Helder P. Palaro

Independent

Quantitative Researcher

Monaco

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 581

SSRN RANKINGS

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)

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

Abstract:

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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

Abstract:

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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

Abstract:

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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

Abstract:

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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

Abstract:

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Hedge funds, performance evaluation, return replication

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

Abstract:

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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)

Abstract:

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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

Abstract:

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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

Abstract:

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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)

Abstract:

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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

Abstract:

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Hedge fund, fund of funds, performance evaluation, replication