Time Variation in Mutual Fund Style Exposures*

DOI10.1093/ROF/RFM029MaRDI QIDQ5438492zbMATH OpenOpenAlexFDO

Authors Jan Annaert, Geert van Campenhout

Publication date 23 January 2008

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/rof/rfm029

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Pitfalls in linear models for style analysis
• Structural breaks in panel data: large number of panels and short length time series
• Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies
• Structural Breaks in Financial Time Series
• scientific article; zbMATH DE number 2042817

Cited in

(3)

• Pitfalls in linear models for style analysis
• Seasonality and idiosyncratic risk in mutual fund performance
• Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies

This page was built for publication: Time Variation in Mutual Fund Style Exposures*

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5438492)