Hedge fund return dynamics : long memory and regime switching
M.A. Limam, V. Terraza & M. Terraza
| Year of publication: |
October 2017
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|---|---|
| Authors: | Limam, M. A. ; Terraza, Virginie ; Terraza, Michel |
| Published in: |
International journal of financial research. - Toronto : Sciedu Press, ISSN 1923-4023, ZDB-ID 2611282-6. - Vol. 8.2017, 4, p. 148-166
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| Subject: | hedge funds | persistence | Markov Switching ARFIMA | Hedgefonds | Hedge fund | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Schätzung | Estimation | ARMA-Modell | ARMA model | Volatilität | Volatility | Strukturbruch | Structural break |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.5430/ijfr.v8n4p148 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011782456