Risk measures for autocorrelated hedge fund returns
Antonio Di Cesare, Philip A. Stork, and Casper G. de Vries
| Year of publication: |
2015
|
|---|---|
| Authors: | Di Cesare, Antonio ; Stork, Philip ; Vries, Casper G. de |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 13.2015, 4, p. 868-895
|
| Subject: | hedge funds | Pareto distribution | serial correlation | systemic risk | VaR | Hedgefonds | Hedge fund | Autokorrelation | Autocorrelation | Risiko | Risk | Kapitaleinkommen | Capital income | Messung | Measurement | Risikomaß | Risk measure | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbu023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011417824