TESTING FOR RANDOM WALK AND STRUCTURAL BREAKS IN HEDGE FUNDS RETURNS

DOI10.1142/S0219024906003615MaRDI QIDQ5483442zbMATH OpenFDO

Authors Mario Cerrato, Andrea Iannelli

Publication date 14 August 2006

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

structural breaksunit root testshedge funds

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Recommendations

• Nonparametric assessment of hedge fund performance
• The option CAPM and the performance of hedge funds
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• How many good and bad funds are there, really?

Cites work

• Consistent estimation of a regression with errors in the variables
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Practical Issues in the Analysis of Univariate GARCH Models
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(1)

• A note on statistical models for individual hedge fund returns

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