Showing 1 - 9 of 9
This paper focuses on actively managed portfolios of VIX derivatives constructed to reduce portfolio correlation with the equity market. We find that the best results are obtained using Kalman filter-based dynamic CAPM. The portfolio construction method is capable of constructing zero-beta...
Persistent link: https://www.econbiz.de/10010890129
We examine the effects of smoothed hedge fund returns on standard deviation, skewness, and kurtosis of return and on correlation of returns and cross-sectional volatility and covariance of returns using an MA(2)-GARCH(1,1)-skewed-t representation of returns instead of the traditional MA(2) model...
Persistent link: https://www.econbiz.de/10010604273
Many hedge funds attempt to achieve high returns by employing leverage. However, it is difficult to track the degree of leverage used by hedge funds over time because detailed timely information about their positions in asset markets is generally unavailable. This paper discusses how to combine...
Persistent link: https://www.econbiz.de/10010724733
We examine the effects of smoothed hedge fund returns on standard deviation, skewness, and kurtosis of return and on correlation of returns and cross-sectional volatility and covariance of returns using an MA(2)-GARCH(1,1)-skewed-t representation of returns instead of the traditional MA(2) model...
Persistent link: https://www.econbiz.de/10010724734
In this paper, we estimate alpha for major hedge fund indexes. To set the stage, we examine several alternative methods for replicating Hedge Fund Research Inc. hedge fund indexes. The replication methods include stepwise regression, variations of the lasso shrinkage method, principal component...
Persistent link: https://www.econbiz.de/10010724735
This paper describes the structure of a rule-based econometric forecasting system designed to produce multi-equation econometric models. The paper describes the functioning of a working system which builds the econometric forecasting equation for each series submitted and produces forecasts of...
Persistent link: https://www.econbiz.de/10010724736
This paper describes the structure of a rule-based econometric forecasting system designed to produce multi-equation econometric models. The paper describes the functioning of a working system which builds the econometric forecasting equation for each series submitted and produces forecasts of...
Persistent link: https://www.econbiz.de/10010652346
In this paper, we estimate alpha for major hedge fund indexes. To set the stage, we examine several alternative methods for replicating Hedge Fund Research Inc. hedge fund indexes. The replication methods include stepwise regression, variations of the lasso shrinkage method, principal component...
Persistent link: https://www.econbiz.de/10010661477
Many hedge funds attempt to achieve high returns by employing leverage. However, it is difficult to track the degree of leverage used by hedge funds over time because detailed timely information about their positions in asset markets is generally unavailable. This paper discusses how to combine...
Persistent link: https://www.econbiz.de/10010579422