Bayesian nonparametric measurement of factor betas and clustering with application to hedge fund returns
Year of publication: |
2016
|
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Authors: | Garay, Urbi ; Horst, Enrique ter ; Molina, German ; Rodriguez, Abel |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 4.2016, 1, p. 1-23
|
Subject: | nonparametric clustering | Bayesian | cluster | nonparametric alpha and beta | hedge fund performance | Hedgefonds | Hedge fund | Nichtparametrisches Verfahren | Nonparametric statistics | Betafaktor | Beta risk | CAPM | Kapitaleinkommen | Capital income | Theorie | Theory | Clusteranalyse | Cluster analysis | Regionales Cluster | Regional cluster | Bayes-Statistik | Bayesian inference | Portfolio-Management | Portfolio selection | Performance-Messung | Performance measurement | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics4010013 [DOI] hdl:10419/171866 [Handle] |
Classification: | C2 - Econometric Methods: Single Equation Models ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods |
Source: | ECONIS - Online Catalogue of the ZBW |
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