Nothing Special   »   [go: up one dir, main page]

create a website
Inflation hedging portfolios in different regimes. (2011). Briere, Marie ; Signori, Ombretta.
In: BIS Papers chapters.
RePEc:bis:bisbpc:58-08.

Full description at Econpapers || Download paper

Cited: 4

Citations received by this document

Cites: 62

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. Inflation and interest rate derivatives for FX risk management: Implications for exporting firms under real wealth. (2014). Koziol, Philipp.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:54:y:2014:i:4:p:459-472.

    Full description at Econpapers || Download paper

  2. A Dynamic Inflation Hedging Trading Strategy Using a CPPI. (2012). Fulli-Lemaire, Nicolas.
    In: MPRA Paper.
    RePEc:pra:mprapa:42851.

    Full description at Econpapers || Download paper

  3. Inflation and Individual Equities. (2012). Ang, Andrew ; Signori, Ombretta ; Briere, Marie.
    In: Post-Print.
    RePEc:hal:journl:hal-01494500.

    Full description at Econpapers || Download paper

  4. Inflation and Individual Equities. (2012). Ang, Andrew ; Signori, Ombretta ; Briere, Marie.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/7847.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Agarwal, V., Naik, N., 2004. Risks and Portfolio Decisions Involving Hedge Funds. Review of Financial Studies, 17(1), 63–8.

  2. Amenc, N., Martellini, L., Ziemann, V., 2009. Alternative Investments for Institutional Investors, Risk Budgeting Techniques in Asset Management and Asset-Liability Management. The Journal of Portfolio Management, 35(4), Summer, 94-110.
    Paper not yet in RePEc: Add citation now
  3. Amisano, G., Giannini, C., 1997. Topics in structural VAR econometrics, Second edition, Berlin and New York: Springer.
    Paper not yet in RePEc: Add citation now
  4. Ang, A., Bekaert, G., 2002. International Asset Allocation with Regime Shifts. Review of Financial Studies, 15, 1137-1187.

  5. Attié, A.P., Roache, S.K., 2009. Inflation Hedging for Long-Term Investors. IMF Working Paper, No. 09-90, April.

  6. Baele, L., Bekaert ,G., Inghelbrecht, K., 2009. The Determinants of Stock and Bond Return Comovements. NBER Working Paper, No. 15260, August.

  7. Balduzzi, P., Lynch, A.W., 1999. Transaction Costs and Predictability: Some Utility Cost Calculations. Journal of Financial Economics, 52, 47-78.

  8. Barberis, N., 2000. Investing for the Long Run when Returns are Predictable. The Journal of Finance, 40(1), February, 225-264.

  9. Bekaert, G., Engstrom, E., 2009. Inflation and the Stock Market: Understanding the Fed Model. NBER Working Paper, No. 15024, June.

  10. Berardi, A., 2005. Real Rates, Excepted Inflation and Inflation Risk Premia Implicit in Nominal Bond Yields. Università di Verona Working Paper, October.
    Paper not yet in RePEc: Add citation now
  11. Bernanke, B., 2004. The Great Moderation. Remarks at the meetings of the Eastern Economic Association, Washington, DC, February 20.
    Paper not yet in RePEc: Add citation now
  12. Billio, M., Casarin, R., 2007. Stochastic Optimization for Allocation Problems with Shortfall Constraints, Applied Stochastic Models in Business and Industry, 23(3), May, 247-271.

  13. BIS Papers No 58 161 Browne, F., Cronin, D., 2007. Commodity Prices, Money and Inflation. ECB Working Paper, No. 738, March.

  14. BIS Papers No 58 163 Smith, G., Gould, D.P., 2007. Measuring and Controlling Shortfall Risk in Retirement. The Journal of Investing, Spring, 16(1), 82-95.
    Paper not yet in RePEc: Add citation now
  15. BIS Papers No 58 Hoevenaars, R.R., Molenaar, R., Schotman, P., Steenkamp, T., 2008. Strategic Asset Allocation with Liabilities: Beyond Stocks and Bonds. Journal of Economic Dynamic and Control, 32, 2939-2970.

  16. Blanchard, O. J., Simon, J.A., 2001. The Long and Large Decline in US Output Volatility.

  17. Blomberg, S. B., Harris, E.S., 1995. The commodity-consumer price connection: fact or fable?. Federal Reserve Bank of New York Economic Policy Review, 1(3), October.

