This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

The tactical and strategic value of hedge fund strategies: a cointegration approach

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Roland Füss ()
Dieter Kaiser ()

Additional information is available for the following registered author(s):

Abstract

No abstract is available for this item.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://hdl.handle.net/10.1007/s11408-007-0060-8
File Format: text/html
File Function:
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Springer in its journal Financial Markets and Portfolio Management.

Volume (Year): 21 (2007)
Issue (Month): 4 (December)
Pages: 425-444
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:fmktpm:v:21:y:2007:i:4:p:425-444

Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=119763

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Hedge fund strategies; Stock markets; Tactical and strategic asset allocation; Portfolio optimization; Multivariate cointegration analysis; Johansen test; C32; G11; G15;

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Chaudhuri, Kausik, 1997. "Cointegration, Error Correction and Granger Causality: An Application with Latin American Stock Markets," Applied Economics Letters, Taylor and Francis Journals, vol. 4(8), pages 469-71, August. [Downloadable!] (restricted)
  2. Craig S. Hakkio & Mark Rush, 1990. "Cointegration: how short is the long run?," Research Working Paper 90-08, Federal Reserve Bank of Kansas City.
    Other versions:
  3. Corhay, A. & Tourani Rad, A. & Urbain, J. -P., 1993. "Common stochastic trends in European stock markets," Economics Letters, Elsevier, vol. 42(4), pages 385-390. [Downloadable!] (restricted)
  4. Shiller, Robert J. & Perron, Pierre, 1985. "Testing the random walk hypothesis : Power versus frequency of observation," Economics Letters, Elsevier, vol. 18(4), pages 381-386. [Downloadable!] (restricted)
    Other versions:
  5. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February. [Downloadable!] (restricted)
  6. David A. Dickey & Dennis W. Jansen & Daniel L. Thornton, 1991. "A primer on cointegration with an application to money and income," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 58-78. [Downloadable!]
  7. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  8. Pan, Ming-Shiun & Liu, Y. Angela & Roth, Herbert J., 1999. "Common stochastic trends and volatility in Asian-Pacific equity markets," Global Finance Journal, Elsevier, vol. 10(2), pages 161-172. [Downloadable!] (restricted)
  9. Bossaerts, Peter, 1988. "Common nonstationary components of asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 347-364. [Downloadable!] (restricted)
  10. Garrett, Ian & Spyrou, Spyros, 1999. "Common Stochastic Trends in Emerging Equity Markets," Manchester School, University of Manchester, vol. 67(6), pages 649-60, December. [Downloadable!] (restricted)
  11. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jaroslaw Morawski & Heinz Rehkugler & Roland Füss, 2008. "The nature of listed real estate companies: property or equity market?," Financial Markets and Portfolio Management, Springer, vol. 22(2), pages 101-126, June. [Downloadable!] (restricted)
  2. Reinhold Hafner & Martin Wallmeier, 2008. "Optimal investments in volatility," Financial Markets and Portfolio Management, Springer, vol. 22(2), pages 147-167, June. [Downloadable!] (restricted)
Statistics
Access and download statistics

Did you know? A tutorial is available.

This page was last updated on 2009-11-7.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.