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Document type:
Zeitschriftenaufsatz 
Author(s):
Höcht, S.; Ng, K.H.; Wiesent, J.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Fit for Leverage - Modelling of Hedge Fund Returns in View of Risk Management Purposes 
Abstract:
Hedge funds typically reveal some statistical properties like serial correlation, non-normality, volatility clustering, and leverage effect, which have to be considered when risk positions of hedge funds are computed. We describe an autoregressive Markov-Switching model that captures the specific features of hedge fund returns and allows especially to fit for volatility clustering and leverage effects in the data. The model is tested using publicly available hedge fund index data from different...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
International Journal of Contemporary Mathematical Sciences 
Year:
2009 
Journal volume:
Journal issue:
19 
Pages contribution:
895-916 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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