  18. Brandt, M.W., Wang, K.Q., 2003. Time-Varying Risk Aversion and Unexpected Inflation.

  19. Brennan, M., Schwartz, E., Lagnado, R., 1997. Strategic Asset Allocation. Journal of Economic Dynamics and Control, 21, 1377-1403.

  20. Brennan, M.J., Xia, Y., 2002. Dynamic Asset Allocation under Inflation. The Journal of Finance, 57(3), 1201-1238.

  21. Brière M., Signori O., Burgues A., 2010. Volatility Exposure for Strategic Asset Allocation. The Journal of Portfolio Management, forthcoming.

  22. Brière, M., Signori, O., 2009. Do Inflation-Linked Bonds still Diversify?. European Financial Management, 15 (2), 279-339.

  23. Campbell, J.Y., 2009. The Changing Role of Nominal Bonds in Asset Allocation, The Geneva Risk and Insurance Review, 34, 89-104.
    Paper not yet in RePEc: Add citation now
  24. Campbell, J.Y., Ammer, J., 1993. What Moves the Stock and Bond Markets: A Variance Decomposition for Long-Term Asset Returns. The Journal of Finance, 48(1), 3-37.

  25. Campbell, J.Y., Chan, Y.L., Viceira, L.M., 2003. A Multivariate Model for Strategic Asset Allocation. Journal of Financial Economics, 67, 41-80.

  26. Campbell, J.Y., Shiller, R., 1988. Stock Prices, Earnings and Expected Dividends. The Journal of Finance, 43(3), 661-676.

  27. Campbell, J.Y., Sunderam A., Viceira L.M., 2009. Inflation Bets or Deflation Hedge? The Changing Risk of Nominal Bonds, NBER Working Paper, No. 14701, January.

  28. Campbell, J.Y., Viceira, L.M., 2002. Strategic Asset Allocation: Portfolio Choice for Long Term Investors. Oxford University Press, Oxford.

  29. Campbell, J.Y., Vuolteenaho, T., 2004. Inflation Illusion and Stock Prices. NBER Working Paper, No. 10263, February.

  30. Campbell, J.Y., Yogo, M., 2006. Efficient Tests of Stock Return Predictability. Journal of Financial Economics, 81, 27-60.

  31. Cochrane, J.H., 2009. Understanding Fiscal and Monetary Policy un 2008-2009. University of Chicago Working Paper, October.
    Paper not yet in RePEc: Add citation now
  32. Connolly, R.A., Stivers, C.T., Sun, L., 2005. Stock Market Uncertainty and the Stock-Bond Return Relationship. Journal of Financial and Quantitative Analysis, 40(1), March, 161-194.

  33. D’Amico, S., Kim, D., Wei, M., 2008. Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices. BIS Working Paper, No. 248, March.

  34. Eijffinger, S.C.W., Geraats, P.M., van der Cruijsen, C.A.B., 2006. Does Central Bank Transparency Reduce Interest Rates?. CEPR Working Paper, No. 5526, March.

  35. Fama, E. F., Schwert, G. W., 1977. Asset Returns and Inflation. Journal of Financial Economics, 5, 115-146.

  36. Fugazza, C., Guidolin, M., Nicodano, G., 2007. Investing in the Long-Run in European Real Estate. Journal of Real Estate Finance and Economics, 34, 35-80.

  37. Garcia, R., Perron, P., 1996. An Analysis of the Real Interest Rate under Regime Shifts. Review of Economics and Statistics, 78, 111-125.

  38. Geske, R., Roll, R., 1983. The Fiscal and Monetary Linkage Between Stock Returns and Inflation. The Journal of Finance, 38(1), 1-33.

  39. Goetzmann, W.N., Li, L., Rouwenhorst, K.G., 2005. Long-term global market correlations. Journal of Business, 78(1), 1-38.

  40. Goetzmann, W.N., Valaitis, E., 2006. Simulating Real Estate in the Investment Portfolio: Model Uncertainty and Inflation Hedging. Yale ICF Working Paper, No. 06-04, March.

  41. Guidolin, M., Timmermann, A., 2005. Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching. Federal Reserve Bank of Saint Louis Working Paper, No. 2005-002.

  42. Harlow, W.V., 1991. Asset Pricing in a Downside-Risk Framework. Financial Analyst Journal, 47(5), September-October, 28-40.
    Paper not yet in RePEc: Add citation now
  43. Hooker, M.A., 2002. Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in Regime. Journal of Money, Credit and Banking, 34(2), May.

