Helder P. Palaro

Independent

Quantitative Researcher

Monaco

SCHOLARLY PAPERS

10

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Top 581

in Total Papers Downloads

35,692

SSRN CITATIONS
Rank 17,227

SSRN RANKINGS

Top 17,227

in Total Papers Citations

5

CROSSREF CITATIONS

42

Scholarly Papers (10)

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1.

Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication

Alternative Investment Research Centre Working Paper No. 27, Cass Business School Research Paper
Number of pages: 52 Posted: 30 Nov 2005
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 8,332 (627)
Citation 26

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hedge fund, replication, copula, dynamic trading

2.

Hedge Fund Returns: You Can Make Them Yourself!

AIRC Working Paper No. 0023, Cass Business School Research Paper
Number of pages: 15 Posted: 15 Sep 2005
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 8,137 (646)
Citation 4

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hedge fund, replication

3.

Replication and Evaluation of Fund of Hedge Funds Returns

Alternative Investment Research Centre Working Paper No. 28, Cass Business School Research Paper
Number of pages: 24 Posted: 03 Jan 2006
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 3,969 (2,279)
Citation 3

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Hedge funds, fund of funds, return replication, performance evaluation, copula, alpha

4.

Tell Me What You Want, What You Really, Really Want! An Exercise in Tailor-Made Synthetic Fund Creation

Alternative Investment Research Centre Working Paper No. 36, Cass Business School Research Paper
Number of pages: 28 Posted: 10 Oct 2006
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 3,821 (2,410)
Citation 1

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synthetic fund, dynamic trading, correlation, skewness, asset allocation

5.

Superstars or Average Joes? A Replication-Based Performance Evaluation of 1917 Individual Hedge Funds

Alternative Investment Research Centre Working Paper No. 30, Cass Business School Research Paper
Number of pages: 30 Posted: 07 Feb 2006
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 2,559 (4,803)
Citation 6

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Hedge funds, performance evaluation, return replication

6.

Estimation of VAR Using Copula and Extreme Value Theory

Downloads 2,201 ( 6,191)
Citation 5

Estimation of VAR Using Copula and Extreme Value Theory

Multinational Finance Journal, 2008, vol. 12, no. 3/4, pp. 205–218
Number of pages: 14 Posted: 15 Jun 2006 Last Revised: 19 Oct 2013
Luiz Koodi Hotta, Edimilson C. Lucas and Helder P. Palaro
University of Campinas (UNICAMP) - Department of Statistics, Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and Independent
Downloads 2,162 (6,263)
Citation 2

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Conditional Copula, Risk Measures, Value at Risk, Extreme Value Theory

Estimation of VAR Using Copula and Extreme Value Theory

Multinational Finance Journal, Vol. 12, No. 3/4, p. 205-218, 2008
Number of pages: 14 Posted: 26 Jun 2015
Luiz Koodi Hotta, Edimilson C. Lucas and Helder P. Palaro
University of Campinas (UNICAMP) - Department of Statistics, Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and Independent
Downloads 39 (441,046)

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conditional copula; risk measures; VaR, extreme value theory

7.

Hedge Fund Indexation the FundCreator Way: Efficient Hedge Fund Indexation Without Hedge Funds

Alternative Investment Research Centre Working Paper No. 38, Cass Business School Research Paper
Number of pages: 17 Posted: 04 Dec 2006
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 1,978 (7,431)
Citation 1

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Hedge fund, FundCreator, Indexation

8.

Using Conditional Copula to Estimate Value at Risk

Journal of Data Science 4(2006), 93-115
Number of pages: 23 Posted: 13 Oct 2005 Last Revised: 19 Oct 2013
Helder P. Palaro and Luiz Koodi Hotta
Independent and University of Campinas (UNICAMP) - Department of Statistics
Downloads 1,695 (9,629)
Citation 5

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Copula, multivariate distribution function, value-at-risk

9.

Fundcreator: Reply to the Critics

Number of pages: 14 Posted: 02 Oct 2007 Last Revised: 06 Jun 2016
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 1,644 (10,128)

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Hedge fund, synthetic fund, replication

10.

FundCreator-Based Evaluation of Hedge Fund Performance

Alternative Investment Research Centre Working Paper No. 0040
Number of pages: 39 Posted: 21 Feb 2007
Harry M. Kat and Helder P. Palaro
Independent and Independent
Downloads 1,356 (13,772)
Citation 4

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Hedge fund, fund of funds, performance evaluation, replication