Nothing Special   »   [go: up one dir, main page]
create a website
The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments. (2013). Korsos, Laszlo F..
In: Papers.
RePEc:arx:papers:1306.0938.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 33

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Dirichlet policies for reinforced factor portfolios. (2020). Coqueret, Guillaume ; Andr, Eric.
    In: Papers.
    RePEc:arx:papers:2011.05381.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Amenc, N., L. Martellini, J. Meyfredi, and V. Ziemann (2010). Passive Hedge Fund Replication - Beyond the Linear Case. European Financial Management, 16(2), 191-210.
    Paper not yet in RePEc: Add citation now
  2. Appleson, J., E. Parsons, and A. Haughwout (2012). The Untold Story of Municipal Bond Defaults. Liberty Street Economics, Federal Reserve Bank of New York, August 15, 2012.
    Paper not yet in RePEc: Add citation now
  3. Cargnoni, C., P. Muller, and M. West (1997). Bayesian Forecasting of Multinomial Time Series Through Conditionally Gaussian Dynamic Models. Journal of the American Statistical Association, 92(438), 640-647.
    Paper not yet in RePEc: Add citation now
  4. Carvalho, C., M. Johannes, H. Lopes, and N. G. Polson (2011). Particle Learning for Sequential Bayesian Computation. Bayesian Statistics, 9, 317-360.
    Paper not yet in RePEc: Add citation now
  5. Carvalho, C., M. Johannes, H. Lopes, N. G. Polson (2010). Particle Learning and Smoothing. Statistical Science, 25, 88-106.
    Paper not yet in RePEc: Add citation now
  6. Chipman, J. S. and M. M. Rao (1964). The Treatment of Linear Restrictions in Regression Analysis. Econometrica, 32(12), 198-209.
    Paper not yet in RePEc: Add citation now
  7. Deng, G. and C. McCann (2012). Leveraged Municipal Bond Arbitrage: What Went Wrong?. The Journal of Alternative Investments, 14(4), 69-78.
    Paper not yet in RePEc: Add citation now

  8. Engle, R. F. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. Journal of Business and Economic Statistics, 20, 339-350.

  9. Fearnhead, P. (2002). Markov Chain Monte Carlo, Sufficient Statistics, and Particle Filters. Journal of Computational and Graphical Statistics, 11, 848-862.
    Paper not yet in RePEc: Add citation now

  10. Fisher, J., D. Gatzlaff, D. Geltner, and D. Haurin (2003). Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices. Real Estate Economics, 31, 269-304.

  11. Fung, W. and D. A. Hsieh (1997). Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds. Review of Financial Studies, 10(2), 275-302.

  12. Gamerman, D. and H. F. Lopes (2006). Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference. Chapman & Hall/CRC Press, Boca Raton, FL.
    Paper not yet in RePEc: Add citation now
  13. Gelman, A. and J. Hill (2006). Data Analysis Using Regression and Multilevel/Hierarchical Models. Cambridge University Press, New York, NY.
    Paper not yet in RePEc: Add citation now

  14. Getmansky, M., A. Lo, and I. Makarov (2004). An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns. Journal of Financial Econometrics, 74, 529-609.

  15. Gordon, N., D. Salmond, and A. F. M. Smith (1993). Novel Approach to Nonlinear/NonGaussian Bayesian State Estimation. IEEE Proceedings, F-140, 107-113.
    Paper not yet in RePEc: Add citation now
  16. Grunwald, G. K., A. E. Raftery, and P. Guttorp (1993). Time Series of Continuous Proportions. Journal of the Royal Statistical Society B, 55(1), 103-116.
    Paper not yet in RePEc: Add citation now
  17. Gupta, N. and R. Hauser (2007). Kalman Filtering with Equality and Inequality State Constraints. Technical Report, Oxford University Computing Laboratory.
    Paper not yet in RePEc: Add citation now

  18. Jacquier, E., N. G. Polson, and P. Rossi (1994). Bayesian Analysis of Stochastic Volatility Models. Journal of Business and Economic Statistics, 12, 371-389.

  19. Jacquier, E., N. G. Polson, and P. Rossi (2004). Bayesian Analysis of Stochastic Volatility Models with Fat-Tails and Correlated Errors. Journal of Econometrics, 122, 185-212.