  44. Ilmanen, A., 2003. Stock-Bond Correlations. The Journal of Fixed Income, 13(2), September, 55-66.
    Paper not yet in RePEc: Add citation now
  45. Kandel, S., Stambaugh, R., 1996. On the Predictability of Stock Returns: an Asset Allocation Perspective. The Journal of Finance, 51(2), 385-424.

  46. Kim, D.H., Wright, J.H., 2005. An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates. Board of the Federal Reserve Research Paper Series, No. 2005-33, August.

  47. Kizys, R., Spencer, P., 2008. Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK. Quantitative and Qualitative Analysis in Social Sciences, 2 (1), 50-77.

  48. Kothari, S., Shanken, J., 2004. Asset Allocation with Inflation-Protected Bonds. Financial Analyst Journal, 60(1), 54-70.
    Paper not yet in RePEc: Add citation now
  49. Leibowitz, M.L., 1987. Pension Asset Allocation through Surplus Management. Financial Analyst Journal, 43(2), March-April, 29-40.
    Paper not yet in RePEc: Add citation now
  50. Leibowitz, M.L., Henriksson, R.D., 1989. Portfolio Optimisation with Shortfall Constraints: a Confidence-Limit Approach to Managing Downside Risk. Financial Analyst Journal, 45(2), March-April, 34-41.
    Paper not yet in RePEc: Add citation now
  51. Leibowitz, M.L., Kogelman, S., 1991. Asset Allocation under Shortfall Constraints. The Journal of Portfolio Management, 17(2), Winter, 18-23.
    Paper not yet in RePEc: Add citation now
  52. Lettau, M., Ludvigson, S. C., Wachter, J. A., 2009. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?. Review of Financial Studies, Oxford University Press for Society for Financial Studies, 21(4), 1653-1687.
    Paper not yet in RePEc: Add citation now
  53. Li, L., 2002. Macroeconomic Factors and the Correlation of Stock and Bond Returns. Yale ICF Working Paper, No. 02-46.
    Paper not yet in RePEc: Add citation now
  54. Lucas, A., Klaassen, P., 1998. Extreme Returns, Downside Risk and Optimal Asset Allocation. The Journal of Portfolio Management, 25(1), Fall, 71-79.
    Paper not yet in RePEc: Add citation now
  55. Lynch, A., 2001. Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability. Journal of Financial Economics, 62, 67-130.

  56. Martellini, L., Ziemann, V., 2007. Extending Black-Litterman Analysis Beyond the MeanVariance Framework. The Journal of Portfolio Management, 33(4), Summer, 33-44.
    Paper not yet in RePEc: Add citation now
  57. Ritter, J., Warr, R.S., 2002. The Decline of Inflation and the Bull Market of 1982-1999. Journal of Financial and Quantitative Analysis, 37(1), p. 29-61.

  58. Roy, A.D., 1952. Safety First and the Holding of Assets. Econometrica, 20(3), 431-449.
    Paper not yet in RePEc: Add citation now
  59. Sharpe, W.F., Tint, L.G., 1990. Liabilities: a New Approach. The Journal of Portfolio Management, Winter, 16(2), 5-10.
    Paper not yet in RePEc: Add citation now
  60. Summers, P. M., 2005. What caused The Great Moderation? Some Cross-Country Evidence. Economic Review Federal Reserve Bank of Kansas City, 90(3), 5-32.

  61. van Binsbergen, J.H., Brandt, M.W., 2007. Optimal Asset Allocation in Asset Liability Management. NBER Working Paper, No.12970.

  62. Walsh, C., 2009. Using Monetary Policy to Stabilize Economic Activity. University of California San Diego Working Paper, August.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Portfolio optimization in hedge funds by OGARCH and Markov Switching Model. (2015). Luo, Cuicui ; Wu, Lin-Liang Bill ; Seco, Luis.
    In: Omega.
    RePEc:eee:jomega:v:57:y:2015:i:pa:p:34-39.

    Full description at Econpapers || Download paper

  2. CoVaR. (2014). Brunnermeier, Markus ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:348.

    Full description at Econpapers || Download paper

  3. The Impact of Hedge Funds on Asset Markets. (2014). Ramadorai, Tarun ; Patton, Andrew ; Kruttli, Mathias .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10151.

    Full description at Econpapers || Download paper

  4. Pension funds’allocations to hedge funds: an empirical analysis of US and Canadian defined benefit plans. (2013). Bouvatier, Vincent ; Rigot, Sandra.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2013-4.

