Do hedge funds hedge? In negative states of the world, often not as much as they should. For several styles, we report larger market betas when market returns are low (i.e., “beta in the tails”). We justify this finding through a combination of negative-mean jumps in the market returns and...

We propose a functional estimation procedure for homogeneous stochastic differential equations based on a discrete sample of observations and with minimal requirements on the data generating process. We show how to identify the drift and diffusion function in situations where one or the other...

A simple and robust approach is proposed for the parametric estimation of scalar homogeneous stochastic differential equations. We specify a parametric class of diffusions and estimate the parameters of interest by minimizing criteria based on the integrated squared difference between kernel...