TESTING FOR RANDOM WALK AND STRUCTURAL BREAKS IN HEDGE FUNDS RETURNS

DOI10.1142/S0219024906003615zbMATH Open1154.91434MaRDI QIDQ5483442FDOQ5483442

Authors: Mario Cerrato, Andrea Iannelli 

Publication date: 14 August 2006

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

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zbMATH Keywords

structural breaksunit root testshedge funds

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Cites Work

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

Cited In (1)

• A note on statistical models for individual hedge fund returns

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