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How Do Hedge Fund Clones Manage the Real World?
12 references·1 citing·40 second hop
How Do Hedge Fund Clones Manage the Real World? (2009)How Do Hedge Fund Clones Manage the Real …Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller? (2006)Risk and Return in Fixed-Inco…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Multivariate conditional versions of Spearman's rho and related measures of tail dependence (2006)Multivariate conditional vers…Can Hedge-Fund Returns Be Replicated?: The Linear Case (2006)Can Hedge-Fund Returns Be Rep…Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication (2005)Who Needs Hedge Funds? A Copu…Theory of rational option pricing (2005)Theory of rational option pri…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Factor Modeling and Benchmarking of Hedge Funds (2005)Factor Modeling and Benchmark…Detecting Dependence With Kendall Plots (2003)Detecting Dependence With Ken…Characteristics of Risk and Return in Risk Arbitrage (2001)Characteristics of Risk and R…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Hedge Funds: A Dynamic Industry in Transition (2015)Hedge Funds: A Dynamic Indust…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam (2012)Multivariate Frequency-Severity Regression Models in Insurance (2016)Forecasting cryptocurrency returns and volume using search engines (2019)The Proof and Measurement of Association between Two Things (1904)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)copula: Multivariate Dependence with Copulas (2005)Orthant tail dependence of multivariate extreme value distributions (2008)Copula-Based Measures of Multivariate Association (2010)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Do Hedge Funds Manage Their Reported Returns? (2011)Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings (2013)Risk Measures for Autocorrelated Hedge Fund Returns (2014)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An equilibrium characterization of the term structure (1977)Common risk factors in the returns on stocks and bonds (1993)An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds (2010)Credit Default Swaps: A Survey (2014)An analysis of euro area sovereign CDS and their relation with government bonds (2015)Portfolio Performance Manipulation and Manipulation-proof Performance MeasuresThe Limits of Arbitrage (1995)Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆ (2007)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2001Characteristics of Risk and Return in Risk Arbitrage765 cited
  • 2006Can Hedge-Fund Returns Be Replicated?: The Linear Case287 cited
  • 2006Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller?283 cited
  • 2003Detecting Dependence With Kendall Plots162 cited
  • 2006Multivariate conditional versions of Spearman's rho and related measures of tail dependence106 cited
  • 2005Factor Modeling and Benchmarking of Hedge Funds91 cited
  • 2005Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication69 cited

Cited by

  • 2015Hedge Funds: A Dynamic Industry in Transition64 cited

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