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A joint survival analysis of hedge funds and funds of funds using copulas
Gregoriou, Greg N.; Pascalau, Razvan - In: Managerial Finance 38 (2011) 1, pp. 82-100
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
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Selecting prior year's top fund of hedge funds as this year's choice
Gregoriou, Greg N.; Pascalau, Razvan - In: The journal of wealth management 13 (2010) 2, pp. 61-68
Persistent link: https://www.econbiz.de/10008651223
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Nonlinear financial econometrics : Markov switching models, persistence and nonlinear cointegration
Gregoriou, Greg N. (ed.); Pascalau, Razvan (contributor) - 2011
Persistent link: https://www.econbiz.de/10008654596
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Financial econometrics modeling : market microstructure, factor models and financial risk measures
Gregoriou, Greg N. (ed.); Pascalau, Razvan (contributor) - 2011
Persistent link: https://www.econbiz.de/10008654748
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Unconditional mean, volatility, and the FOURIER-GARCH representation
Pascalau, Razvan; Thomann, Christian; Gregoriou, Greg N. - In: Financial econometrics modeling : derivatives pricing, …, (pp. 90-106). 2011
Persistent link: https://www.econbiz.de/10008988010
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A joint survival analysis of hedge funds and funds of funds using copulas
Gregoriou, Greg N.; Pascalau, Razvan - In: Managerial finance 38 (2012) 1, pp. 82-100
Persistent link: https://www.econbiz.de/10009488349
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An application of sensitivity analysis to hedge funds
Gregoriou, Greg N.; Pascalau, Razvan - In: The journal of risk model validation 10 (2016) 1, pp. 21-45
Persistent link: https://www.econbiz.de/10011485150
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Congestion in commodity trading advisors
Gregoriou, Greg N.; Pascalau, Razvan; Chen, Yao - In: INFOR : information systems and operational research 49 (2011) 1, pp. 63-74
Persistent link: https://www.econbiz.de/10009385020
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Financial econometrics modeling : derivatives pricing, hedge funds and term structure models
Gregoriou, Greg N. (ed.); Pascalau, Razvan (ed.) - 2011
Persistent link: https://www.econbiz.de/10008933066
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Diversification in funds of hedge funds : is it possible to overdiversify?
Brown, Stephen J.; Gregoriou, Greg N.; Pascalau, Razvan - In: Review of asset pricing studies 2 (2012) 1, pp. 89-110
Persistent link: https://www.econbiz.de/10009581155