This paper extends the class of asset-based style factor models with multiple structural breaks to the multivariate setting. We propose a model that allows for the presence of common breaks in a system of factor models for individual hedge fund investment strategies, which share common...

This paper proposes a model that allows for nonlinear risk exposures of hedge funds to various risk factors. A flexible threshold regression model is introduced and a Bayesian approach is developed for model selection and estimation of the thresholds and their unknown number. Relevant risk...

In this paper a Bayesian approach to unit root testing for panel data models is proposed based on the comparison of stationary autoregressive models with and without individual determinist trends, with their counterpart models with unit autoregressive roots. This is done under cross-sectional...

We extend the full-factor multivariate GARCH model of Vrontos, Dellaportas and Politis (2003a) to account for fat tails in the conditional distribution of financial returns, using a multivariate Student-t error distribution. For the new class of Student-t full factor multivariate GARCH models,...