Estimation of multivariate models for time series of possibly different lengths

Are "market neutral" hedge funds really market neutral?

Patton, Andrew J., (2004)

Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates

Chen, Xiaohong, (2004)

On the out-of-sample importance of skewness and asymetric dependence for asset allocation

Patton, Andrew J., (2002)