    Full description at Econpapers || Download paper

  5. Funds of hedge funds: performance, risk and capital formation 2005 to 2010. (2012). Fung, William ; Naik, Narayan ; Hsieh, David ; Edelman, Daniel .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:87-108.

    Full description at Econpapers || Download paper

  6. Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests. (2012). Bessler, Wolfgang ; Kurmann, Philipp ; Holler, Julian.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:26:y:2012:i:1:p:109-141.

    Full description at Econpapers || Download paper

  7. Diversification in the hedge fund industry. (2012). Dai, Na ; Cumming, Douglas ; Shawky, Hany A..
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:18:y:2012:i:1:p:166-178.

    Full description at Econpapers || Download paper

  8. Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM. (2012). Charles-Cadogan, G..
    In: Papers.
    RePEc:arx:papers:1206.4562.

    Full description at Econpapers || Download paper

  9. Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets. (2012). Charles-Cadogan, G..
    In: Papers.
    RePEc:arx:papers:1206.2662.

    Full description at Econpapers || Download paper

  10. Assessing the Performance of Funds of Hedge Funds. (2011). Pirotte Speder, Hugues ; Dewaele, Benoit ; Tuchschmid, N. ; Wallerstein, E..
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/97544.

    Full description at Econpapers || Download paper

  11. Corporate governance and hedge fund activism. (2011). Mooradian, Robert ; Boyson, Nicole .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:169-204.

    Full description at Econpapers || Download paper

  12. The option CAPM and the performance of hedge funds. (2011). Garcia, René ; Diez de los Rios, Antonio.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:137-167.

    Full description at Econpapers || Download paper

  13. The financial crisis and hedge fund returns. (2011). Bollen, Nicolas .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:14:y:2011:i:2:p:117-135.

    Full description at Econpapers || Download paper

  14. Liquidity Shocks and Hedge Fund Contagion. (2011). Stulz, René ; Stahel, Christof W. ; Boyson, Nicole M..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2011-12.

    Full description at Econpapers || Download paper

  15. CAPM-like formulae and good deal absence with ambiguous setting and coherent risk measure. (2011). Balbas, Alejandro .
    In: INDEM - Working Paper Business Economic Series.
    RePEc:cte:idrepe:id-11-04.

    Full description at Econpapers || Download paper

  16. On the High-Frequency Dynamics of Hedge Fund Risk Exposures. (2011). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8479.

    Full description at Econpapers || Download paper

  17. Explaining the returns of active currency managers. (2011). Nasypbek, Sam ; Rehman, Scheherazade S.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-11.

    Full description at Econpapers || Download paper

  18. Inflation hedging portfolios in different regimes. (2011). Briere, Marie ; Signori, Ombretta.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-08.

    Full description at Econpapers || Download paper

  19. Risk measures for autocorrelated hedge fund returns. (2011). Stork, Philip ; Di Cesare, Antonio ; de Vries, Casper.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_831_11.

    Full description at Econpapers || Download paper

  20. On the Dynamics of Hedge Fund Risk Exposures. (2010). Ramadorai, Tarun ; Patton, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7780.

    Full description at Econpapers || Download paper

  21. Do hedge funds manage their reported returns?. (2009). Naik, Narayan Y. ; Agarwal, Vikas ; Daniel, Naveen D..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0709.

    Full description at Econpapers || Download paper

  22. Role of managerial incentives and discretion in hedge fund performance. (2009). Naik, Narayan Y. ; Agarwal, Vikas ; Daniel, Naveen D..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0404.

    Full description at Econpapers || Download paper

  23. Reducing estimation risk in optimal portfolio selection when short sales are allowed. (2009). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon.
    In: Managerial and Decision Economics.
    RePEc:wly:mgtdec:v:30:y:2009:i:5:p:281-305.

    Full description at Econpapers || Download paper

  24. Inflation-hedging portfolios in Different Regimes. (2009). Signori, Ombretta ; Brière, Marie ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:09-047.

    Full description at Econpapers || Download paper

  25. Risk Management Framework for Hedge Funds: Role of Funding and Redemption Options on Leverage. (2009). Dai, John ; Sundaresan, Suresh.
    In: MPRA Paper.
    RePEc:pra:mprapa:16483.

    Full description at Econpapers || Download paper

  26. Market Dispersion and the Profitability of Hedge Funds. (2009). Connor, Gregory ; Li, Sheng.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n2000109.pdf.

    Full description at Econpapers || Download paper

  27. The persistence in hedge fund performance: extended analysis. (2009). Capocci, Daniel ; Daniel P. J. Capocci, .
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:14:y:2009:i:3:p:233-255.

