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Purpose – The purpose of this paper is to propose that simple measures of linear association are unable to capture accurately the dependence between the survival of hedge funds and funds of funds, respectively. The paper then aims to advocate the use of copulas to model the joint survival of...
Persistent link: https://www.econbiz.de/10014940217
This paper proposes a new model called Fourier-GARCH that is a modification of the popular GARCH(1,1). This modification allows for time-varying first and second moments via means of Flexible Fourier transforms. A nice feature of this model is its ability to capture both short and long run...
Persistent link: https://www.econbiz.de/10015230095
This paper proposes a new model called Fourier-GARCH that is a modification of the popular GARCH(1,1). This modification allows for time-varying first and second moments via means of Flexible Fourier transforms. A nice feature of this model is its ability to capture both short and long run...
Persistent link: https://www.econbiz.de/10009418510
Purpose – The purpose of this paper is to propose that simple measures of linear association are unable to capture accurately the dependence between the survival of hedge funds and funds of funds, respectively. The paper then aims to advocate the use of copulas to model the joint survival of...
Persistent link: https://www.econbiz.de/10010691523
Persistent link: https://www.econbiz.de/10009886641
Persistent link: https://www.econbiz.de/10010017474
Persistent link: https://www.econbiz.de/10008651223
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