Wegener, Christian; von Nitzsch, Rüdiger; Cengiz, Cetin - In: Journal of Banking & Finance 34 (2010) 11, pp. 2694-2708
This paper advances the research on the predictability in hedge fund returns, using a broad set of risk factors within a variety of different prediction models. Accounting for the fact that returns are non-normally distributed, heteroscedastic and time-varying in their exposure to pervasive...