Hedge fund dynamic market sensitivity
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- Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004.
"An econometric model of serial correlation and illiquidity in hedge fund returns,"
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jiaqi Chen & Michael Tindall, 2013. "Understanding hedge fund alpha using improved replication methodologies," Occasional Papers 13-2, Federal Reserve Bank of Dallas.
- François-Éric Racicot & Raymond Théoret, 2016. "The q-factor model and the redundancy of the value factor: An application to hedge funds," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 526-539, December.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2012-10-20 (Risk Management)
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