English, Article, Journal or magazine article edition: Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data Loriana Pelizzon; Monica Billio; Mila Getmansky

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/203383
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
Author
  • Loriana Pelizzon
  • Monica Billio
  • Mila Getmansky
Physical Description
  • preprint
Notes
  • This paper examines four different daily datasets of hedge fund return indexes: MSCI, FTSE, Dow Jones and HFRX, all based on investable hedge funds, and three different monthly datasets of hedge fund return indexes: CSFB, CISDM and HFR which comprise both investable and non-investable hedge funds. Our study, based on standard statistical analysis, non-parametric analysis of the distribution and non-parametric regressions with respect to the S&​P500 index shows that key data biases and disparate index construction methodologies lead to different statistical properties of hedge fund databases. One key variable that highly affects the statistical properties of hedge fund index returns is the “investability” of hedge funds
  • Hedge Fund, Risk Management, High frequency data
  • RePEc:ven:wpaper:2008_11
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment