Download This PaperWeb Appendix for: 'Risk Measures for Autocorrelated Hedge Fund Returns'
19 Pages Posted: 20 Jul 2014
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
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