Web Appendix for: 'Risk Measures for Autocorrelated Hedge Fund Returns'

Di Cesare, Antonio; Stork, Philip A.; de Vries, Casper G.

doi:10.2139/ssrn.2467834

Web Appendix for: 'Risk Measures for Autocorrelated Hedge Fund Returns'

19 Pages Posted: 20 Jul 2014

See all articles by Antonio Di Cesare

Philip A. Stork

Vrije Universiteit Amsterdam, School of Business and Economics; Tinbergen Institute

Casper G. de Vries

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); Tinbergen Institute; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: July 17, 2014

Abstract

This Web Appendix contains several technical details, figures and tables that were not reported in Di Cesare, Stork and de Vries (2014) for the sake of brevity.

The paper "Risk Measures for Autocorrelated Hedge Fund Returns" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=2004404

Keywords: Hedge funds, Serial correlation, Systemic risk, VaR, Pareto distribution

JEL Classification: G12, G23, G28

Suggested Citation: Suggested Citation

Di Cesare, Antonio and Stork, Philip A. and De Vries, Casper, Web Appendix for: 'Risk Measures for Autocorrelated Hedge Fund Returns' (July 17, 2014). Available at SSRN: https://ssrn.com/abstract=2467834 or http://dx.doi.org/10.2139/ssrn.2467834