Assessing and valuing the nonlinear structure of hedge fund returns
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- Antonio Diez de los Rios & René Garcia, 2006. "Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns," Staff Working Papers 06-31, Bank of Canada.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Javier Mencía, 2012.
"Testing Nonlinear Dependence in the Hedge Fund Industry,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 10(3), pages 545-587, June.
- Javier Mencía, 2010. "Testing non-linear dependence in the hedge fund industry," Working Papers 1007, Banco de España;Working Papers Homepage.
- Antonio Diez de los Rios & René Garcia, 2011. "The option CAPM and the performance of hedge funds," Review of Derivatives Research, Springer, vol. 14(2), pages 137-167, July.
- Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
- Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015. "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers 21449, National Bureau of Economic Research, Inc.
- Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme," Working Papers 2013-22, Center for Research in Economics and Statistics.
- Roncalli, Thierry & Weisang, Guillaume, 2011.
"Tracking Problems, Hedge Fund Replication, and Alternative Beta,"
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Capco Institute, vol. 31, pages 19-29.
- Roncalli, Thierry & Weisang, Guillaume, 2008. "Tracking problems, hedge fund replication and alternative beta," MPRA Paper 37358, University Library of Munich, Germany.
More about this item
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
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