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On Estimating the Failure Probability of Hedge Funds

Lahiri, Kajal; Shawky, Hany A.; Zhao, Yongchen - In: Research in finance : Volume 27, (pp. 85-119). 2011

The main purpose of this chapter is to estimate a model for hedge fund returns that will endogenously generate failure probabilities using panel data where sample attrition due to fund failures is a dominant feature. We use the Lipper (TASS) hedge fund database, which includes all live and...

Persistent link: https://www.econbiz.de/10015380083

Forecasting consumption : the role of consumer confidence in real time with many predictors

Lahiri, Kajal; Monokroussos, George; Zhao, Yongchen - In: Journal of applied econometrics 31 (2016) 7, pp. 1254-1275

Persistent link: https://www.econbiz.de/10011687477

Online learning and forecast combination in unbalanced panels

Lahiri, Kajal; Peng, Huaming; Zhao, Yongchen - In: Econometric reviews 36 (2017) 1/3, pp. 257-288

Persistent link: https://www.econbiz.de/10011795201

The Nordhaus test with many zeros

Lahiri, Kajal; Zhao, Yongchen - In: Economics letters 193 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012509104

International propagation of shocks : a dynamic factor model using survey forecasts

Lahiri, Kajal; Zhao, Yongchen - In: International journal of forecasting 35 (2019) 3, pp. 929-947

Persistent link: https://www.econbiz.de/10012305192

Inflation expectations in India : learning from household tendency surveys

Das, Abhiman; Lahiri, Kajal; Zhao, Yongchen - In: International journal of forecasting 35 (2019) 3, pp. 980-993

Persistent link: https://www.econbiz.de/10012305213

Inefficiency in social security trust funds forecasts

Lahiri, Kajal; Zhang, Junyan; Zhao, Yongchen - In: Applied economics letters 30 (2023) 10, pp. 1353-1357

Persistent link: https://www.econbiz.de/10014304250

The robustness of forecast combination in unstable environments : a Monte Carlo study of advanced algorithms

Zhao, Yongchen - In: Empirical economics : a quarterly journal of the … 61 (2021) 1, pp. 173-199

Persistent link: https://www.econbiz.de/10012585892

Updates to household inflation expectations : signal or noise?

Zhao, Yongchen - In: Economics letters 181 (2019), pp. 95-98

Persistent link: https://www.econbiz.de/10012121895

Uncertainty and disagreement of inflation expectations : evidence from household-level qualitative survey responses

Zhao, Yongchen - In: Journal of forecasting 41 (2022) 4, pp. 810-828

Persistent link: https://www.econbiz.de/10013287861

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