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Titel:

Fit for Leverage - Modelling of Hedge Fund Returns in View of Risk Management Purposes

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Höcht, S.; Ng, K.H.; Wiesent, J.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
-
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
Zeitschriftentitel:
International Journal of Contemporary Mathematical Sciences
Jahr:
2009
Band / Volume:
4
Heft / Issue:
19
Seitenangaben Beitrag:
895-916
Sprache:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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