  20. Jegadeesh, N. and S. Titman (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48, 65-91.

  21. Judge, G. G. and T. Takayana (1966). Inequality Restrictions in Regression Analysis. Journal of the American Statistical Association, 61, 166-81.
    Paper not yet in RePEc: Add citation now

  22. Kadlec, G. and D. Patterson (1999). A Transactions Data Analysis of Nonsynchronous Trading. Review of Financial Studies, 12, 609-630.

  23. Kalman, R. E. (1960). A new approach to linear filtering and prediction problems. Journal of Basic Engineering, 82(1), 35-45.
    Paper not yet in RePEc: Add citation now
  24. Khandani, A. E. and A. W. Lo (2007), What Happened to the Quants in August 2007?. Journal of Investment Management, 5, 5-54.
    Paper not yet in RePEc: Add citation now
  25. Ko, S. and R. Bitmead (2007), State Estimation for Linear Systems with State Equality Constraints. Automatica, 43(8), 1363-1368.
    Paper not yet in RePEc: Add citation now
  26. Liew, C. K. (1976). Inequality Constrained Least-Squares Estimation. Journal of the American Statistical Association, 71(355), 746-751.
    Paper not yet in RePEc: Add citation now
  27. Liu, J. and M. West (2001). Combined Parameters and State Estimation in Simulation-Based Filtering. In Sequential Monte Carlo Methods in Practice (A. Doucet, N. de Freitas, and N. Gordon, eds.). Springer, New York.
    Paper not yet in RePEc: Add citation now
  28. Lopes, H. F., C. Carvalho, M. Johannes, and N. G. Polson (2010). Particle learning for sequential Bayesian computation. In Bayesian Statistics 9 (J. M. Bernardo, M. J. Bayarri, J. O. Berger, A. P. Dawid, D. Heckerman, A. F. M. Smith, and M. West, eds.). Oxford University Press, Oxford.
    Paper not yet in RePEc: Add citation now

  29. Mandelbrot, B. (1963). New Methods in Statistical Economics. Journal of Political Economy, 71, 421-440.

  30. Polson, N. G., J. Stroud, and P. Muller (2008). Practical filtering with sequential parameter learning. Journal of the Royal Statistical Society B, 70, 413-428.
    Paper not yet in RePEc: Add citation now
  31. Rubin, D. B. (1987). A noniterative sampling/importance resampling alternative to the data augmentation algorithm for creating a few imputations when fractions of missing information are modest: the SIR algorithm, comment to a paper by Tanner and Wong. Journal of the American Statistical Association, 82, 543-6.
    Paper not yet in RePEc: Add citation now
  32. Smith, A. F. M. and A. E. Gelfand (1992). Bayesian statistics without tears. American Statistician 46, 84-88.
    Paper not yet in RePEc: Add citation now
  33. Storvik, G. (2002). Particle Filters in State Space Models with the Presence of Unknown Static Parameters. IEEE Transactions of Signal Processing, 50, 281-289.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Big Data and Neuroimaging. (2017). Chen, Shaojie ; Webb-Vargas, Yenny ; Lindquist, Martin A ; Caffo, Brian ; Crainiceanu, Ciprian ; Xu, Yuting ; Mejia, Amanda ; Fisher, Aaron.
    In: Statistics in Biosciences.
    RePEc:spr:stabio:v:9:y:2017:i:2:d:10.1007_s12561-017-9195-y.

    Full description at Econpapers || Download paper

  2. Time-Varying Correlations between Inflation and Stock Prices in the United States over the Last Two Centuries. (2016). Tiwari, Aviral ; GUPTA, RANGAN ; Antonakakis, Nikolaos.
    In: Working Papers.
    RePEc:pre:wpaper:201605.

    Full description at Econpapers || Download paper

  3. Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries. (2015). Kim, Hyeongwoo ; Lee, Bong-Soo.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:192-210.

    Full description at Econpapers || Download paper

  4. A cross-volatility index for hedging the country risk. (2015). Chevallier, Julien ; Aboura, Sofiane.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:25-41.

