Discrimination against kin as mates, via genetic or environmentally derived cues of relatedness, can prevent inbreeding and thus enhance individual fitness and promote population survival. Sex in the parasitoid wasp Cotesia glomerata L. (Hymenoptera: Braconidae) is determined by one locus with...

This paper analyses the short- and long-term relationships between hedge funds and traditional financial assets using multivariate cointegration analysis in order to investigate if the fees charged by hedge funds are justified for the kind of exposure they provide to investors. We therefore...

This paper presents a new approach to analysing real estate rental adjustment processes. We model the rental adjustment process in U.K. commercial real estate sectors by using non-linear smooth transition (auto)regression (ST(A)R) models. The ST(A)R models, which clearly outperform their linear...

This paper is the first to use quantile regression to analyze the impact of experience and size of funds of hedge funds (FHFs) on performance. In comparison to OLS regression, quantile regression provides a more detailed picture of the influence of size and experience on FHF return behaviour....

This paper adapts Meucci's [2006a, 2006b] copula opinion pooling (COP) framework to examine whether fixed income hedge fund strategies enhance the risk-return spectrum of traditional bond portfolios. In contrast to the Black-Litterman setup, the COP approach does not rely on linear dependencies,...

This paper examines the long-term impact and short-term dynamics of macroeconomic variables on international housing prices. Since adequate housing market data are generally not available and usually of low frequency, a panel conitegration analysis consisting of 15 countries over a period of...

This paper examines the in- and out-of-sample performance of various value-at-risk (VaR) approaches for commodity futures investments: conventional VaR, the Cornish-Fisher (CF) VaR, GARCH-type VaR models, and semi-parametric conditional autoregressive value-at-risk (CAViaR) models, which do not...