Web Appendix for: 'Risk Measures for Autocorrelated Hedge Fund Returns'
19 Pages Posted: 20 Jul 2014
Date Written: July 17, 2014
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