Teiletche, Jérôme; Pochon, Florent - Université Paris-Dauphine (Paris IX) - 2006
This article applies a two-step conditional Bayesian approach to hedge fund risk. First, a mixture or-two normal distributions is estimated for a core asset; one distribution being identified as linked to a "quiet" regime and the other to a "hectic" regime. The conditional probabilities of each...