Article ID Journal Published Year Pages File Type
5055270 Economic Modelling 2012 16 Pages PDF
Abstract
► Studied hypothesis: We study the relationship between hedge fund returns and risk factors. ► Methodology: linear and nonlinear time-series models. ► Data: Our data consists of hedge fund returns and risk factors. ► Main results: We show asymmetrical linkages between hedge fund and risk factors.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
, ,