This paper establishes the asymptotic distributions of the impulse response functions in panel vector autoregressions with a fixed time dimension. It also proves the asymptotic validity of a bootstrap approximation to their sampling distributions. The autoregressive parameters are estimated...

This paper establishes the limiting distributions of orthogonalized and nonorthogonalized impulse response functions in panel vector autoregressions with a fixed time dimension. The autoregressive parameters are estimated using the GMM estimators based on the first differenced equations and the...

Abstract In many textbooks, an important assumption difference between the standard picture for block pricing and the intuitive discussions on this pricing scheme is often ignored. This practice leads the students to misunderstand this picture as an illustration for price discrimination against...

Purpose - The purpose of this paper is to examine the ability of hedge funds and funds of hedge funds to generate absolute returns using fund level data. Design/methodology/approach - The absolute return profiles are identified using properties of the empirical distributions of fund returns. The...

Purpose – The purpose of this paper is to examine the ability of hedge funds and funds of hedge funds to generate absolute returns using fund level data. Design/methodology/approach – The absolute return profiles are identified using properties of the empirical distributions of fund returns....

An increasing number of investors are including futures-based commodity index funds in their portfolios. The argument is that these funds increase diversification, enhance returns and serve as an inflation hedge. Much of the recent literature served to reinforce these ideas. We update the...