Developments in the world of finance have led the authors to assess the adequacy of using the normal distribution assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence, this paper attempts to analyse statistical...

Extending previous work on hedge fund return predictability, this paper introduces the idea of modelling the conditional distribution of hedge fund returns using Student-t full-factor multivariate GARCH models. This class of models takes into account the stylized facts of hedge fund return...