    Full description at Econpapers || Download paper

  5. Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods. (2015). Bouri, Elie.
    In: Energy.
    RePEc:eee:energy:v:89:y:2015:i:c:p:365-371.

    Full description at Econpapers || Download paper

  6. Volatility and dynamic conditional correlations of worldwide emerging and frontier markets. (2014). Lyócsa, Štefan ; Baumohl, Eduard.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:175-183.

    Full description at Econpapers || Download paper

  7. Measuring Persistence in Volatility Spillovers. (2013). Weber, Enzo ; Conrad, Christian.
    In: Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
    RePEc:zbw:vfsc13:79850.

    Full description at Econpapers || Download paper

  8. Increasing Trends in the Excess Comovement of Commodity Prices. (2013). Okimoto, Tatsuyoshi ; Kazuhiko, Ohashi ; Tatsuyoshi, Okimoto .
    In: Discussion papers.
    RePEc:eti:dpaper:13048.

    Full description at Econpapers || Download paper

  9. Separating the wheat from the chaff: Understanding portfolio returns in an emerging market. (2013). Eterovic, Dalibor.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:16:y:2013:i:c:p:145-169.

    Full description at Econpapers || Download paper

  10. Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?. (2013). Bhanumurthy, N R ; Ahmad, Wasim ; Sehgal, Sanjay.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:209-225.

    Full description at Econpapers || Download paper

  11. Forward-looking robust portfolio selection. (2013). Sigalotti, Laura ; Cecchetti, Sara .
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_913_13.

    Full description at Econpapers || Download paper

  12. The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments. (2013). Korsos, Laszlo F..
    In: Papers.
    RePEc:arx:papers:1306.0938.

    Full description at Econpapers || Download paper

  13. Measuring contagion between energy market and stock market during financial crisis: A copula approach. (2012). Huang, Dengshi ; Wei, YU ; Wen, Xiaoqian.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:5:p:1435-1446.

    Full description at Econpapers || Download paper

  14. Modeling interbank relations during the international financial crisis. (2011). Savva, Christos.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-10-00582.

    Full description at Econpapers || Download paper

  15. Financial Spillovers to Emerging Markets During the Global Financial Crisis. (2009). Frank, Nathaniel ; Hesse, Heiko.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2009/104.

    Full description at Econpapers || Download paper

  16. Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH. (2008). McAleer, Michael ; Caporin, Massimiliano.
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0064.

    Full description at Econpapers || Download paper

  17. Modeling International Financial Returns with a Multivariate Regime Switching Copula. (2008). Valdesogo Robles, Alfonso ; Heinen, Andréas ; Chollete, Loran .
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2008_003.

    Full description at Econpapers || Download paper

  18. Clustering Heteroskedastic Time Series by Model-Based Procedures. (2008). .
    In: Working Paper CRENoS.
    RePEc:cns:cnscwp:200801.

    Full description at Econpapers || Download paper

  19. Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-06.

    Full description at Econpapers || Download paper

  20. Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-05.

    Full description at Econpapers || Download paper

  21. Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance. (2007). Golosnoy, Vasyl ; Herwartz, Helmut.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:5903.

    Full description at Econpapers || Download paper

  22. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070025.

    Full description at Econpapers || Download paper

  23. A Multivariate Perspective for Modeling and Forecasting Inflations Conditional Mean and Variance. (2007). Capasso, Marco.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2007/21.

    Full description at Econpapers || Download paper

  24. THE EFFECT OF THE EMU ON SHORT AND LONG-RUN STOCK MARKET DYNAMICS: NEW EVIDENCE ON FINANCIAL INTEGRATION. (2007). Ordóñez, Javier ; Lafuente, Juan Angel ; Ordoez, Javier.
    In: Working Papers. Serie EC.
    RePEc:ivi:wpasec:2007-12.

    Full description at Econpapers || Download paper

  25. Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold. (2007). lucey, brian ; Baur, Dirk.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp198.

    Full description at Econpapers || Download paper

  26. Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model. (2007). Teräsvirta, Timo ; Nakatani, Tomoaki ; Terasvirta, Timo.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0649.

