Risk measures for autocorrelated hedge fund returns
Antonio Di Cesare; Philip A. Stork; Casper G. de Vries
| Year of publication: |
2011
|
|---|---|
| Authors: | Di Cesare, Antonio ; Stork, Philip ; Vries, Casper G. de |
| Publisher: |
Rotterdam |
| Subject: | Hedge funds | Serial correlation | Systemic risk | VaR | Pareto distribution | Hedgefonds | Hedge fund | Kapitaleinkommen | Capital income | Autokorrelation | Autocorrelation | Risiko | Risk | Messung | Measurement |
freely available
| Extent: | Online-Ressource (PDF-Datei: 44 S., 0,6 MB) graph. Darst. |
|---|---|
| Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2011,084 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | hdl:10419/87215 [Handle] |
| Classification: | G12 - Asset Pricing ; G23 - Pension Funds; Other Private Financial Institutions ; G28 - Government Policy and Regulation |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009230368