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...

Most recent empirical works that apply sophisticated statistical procedures such as a correlation-dimension method have shown that stock returns are highly complex. The estimated correlation dimension is high and there is little evidence of low-dimensional deterministic chaos. Taking the complex...

This paper generalizes the [Delta]-VaR and [Delta]-TVaR method from portfolios with normally distributed risk factors to portfolios with mixture of elliptically distributed ones, when the volatility is governed by an elliptic MGARCH. Special attention is given to the particular case of a mixture...

An application involving a financial quadratic portfolio, where the joint underlying log-returns follow a multivariate elliptic distribution, is considered. This motivates the need for methods for the approximation of multiple integrals over hyperboloids. Transformations are used to reduce the...

In this paper we develop an efficient analytical expansion of the cumulative distribution function (cdf) where with n=2, follows a multivariate power exponential distribution (MPE). Our approach provides a sharp estimate of the cumulative distribution function of a quadratic form of MPE,...