3000 Chemin de la Cote-Sainte-Catherine
Montreal, Quebec H3T 2A7
HEC Montreal - Department of Finance
in Total Papers Downloads
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Hedge Funds, Hedging, Replication, Copula, Gaussian mixtures
Hedge funds, managerial experience, performance, survival
Option Pricing, Dynamic Hedging, Regime-Switching, Goodness-of-fit, Hidden Markov Models
Hedge Funds, Implied higher-moments, Conditioning factors
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hedge funds, implied higher‐moments, conditioning factors
Copulas, Markov processes, multivariate time series, serial dependence
Convertible debt, Risk shifting, Non-cooperative game
Hedge funds, Markov chain, smoothed returns, persistence, high water mark
Hedging, European Option, American Option, Risk
Hedge Funds, Nonlinear Risk Premiums, Comoments, Implied Higher-Moments
realized beta, zero-beta portfolios, forecasting
Hedge Funds, Performance Measure, Bivariate Measure
hedge funds, implied higher moments, performance, persistence
Portfolio Insurance, Dynamic Hedging, Constant Volatility, CPPI
Momentum Trading Strategies, Realized Beta, Systematic Risk
Collateralized Fund Obligation (CFO), hedge funds, structured finance, portfolio optimization, performance analysis, multivariate linear regression, systematic risk
GARCH, Outliers, Portfolio management, Volatility forecasting, Volatility timing
Hedge Funds, Hedging, Replication, Copula, Gaussian Mixtures
Hedge funds, performance, manipulation proof measure, doubt ratio
hedge funds, performance measures, manipulation‐proof performance measure, doubt ratio
credit spreads, coupon bias, correlation
hedge funds, price discovery, options, informed trading, asset management
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