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Hedge fund return higher moments over the business cycle

Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97

Persistent link: https://www.econbiz.de/10012198849

Dynamic hedge fund portfolio construction

Harris, Richard D. F.; Mazibas, Murat - In: International review of financial analysis 19 (2010) 5, pp. 351-357

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Time-varying combinations of Bayesian dynamic models and equity momentum strategies

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of …

Persistent link: https://www.econbiz.de/10011563065

Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models

Zhou, Xiaocong; Nakajima, Jouchi; West, Mike - In: International journal of forecasting 30 (2014) 4, pp. 963-980

Persistent link: https://www.econbiz.de/10010517774

Does smooth ambiguity matter for asset pricing?

Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018

models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … structural estimation. Based on the market and aggregate consumption data, our estimation provides statistical support for asset …

Persistent link: https://www.econbiz.de/10011780610