Non-Parametric Analysis of Hedge Fund Returns: New

D S E Working Paper Crisis and hedgerow Fund gamble Monica Billio Mila Getmansky Loriana Pelizzon Dipartimento Scienze Economiche Department of Economics Ca Foscari University of Venice ISSN: 1827/336X no. 10/WP/2008 Working Pap er s Depar tmen t o f Economi c s C a F o s c a r i Un i v e r s i ty o f V e n i c e No. 1 1 /WP/2008 ISSN 1827-336X The Wor k i n g P a p e r S e r i e s i s a v a i l b l e o n ly on l i n e (www.ds e .uni v e . i t / p u b b l i c a z i o n i ) F o r e d i t o r i a l c o r r e s p o n d e n c e , p l e a s e cont a c t : wp.ds e@unive .

i t Depar tme n t o f Econ omi c s C a F o s c a r i Un i v e r s i ty o f V e n i c e Cannaregio 873, Fondamenta San Gi o b b e 30121 Ven i c e I t a ly facsimile machine: ++39 041 2349210 Non-Parametric depth psychology of overreach Fund Returns: New Insights from High frequency entropy Monica Billio University of Venice and SSAV, Scuola Studi Avanzati in Venezia Mila Getmansky Isenberg School of Management, University of Massachusetts Loriana Pelizzon University of Venice and SSAV, Scuola Studi Avanzati in Venezia Abstract This root word examines four divergent daily entropysets of hedge shop issuance indexes: MSCI, FTSE, Dow Jones and HFRX, all found on investable hedge funds, and three antithetic monthly datasets of hedge fund return indexes: CSFB, CISDM and HFR which comprise some(prenominal) investable and non-investable hedge funds. Our study, based on banal statistical abbreviation, non-parametric analysis of the distribution and non-parametric regressions with respect to the S&P500 index shows that pigment dat! a biases and disparate index construction methodologies lead to different statistical properties of hedge fund databases. One key variable that exceedingly affects the statistical properties of hedge fund index returns is the investability of hedge funds. Keywords Hedge Fund, Risk Management, High frequency data JEL Codes G12, G29, C51 Address for residue: Loriana Pelizzon Department of...If you regard to get a full essay, dictate it on our website: BestEssayCheap.com

If you want to get a full essay, visit our page: cheap essay