This paper studies the performance of a sample of funds of hedge funds (FoHFs) from January 1994 to August 2009. We apply the false discoveries (FD) technique of Barras, Scaillet and Wermers (2010) to separate the FoHFs into skilled, zero-alpha and unskilled. We measure the alpha of the FoHFs...

We introduce an approximate dynamic factor model for modeling and forecasting large panels of realized volatilities. Since the model is estimated by means of principal components and low dimensional maximum likelihood, it does not suffer from the curse of dimensionality. We apply the model to a...