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Application of a Log Likelihood Object in GARCH with T-Distributed Errors and EGARCH with Generalised Error Distribution Model to the Monthly Returns of an Equity Hedge Fund

Guirguis, Michel - 2019

In this article, we have tested the volatility of the monthly returns of an equity hedge fund for changing conditional variances by using a log likelihood model. Generalized autoregressive conditional heteroskedastic models, (GARCH) with t-distributed errors, and exponential generalized...

Persistent link: https://www.econbiz.de/10012890419

The Delisting Bias in Hedge Fund Databases

Jorion, Philippe - 2014

As is well known, hedge fund databases suffer from various types of serious biases. While many of these biases have been addressed, the delisting bias is much more difficult to control. In this paper, we use information from three hedge fund databases to provide direct estimates of this bias....

Persistent link: https://www.econbiz.de/10013063290

Investigating hedge fund performance

Huber, Otto - 2011

-adjustierten Performance von Hedgefonds befassen. Eine mögliche Konsequenz des veränderten Umfeldes ist eine Reduktion der risikoadjustierten … Performance (Alpha) von Hedgefonds. Entgegen dieser Hypothese zeigen die Resultate des ersten Aufsatzes ein positives historisches … empirische Bestätigung für Kapazitätsbeschränkungen. Der zweite Aufsatz befasst sich mit der Performancepersistenz von Hedgefonds …

Persistent link: https://www.econbiz.de/10008989038

A cross-sectional machine learning approach for hedge fund return prediction and selection

Wu, Wenbo; Chen, Jiaqi; Yang, Zhibin; Tindall, Michael L. - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4577-4601

Persistent link: https://www.econbiz.de/10012624639

When wrong is right : leaving room for error in innovation measurement

Jong, Ilse Svensson de - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-14

To date, measuring innovation has not been an exact science. As in many areas of organizational life, errors in measuring innovation are a recurring fact. Innovation researchers and practitioners alike have become increasingly interested in understanding the occurrence of organizational errors...

Persistent link: https://www.econbiz.de/10012626239

Hedge fund boards and the market for independent directors

Clifford, Christopher P.; Ellis, Jesse A.; Gerken, … - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 2067-2101

Persistent link: https://www.econbiz.de/10011959072

Der Lebenszyklus von Hedgefonds : Grundlagen, Modellierung und empirische Evidenz

Kaiser, Dieter G. - 2007 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003423611

Hedge Fund Boards and the Market for Independent Directors

Clifford, Christopher P. - 2017

We provide the first examination of hedge fund boards and their directors. The majority of directorships are held by extremely busy independent directors. These directors are sought after by funds because they have more reputational capital at stake, making them independent and credible monitors...

Persistent link: https://www.econbiz.de/10012972390

The impact of Covid-19 on the performance of hedge funds compared to mutual funds in South Africa

Muridili, Thonifho Pollen; Sgammini, Ruschelle; … - In: International journal of economics and financial issues … 12 (2022) 6, pp. 133-144

Persistent link: https://www.econbiz.de/10014227823

Der Lebenszyklus von Hedgefonds : Grundlagen, Modellierung und empirische Evidenz

Kaiser, Dieter G. (contributor) - 2007

Im Sinne der Effizienzmarkttheorie nutzen Hedgefonds Marktpreisanomalien und dienen damit der Steigerung der … Markteffizienz. Mit auf Arbitrage ausgerichteten Strategien können Hedgefonds überdurchschnittliche risikoadjustierte Erträge … Ineffizienzen zu handeln. Dieter G. Kaiser geht der Frage nach, ob Hedgefonds einem Produktlebenszyklus unterliegen. Hierzu …

Persistent link: https://www.econbiz.de/10014014373