Testing non-linear dependence in the hedge fund industry
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- Javier Mencía, 2012. "Testing Nonlinear Dependence in the Hedge Fund Industry," Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 545-587, June.
References listed on IDEAS
- Antonio Diez De Los Rios & René Garcia, 2011.
"Assessing and valuing the nonlinear structure of hedge fund returns,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(2), pages 193-212, March.
- 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.
- Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," The Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
- Giovanni Barone Adesi & Patrick Gagliardini & Giovanni Urga, 2004. "Testing Asset Pricing Models With Coskewness," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 474-485, October.
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More about this item
Keywords
Generalised Hyperbolic Distribution; Correlation; Asymmetry; Multifactor Models;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2010-04-04 (Econometrics)
- NEP-ETS-2010-04-04 (Econometric Time Series)
- NEP-FMK-2010-04-04 (Financial Markets)
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