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Testing Non-Linear Dependence in the Hedge Fund Industry
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Testing Non-Linear Dependence in the Hedge Fund Industry (2010)Testing Non-Linear Dependence in the Hedg…Quantitative Risk Management (2012)Quantitative Risk ManagementQuantitative Risk Management (2011)Quantitative Risk ManagementAn econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…Risk Management for Hedge Funds: Introduction and Overview (2001)Risk Management for Hedge Fun…Do Hedge Funds Hedge? (2001)Do Hedge Funds Hedge?Characteristics of Risk and Return in Risk Arbitrage (2001)Characteristics of Risk and R…Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Empirical Characteristics of …Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…A contingent claim approach to performance evaluation (1994)A contingent claim approach t…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Option Pricing With V. G. Martingale Components1 (1991)Option Pricing With V. G. Mar…On Timing and Selectivity (1986)On Timing and SelectivityEstimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Is Infrastructure Capital Productive? A Dynamic Heterogeneous Approach (2011)Is Infrastructure Capital Pro…Consumption and Initial Mortgage Conditions: Evidence from Survey Data (2011)Consumption and Initial Mortg…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Some New Stock-Market Indexes (1966)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Pricing of Options and Corporate Liabilities (1973)Hedge Fund Benchmarks: A Risk-Based Approach (2004)Presidential Address: Discount Rates (2011)Testing Linearity Against Smooth Transition Autoregressive Models (1988)A nonlinear approach to US GNP (1995)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Introductory Econometrics for Finance (2008)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)What matters for financial development? Capital controls, institutions, and interactions (2005)Time Series Momentum (2011)… and the Cross-Section of Expected Returns (2015)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)The Limits of Arbitrage (1995)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)A Survey of Systemic Risk Analytics (2012)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Modelling Extremal Events (1997)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)Goodness-of-fit tests for copulas: A review and a power study (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 2011Quantitative Risk Management998 cited
  • 2001Characteristics of Risk and Return in Risk Arbitrage765 cited
  • 2001Do Hedge Funds Hedge?523 cited
  • 1991Option Pricing With V. G. Martingale Components1411 cited
  • 2012Quantitative Risk Management399 cited
  • 2001Risk Management for Hedge Funds: Introduction and Overview379 cited
  • 1986On Timing and Selectivity273 cited
  • 1994

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A contingent claim approach to performance evaluation
255 cited

Cited by

  • 2011Is Infrastructure Capital Productive? A Dynamic Heterogeneous Approach66 cited
  • 2011Consumption and Initial Mortgage Conditions: Evidence from Survey Data55 cited