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Hedge fund return dynamics : long memory and regime switching

Limam, M. A.; Terraza, Virginie; Terraza, Michel - In: International journal of financial research 8 (2017) 4, pp. 148-166

Persistent link: https://www.econbiz.de/10011782456

Businesses risks aggregation with Copula

Kamdem, J. Sadefo - In: Journal of quantitative economics : official journal of … 9 (2011) 2, pp. 58-72

Persistent link: https://www.econbiz.de/10010337911

Hedge Fund Return Dynamics : Long Memory and Regime Switching

Limam, Mohamed-Ali - 2013

This paper investigates the dynamics of hedge fund returns and their behavior of persistence in a unified framework through the Markov Switching ARFIMA model of Härdle and Tsay (2009). Major results based on the CSFB/Tremont hedge fund indexes monthly data during the period 1994-2011, highlight...

Persistent link: https://www.econbiz.de/10013090817

Cyclical Mackey-Glass model for oil bull seasonals

Melhem, Sadek; Terraza, Michel; Chikhi, Mohamed - In: The Journal of energy and development 36 (2010/11) 1/2, pp. 165-178

Persistent link: https://www.econbiz.de/10009666079

The implications of oil market volatility on the credit risk of some oil-exporting countries

Bah, Ibrahima; Kamdem, Jules Sadefo; Diallo, Abdoul Salam - In: The Journal of energy and development 46 (2020/2021) 1/2, pp. 25-46

Persistent link: https://www.econbiz.de/10013169906

A fuzzy multifactor asset pricing model

Moussa, Alfred Mbairadjim; Kamdem, Jules Sadefo - In: Risk management decisions and value under uncertainty, (pp. 1221-1241). 2022

Persistent link: https://www.econbiz.de/10013342112