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

19 Pages Posted: 20 Jul 2014

See all articles by Antonio Di Cesare

Antonio Di Cesare

Bank of Italy

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

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

Antonio Di Cesare (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
00184 Roma
Italy

Philip A. Stork

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

Tinbergen Institute ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

Casper De Vries

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

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+31 10 408 9147 (Fax)

Tinbergen Institute

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Rotterdam, 3062 PA
Netherlands
+31 10 408 8956 (Phone)
+31 10 408 9147 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

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Munich, DE-81679
Germany

HOME PAGE: http://www.CESifo.de

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