Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10010625503
Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. This paper provides a statistical methodology to unveil such nonlinear features...
Persistent link: https://www.econbiz.de/10010625513