    Full description at Econpapers || Download paper

  27. Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados. (2007). Gomez, Karoll ; Portilla, Karoll Gomez .
    In: REVISTA DE ECONOMÍA DEL ROSARIO.
    RePEc:col:000151:004425.

    Full description at Econpapers || Download paper

  28. Co-variation des taux de croissance sectoriels au Luxembourg: l?apport des corrélations conditionnelles dynamiques. (2007). Rouabah, Abdelaziz .
    In: BCL working papers.
    RePEc:bcl:bclwop:bclwp025.

    Full description at Econpapers || Download paper

  29. A local dynamic conditional correlation model. (2006). Feng, Yuanhua.
    In: MPRA Paper.
    RePEc:pra:mprapa:1592.

    Full description at Econpapers || Download paper

  30. Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model. (2006). Otranto, Edoardo ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2006_04.

    Full description at Econpapers || Download paper

  31. Dynamic Conditional Correlation with Elliptical Distributions. (2005). Pelagatti, Matteo ; Rondena, Stefania.
    In: Econometrics.
    RePEc:wpa:wuwpem:0503007.

    Full description at Econpapers || Download paper

  32. Does Exchange Rate Risk Affect Exports Asymmetrically? Asian Evidence. (2005). Miller, Stephen ; Fang, WenShwo ; Lai, YiHao .
    In: Working papers.
    RePEc:uct:uconnp:2005-09.

    Full description at Econpapers || Download paper

  33. Export Promotion through Exchange Rate Policy: Exchange Rate Depreciation or Stabilization?. (2005). Miller, Stephen ; Fang, WenShwo ; Lai, YiHao .
    In: Working papers.
    RePEc:uct:uconnp:2005-07.

    Full description at Econpapers || Download paper

  34. Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. (2005). Verbeek, Marno ; Rombouts, Jeroen.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:40.

    Full description at Econpapers || Download paper

  35. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:05-007.

    Full description at Econpapers || Download paper

  36. Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission. (2005). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11166.

    Full description at Econpapers || Download paper

  37. The Term Structure of the Risk-Return Tradeoff. (2005). Viceira, Luis ; Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11119.

    Full description at Econpapers || Download paper

  38. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11069.

    Full description at Econpapers || Download paper

  39. Decomposing European bond and equity volatility. (2005). Christiansen, Charlotte.
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2004-01.

    Full description at Econpapers || Download paper

  40. The Term Structure of the Risk-Return Tradeoff. (2005). Viceira, Luis ; Campbell, John.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4914.

    Full description at Econpapers || Download paper

  41. Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Pesaran, M ; d'Italia, Banca ; Zaffaroni, Paolo.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:101.

    Full description at Econpapers || Download paper

  42. Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. (2004). Verbeek, Marno ; Rombouts, Jeroen.
    In: Cahiers de recherche.
    RePEc:iea:carech:0414.

    Full description at Econpapers || Download paper

  43. BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS. (2004). Rombouts, Jeroen ; Bauwens, Luc.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:370.

    Full description at Econpapers || Download paper

  44. Regime Switching for Dynamic Correlations. (2004). Pelletier, Denis.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:230.

    Full description at Econpapers || Download paper

  45. Specification Testing for Multivariate Time Series Volatility Models. (2004). Lee, Yoon-Jin ; Hong, Yongmiao.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:696.

    Full description at Econpapers || Download paper

  46. Structurally Sound Dynamic Index Futures Hedging. (2004). McGlenchy, Patrick ; Kofman, Paul .
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:80.

    Full description at Econpapers || Download paper

  47. A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets. (2004). van den Goorbergh, Rob.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:022.

    Full description at Econpapers || Download paper

  48. INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS. (2004). .
    In: Working Papers.
    RePEc:cmf:wpaper:wp2004_0409.

    Full description at Econpapers || Download paper

  49. Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Pesaran, M ; Zaffaroni, Paolo.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1358.

    Full description at Econpapers || Download paper

  50. FORECASTING THE CONDITIONAL COVARIANCE MATRIX OF A PORTFOLIO UNDER LONG-RUN TEMPORAL DEPENDENCE. (2003). Ñíguez Grau, Trino ; Rubia, Antonio ; Iguez, Trino-Manuel .
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2003-34.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-22 23:25:08 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.