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Hedge fund pricing and model uncertainty
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Cited by:
- Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
- Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 109-141, March.
- Skintzi, Vasiliki D., 2019.
"Determinants of stock-bond market comovement in the Eurozone under model uncertainty,"
International Review of Financial Analysis, Elsevier, vol. 61(C), pages 20-28.
- Skintzi, Vasiliki, 2017. "Determinants of stock-bond market comovement in the Eurozone under model uncertainty," MPRA Paper 78278, University Library of Munich, Germany.
- Franck Martin & Mai lan Nguyen, 2015.
"Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ?,"
Economics Bulletin, AccessEcon, vol. 35(4), pages 2110-2125.
- Franck Martin & Mai Lan Nguyen, 2015. "Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ?," Post-Print halshs-01184048, HAL.
- Franck Martin & Mai Lan Nguyen, 2015. "Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ?," Post-Print halshs-01184072, HAL.
- Darolles, Serge & Vaissié, Mathieu, 2012. "The alpha and omega of fund of hedge fund added value," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1067-1078.
- Eling, Martin & Faust, Roger, 2010. "The performance of hedge funds and mutual funds in emerging markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1993-2009, August.
- Giannikis, Dimitrios & Vrontos, Ioannis D., 2011. "A Bayesian approach to detecting nonlinear risk exposures in hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1399-1414, June.
- Roumpis, Efthymios & Syriopoulos, Theodore, 2014. "Dynamics and risk factors in hedge funds returns: Implications for portfolio construction and performance evaluation," The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 58-77.
- Meligkotsidou, Loukia & Vrontos, Ioannis D., 2008. "Detecting structural breaks and identifying risk factors in hedge fund returns: A Bayesian approach," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2471-2481, November.
- Agarwal, Vikas & Mullally, Kevin A. & Naik, Narayan Y., 2015. "The Economics and Finance of Hedge Funds: A Review of the Academic Literature," Foundations and Trends(R) in Finance, now publishers, vol. 10(1), pages 1-111, December.
- Daniel Giamouridis & Sandra Paterlini, 2010. "Regular(Ized) Hedge Fund Clones," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(3), pages 223-247, September.
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022.
"Hedge Fund Performance: A Quantitative Survey,"
EconStor Preprints
260612, ZBW - Leibniz Information Centre for Economics.
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," CEPR Discussion Papers 17417, C.E.P.R. Discussion Papers.
- Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2022. "Hedge Fund Performance: A Quantitative Survey," Working Papers IES 2022/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024.
"Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance,"
EconStor Preprints
289497, ZBW - Leibniz Information Centre for Economics.
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," MetaArXiv ps2yn, Center for Open Science.
- Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," Working Papers IES 2024/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2024.
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," CEPR Discussion Papers 18979, C.E.P.R. Discussion Papers.
- Ioannis D Vrontos & Loukia Meligkotsidou & Spyridon D Vrontos, 2011. "Performance evaluation of mutual fund investments: The impact of non-normality and time-varying volatility," Journal of Asset Management, Palgrave Macmillan, vol. 12(4), pages 292-307, September.
- Viet Do & Robert Faff & Paul Lajbcygier & Madhu Veeraraghavan & Mikhail Tupitsyn, 2016. "Factors affecting the birth and fund flows of CTAs," Australian Journal of Management, Australian School of Business, vol. 41(2), pages 324-352, May.
- Meligkotsidou, Loukia & Vrontos, Ioannis D. & Vrontos, Spyridon D., 2009. "Quantile regression analysis of hedge fund strategies," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 264-279, March.
- Maltritz, Dominik & Molchanov, Alexander, 2014. "Country credit risk determinants with model uncertainty," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 224-234.
- Wegener, Christian & von Nitzsch, Rüdiger & Cengiz, Cetin, 2010. "An advanced perspective on the predictability in hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2694-2708, November.
- Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2024. "Is research on hedge fund performance published selectively? A quantitative survey," Journal of Economic Surveys, Wiley Blackwell, vol. 38(4), pages 1085-1131, September.
- Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, September.
- Jun Duanmu & Yongjia Li & Alexey Malakhov, 2020. "Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs," The Financial Review, Eastern Finance Association, vol. 55(3), pages 405-431, August.
- Gradojevic, Nikola & Gençay, Ramazan, 2013. "Fuzzy logic, trading uncertainty and technical trading," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 578-586.
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," MetaArXiv ps2yn_v1, Center for Open Science.
- Pflug, Georg Ch. & Pichler, Alois & Wozabal, David, 2012. "The 1/N investment strategy is optimal under high model ambiguity," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 410-417.
- Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," MetaArXiv vq8cp_v1, Center for Open Science.
- Maltritz, Dominik, 2012. "Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 657-672.
- Rodrigo Dupleich & Daniel Giamouridis & Spyros Mesomeris & Nima Noorizadeh, 2010. "Unbundling common style exposures, time variance and style timing of hedge fund beta," Journal of Asset Management, Palgrave Macmillan, vol. 11(1), pages 19-30, April.
- Maltritz, Dominik & Molchanov, Alexander, 2013. "Analyzing determinants of bond yield spreads with Bayesian Model Averaging," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5275-5284.
- Congming Mu & Jingzhou Yan & Jinqiang Yang, 2023. "Robust risk choice under high-water mark contract," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 295-322, July.
- Ioannis D. Vrontos & John Galakis & Ekaterini Panopoulou & Spyridon D. Vrontos, 2024. "Forecasting GDP growth: The economic impact of COVID‐19 pandemic," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 1042-1086, July.
- Laurent Bodson & Alain Coën & Georges Hübner, 2010. "Dynamic Hedge Fund Style Analysis With Errors‐In‐Variables," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(3), pages 201-221, September.