Harris, Richard D.F.; Mazibas, Murat - In: International Review of Financial Analysis 19 (2010) 5, pp. 351-357
In this paper, we provide further evidence on the use of multivariate conditional volatility models in hedge fund risk measurement and portfolio allocation, using monthly hedge fund index return data for the period 1990 to 2009. Building on Giamouridis and Vrontos (2007), we consider a broad set...