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Inflation differentials and excess returns in the European Monetary System
Vlaar, Peter J. G. - In: Journal of international financial markets, … 7 (1997) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10001230305
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Inflation differentials and excess returns in the European Monetary System
Vlaar, Peter J. G.; Palm, Franz C. - 1993
Persistent link: https://www.econbiz.de/10000886175
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Inflation differentials and excess returns in the European Monetary System
Vlaar, Peter J. G.; Palm, Franz C. - 1997
Persistent link: https://www.econbiz.de/10000659358
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On the univariate representation of multivariate volatility models with common factors
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2011
Persistent link: https://www.econbiz.de/10008840656
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Common intraday periodicity
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2011
Persistent link: https://www.econbiz.de/10008840658
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On the univariate representation of BEKK models with common factors
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2012
Persistent link: https://www.econbiz.de/10009515469
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Common intraday periodicity
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - In: Journal of financial econometrics : official journal of … 10 (2012) 2, pp. 235-353
Persistent link: https://www.econbiz.de/10009540539
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On the univariate representation of BEKK models with common factors
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - In: Journal of time series econometrics 8 (2016) 2, pp. 91-113
Persistent link: https://www.econbiz.de/10011582755
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The Impact of Illiquidity and Higher Moments of Hedge Fund Returns on Their Risk-Adjusted Performance and Diversification Potential
Cavenaile, Laurent - 2011
This paper studies the joint impact of smoothing and fat tails on the risk-return properties of hedge fund strategies. First, we adjust risk and performance measures for illiquidity and the non-Gaussian distribution of hedge funds returns. We use two risk metrics: the Modified Value-at-Risk and...
Persistent link: https://www.econbiz.de/10013134217
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The impact of illiquidity and higher moments of edge fund returns on their risk-adjusted performance and diversification potential
Cavenaile, Laurent; Coën, Alain; Hübner, Georges - In: The journal of alternative investments 13 (2010/11) 4, pp. 9-29
Persistent link: https://www.econbiz.de/10009008651