On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns
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- François-Éric Racicot & William F. Rentz & Alfred L. Kahl, 2017. "Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(1), pages 75-90, February.
More about this item
KeywordsHedge funds returns; Alpha of Jensen; Financial models; Cumulants; Higher moments; Specification errors; Aggregation bias; C10; G10; G20;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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