Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
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References listed on IDEAS
- Vikas Agarwal, 2004. "Risks and Portfolio Decisions Involving Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 17(1), pages 63-98.
- Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012. "Dynamic risk exposures in hedge funds," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3517-3532.
- Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
More about this item
KeywordsHedge Fund; Risk Management; High frequency data;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-24 (All new papers)
- NEP-CFN-2008-05-24 (Corporate Finance)
- NEP-EFF-2008-05-24 (Efficiency & Productivity)
- NEP-FMK-2008-05-24 (Financial Markets)
- NEP-MST-2008-05-24 (Market Microstructure)
- NEP-RMG-2008-05-24 (Risk Management)
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