213 Social Sciences Building
Durham, NC 27708-0204
Duke University - Department of Economics
in Total Papers Downloads
in Total Papers Citations
hedge funds, disclosure, asymmetric information, finance regulation, performance
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP8898.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
asymmetric information, disclosure, finance regulation, hedge funds, performance
hedge funds, market neutrality, dependence, correlation, risk, portfolio decisions, copulas
time series, copulas, dependence, exchange rates
Copulas, correlation, nonlinear comovements, goodness-of-fit tests, GARCH
hedge funds, liquidity, return predictability, equities, bonds, currencies.
File name: DP10151.
bonds, currencies, equities, hedge funds, liquidity, return predictability
Beta, comovement, earnings, announcements, information spillovers, realized covariance, realized volatility, high-frequency data.
market microstructure, error-correction, vector autoregression, price dynamics
copulas, maximum likelihood, two-stage estimation, exchange rates, missing data
beta, time-varying risk, performance evaluation, window-dressing, hedge funds, mutual funds
File name: DP8479.
beta, hedge funds, mutual funds, performance evaluation, time-varying risk, window-dressing
volatility modelling, ARCH, GARCH, volatility forecasting
realized variance, volatility forecasting, high frequency data
realized variance, semivariance, volatility forecasting, jumps, leverage effect
Stock returns, forecasting, density forecasting, normality, asymmetry, copulas
asymmetry, copulas, density forecasting, forecasting, normality, stock returns
hedge funds, beta, time-varying risk, performance evaluation
File name: DP7780.
beta, performance evaluation, structural breaks, time-varying risk
Common factors, copulas, business cycles
Realized correlation, realized volatility, dependence, forecasting, tail risk
correlation, tail risk,
financial crises, DCC
Forecast Evaluation, Forecast Comparison, Loss Functions, Realised Variance, Range
real estate, price indices, repeat sales index, high frequency data
forecast evaluation, loss function, rationality tests
Forecast evaluation, realized variance, volatility, jumps, semimartingale
copulas, correlation, dependence, systemic risk, tail dependence
Fixed-event forecasts, multiple forecast horizons, Kalman filtering, survey data
composite likelihood, forecasting, high frequency data, nonlinear dependence
File name: DP4037.
Forecast evaluation, loss function, rationality, efficient markets
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: iere.
File name: DP8194.
forecast horizon, forecast optimality, real-time data, survey forecasts
File name: DP6526.
real time learning, survey forecasts, term structure of forecasts
High-Frequency Data; Realized Variances; Semicovariances; Symmetric Correlations; Cojumps; Volatility Forecasting
Risk Management, Tails, Crashes, Forecasting, Generalized Autoregressive Score
Common risks, realized covariances, forecasting, asset allocation, portfolio construction
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 1.036 seconds