Kang, Byoung Uk; In, Francis; Kim, Gunky; Kim, Tong Suk - In: Journal of Financial and Quantitative Analysis 45 (2010) 03, pp. 763-789
This paper reexamines, at a range of investment horizons, the asymmetric dependence between hedge fund returns and market returns. Given the current availability of hedge fund data, the joint distribution of longer-horizon returns is extracted from the dynamics of monthly returns using the...