Similar Search Results

Are hedge fund managers systematically misreporting? Or not?

Jorion, Philippe; Schwarz, Christopher - In: Journal of financial economics 111 (2014) 2, pp. 311-327

Persistent link: https://www.econbiz.de/10010255518

Bayesian nonparametric measurement of factor betas and clustering with application to hedge fund returns

Garay, Urbi; Horst, Enrique ter; Molina, German; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23

We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...

Persistent link: https://www.econbiz.de/10011505836

Equity hedge fund performance, cross-sectional return dispersion, and active share

Smith, David M. - In: Research in finance 30 (2014), pp. 1-22

Persistent link: https://www.econbiz.de/10010406342

Cross-hedging minimum return guarantees : basis and liquidity risks

Ankirchner, Stefan; Schneider, Judith Christiane; … - In: Journal of economic dynamics & control 41 (2014), pp. 93-109

Persistent link: https://www.econbiz.de/10010425003

Oil price fluctuation, volatility spillover and the Ghanaian equity market : implication for portfolio management and hedging effectiveness

Lin, Boqiang; Wesseh, Presley K.; Owusu Appiah, Michael - In: Energy economics 42 (2014), pp. 172-182

Persistent link: https://www.econbiz.de/10010502950

The impact of quantitative methods on hedge fund performance

Chincarini, Ludwig Boris - In: European financial management : the journal of the … 20 (2014) 5, pp. 857-890

Persistent link: https://www.econbiz.de/10010504235

On the characteristics of dynamic correlations between asset pairs

Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K. - In: Research in international business and finance 32 (2014), pp. 60-82

Persistent link: https://www.econbiz.de/10010434475

Income hedging and portfolio decisions

Bonaparte, Yosef; Korniotis, George M.; Bohara, Alok Kumar - In: Journal of financial economics 113 (2014) 2, pp. 300-324

Persistent link: https://www.econbiz.de/10010479538

Dynamic hedge fund portfolio construction

Harris, Richard D. F.; Mazibas, Murat - In: International review of financial analysis 19 (2010) 5, pp. 351-357

Persistent link: https://www.econbiz.de/10009272647

Hedging effectiveness under conditions of asymmetry

Cotter, John; Hanly, Jim - In: The European journal of finance 18 (2012) 1/2, pp. 135-147

Persistent link: https://www.econbiz.de/10009565247