Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10003787229
Persistent link: https://www.econbiz.de/10003839319
Persistent link: https://www.econbiz.de/10003702734
Persistent link: https://www.econbiz.de/10009244982
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...
Persistent link: https://www.econbiz.de/10013148831