Purpose The purpose of this paper is to test the new Fama and French (2015) five-factor model relying on a thorough sample of hedge fund strategies drawn from the Barclay’s Global hedge fund database. Design/methodology/approach The authors use a stepwise regression to identify the factors of...

This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes