Evidence for hedge fund predictability from a multivariate Student's<i>t</i>full-factor GARCH model (Q5127039)
From MaRDI portal
scientific article; zbMATH DE number 7263542
Language | Label | Description | Also known as |
---|---|---|---|
English | Evidence for hedge fund predictability from a multivariate Student's<i>t</i>full-factor GARCH model |
scientific article; zbMATH DE number 7263542 |
Statements
Evidence for hedge fund predictability from a multivariate Student's<i>t</i>full-factor GARCH model (English)
0 references
21 October 2020
0 references
fat tails
0 references
hedge funds
0 references
model uncertainty
0 references
multivariate GARCH model
0 references
predictability
0 references
Student's \(t\)-distribution
0 references
0 references
0 references
0 references
0 references
0 references