The Dynamics of Hedge Fund Performance

DOI10.1007/978-3-319-13449-9_7zbMath1418.91461OpenAlexW1558804402MaRDI QIDQ4558827

Jérome Teiletche, Serge Darolles, Christian Gouriéroux

Publication date: 30 November 2018

Published in: Econometrics of Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-13449-9_7

zbMATH Keywords

transition matrixhedge fundfund managerrelative ratingtransition matrice

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Uses Software

• LMOMENTS

Cites Work

• Stochastic volatility duration models
• A contribution to multivariate L-moments: L-comoment matrices
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