Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5055270 | Economic Modelling | 2012 | 16 Pages |
Abstract
⺠Studied hypothesis: We study the relationship between hedge fund returns and risk factors. ⺠Methodology: linear and nonlinear time-series models. ⺠Data: Our data consists of hedge fund returns and risk factors. ⺠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
Fredj Jawadi, Sabrina Khanniche,