund return higher moments over the business cycle
François-Éric Racicot, Raymond Théoret
| Year of publication: |
2019
|
|---|---|
| Authors: | Racicot, François-Éric ; Théoret, Raymond |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 78.2019, p. 73-97
|
| Subject: | EGARCH | Hedge fund | Higher moments | Macroeconomic shocks | Markov regime-switching model | Robust IV | Hedgefonds | Konjunktur | Business cycle | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | Schock | Shock | Volatilität | Volatility | ARCH-Modell | ARCH model | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Statistische Verteilung | Statistical distribution | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2018.08.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012198849