Kai-Hong Tee

Loughborough University - School of Business and Economics

Epinal Way

Leics LE11 3TU

Leicestershire

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS

703

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (9)

1.

Data Envelopment Analysis (DEA) Integrated Risk Assessment Technique on Hedge Funds Investment: Theory and Practical Application

Zhang Z.Y., ed., Risk Assessment and Management. Wyoming, U.S.A: Academy Publish, pp. 73
Number of pages: 19 Posted: 16 Feb 2012 Last Revised: 26 Dec 2012
John D. Lamb and Kai-Hong Tee
University of Aberdeen - Business School and Loughborough University - School of Business and Economics
Downloads 177 (216,191)

Abstract:

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Data Envelopment Analysis, Hedge funds, bootstrapping, Leverage Risk

2.

Performance and the Potential of Managed Futures in the Market Crisis Period

H.Baker and Filbeck, G., ed. Alternative Investments: Instruments, Performance, Benchmarks, and Strategies. John Wiley & Sons. pp. 437.
Number of pages: 28 Posted: 04 Mar 2012 Last Revised: 26 Dec 2012
Kai-Hong Tee
Loughborough University - School of Business and Economics
Downloads 151 (247,167)
Citation 2

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managed futures, Chicago Mercantile Exchange (CME), market timing, performance persistence, post-2008 crisis, diversification benefits, correlations, allocation mechanism

3.

On Optimising Risk Exposures with Trend-Following Strategies in Currency Overlay Portfolios

Number of pages: 38 Posted: 01 Dec 2016
Kai-Hong Tee
Loughborough University - School of Business and Economics
Downloads 139 (264,099)

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Currency overlay portfolios, time-varying correlation (TVC)-GARCH model, hedging criterion, trend following strategy, Cholesky Decomposition

4.

Resampling Data Envelopment Analysis (DEA) Estimates of Investment Fund Performance

European Journal of Operational Research, 223(3), pp.834-841
Number of pages: 14 Posted: 24 Feb 2012 Last Revised: 26 Dec 2012
John D. Lamb and Kai-Hong Tee
University of Aberdeen - Business School and Loughborough University - School of Business and Economics
Downloads 109 (315,605)

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data envelopment analysis, bootstrap, investment fund, rank, bias

5.

Making Cornish–Fisher Distributions Fit

Number of pages: 59 Posted: 01 Oct 2016
John D. Lamb, Maura Monville and Kai-Hong Tee
University of Aberdeen - Business School, Varian Medical Systems Finland Oy and Loughborough University - School of Business and Economics
Downloads 73 (404,319)

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Conditional value-at-risk, Goodness-of-fit, Kurtosis, Random variates, Skewness

6.

Coexceedance in the US and the UK Stock Markets: An Analysis of Contagion During the 2007-2009 Financial Crisis

Number of pages: 35 Posted: 27 Jan 2013
Thanaset Chevapatrakul and Kai-Hong Tee
Nottingham University Business School and Loughborough University - School of Business and Economics
Downloads 53 (474,005)
Citation 1

Abstract:

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Credit crisis, Coexceedance, Quantile Regression, Governmental Intervention, Global recession timeline

7.

Making Cornish–Fisher Fit for Risk Measurement

Journal of Risk, Vol. 21, No. 5, 2019
Number of pages: 30 Posted: 19 Jun 2019
John D. Lamb, Maura E. Monville and Kai-Hong Tee
University of Aberdeen - Business School, University of Surrey and Loughborough University - School of Business and Economics
Downloads 1 (802,434)
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conditional value-at-risk (CVaR), estimation error, goodness-of-fit, kurtosis, skewness

8.

The Market Liquidity Timing Skills of Debt‐Oriented Hedge Funds

European Financial Management, Vol. 23, Issue 1, pp. 32-54, 2017
Number of pages: 23 Posted: 10 Jan 2017
Baibing Li, JI LUO and Kai-Hong Tee
Loughborough University, Loughborough University and Loughborough University - School of Business and Economics
Downloads 0 (819,697)
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fixed income market, hedge funds, liquidity timing skill, market exposure

9.

Pay Comparisons: An Analysis of UK University Vice Chancellors Pay Awards

Posted: 09 Jan 2008
Kai-Hong Tee, Robert Watson and Heather Tarbert
Loughborough University - School of Business and Economics, Instituto de Empresa and Glasgow Caledonian University - Division of Accounting & Finance

Abstract:

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CEO Pay, University Vice Chancellor's Pay, Pay Comparisons