    Full description at Econpapers || Download paper

  28. Employment risk, compensation incentives and managerial risk taking: Evidence from the mutual fund industry. (2008). Ruenzi, Stefan ; Kempf, Alexander ; Thiele, Tanja .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0702.

    Full description at Econpapers || Download paper

  29. Regime switching models of hedge fund returns. (2008). Downarowicz, Anna ; Blazsek, Szabolcs.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1208.

    Full description at Econpapers || Download paper

  30. Volatility Exposure for Strategic Asset Allocation. (2008). Signori, Ombretta ; Brière, Marie ; Burgues, Alexandre ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:08-034.

    Full description at Econpapers || Download paper

  31. Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory. (2008). Pezier, Jacques .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2008-05.

    Full description at Econpapers || Download paper

  32. Tracking problems, hedge fund replication and alternative beta. (2008). Roncalli, Thierry ; Weisang, Guillaume .
    In: MPRA Paper.
    RePEc:pra:mprapa:37358.

    Full description at Econpapers || Download paper

  33. The Hedge Fund Game. (2008). Young, H. ; Foster, Dean P.
    In: Economics Papers.
    RePEc:nuf:econwp:0801.

    Full description at Econpapers || Download paper

  34. Hedge Fund Contagion and Liquidity. (2008). Stulz, René ; Stahel, Christof W. ; Boyson, Nicole M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14068.

    Full description at Econpapers || Download paper

  35. Do Funds-of-Funds Deserve Their Fees-on-Fees?. (2008). Zhao, Rui ; Rhodes-Kropf, Matthew ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13944.

    Full description at Econpapers || Download paper

  36. Do Hedge Funds Profit From Mutual-Fund Distress?. (2008). Stein, Jeremy ; Hong, Harrison ; Hanson, Samuel ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13786.

    Full description at Econpapers || Download paper

  37. Asset pricing models with errors-in-variables. (2008). Coen, Alain ; Carmichael, Benoit.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:4:p:778-788.

    Full description at Econpapers || Download paper

  38. Risk Measurement and Management in a Crisis-Prone World. (2008). Wong, Woon ; Copeland, Laurence.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2008/14.

    Full description at Econpapers || Download paper

  39. On the relative performance of multi-strategy and funds of hedge funds. (2007). Kale, Jayant R. ; Agarwal, Vikas.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0711.

    Full description at Econpapers || Download paper

  40. Hedge funds for retail investors? An examination of hedged mutual funds. (2007). Naik, Narayan Y. ; Agarwal, Vikas ; Boyson, Nicole M..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0704.

    Full description at Econpapers || Download paper

  41. Optimal Hedging with Higher Moments. (2006). Černý, Aleš ; Brooks, Chris ; Cerny, A. ; Miffre, J..
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2006-12.

    Full description at Econpapers || Download paper

  42. Is There Hedge Fund Contagion?. (2006). Stulz, René ; Stahel, Christof W. ; Boyson, Nicole M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12090.

    Full description at Econpapers || Download paper

  43. Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence. (2006). Chabi-Yo, Fousseni.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-38.

    Full description at Econpapers || Download paper

  44. Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns. (2006). Garcia, René ; Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:06-31.

    Full description at Econpapers || Download paper

  45. Building a Better Fund of Hedge Funds: A Fractal and Alpha - Stable Distribution Approach. (2005). Olszewski, Yan.
    In: Finance.
    RePEc:wpa:wuwpfi:0507018.

    Full description at Econpapers || Download paper

  46. Estimating Bank Trading Risk: A Factor Model Approach. (2005). O'Brien, James ; Berkowitz, Jeremy .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11608.

    Full description at Econpapers || Download paper

  47. Systemic Risk and Hedge Funds. (2005). Lo, Andrew ; Getmansky, Mila ; Haas, Shane M. ; Chan, Nicholas .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11200.

    Full description at Econpapers || Download paper

  48. Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?. (2005). Yu, Fan ; Duarte, Jefferson ; Longstaff, Francis A..
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt6zx6m7fp.

    Full description at Econpapers || Download paper

  49. Strategic trading behavior and price distortion in a manipulated market: Anatomy of a squeeze. (2004). Merrick, John J. ; Yadav, Pradeep K. ; Naik, Narayan Y..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0407.

    Full description at Econpapers || Download paper

  50. Risk and return in convertible arbitrage: Evidence from the convertible bond market. (2004). Naik, Narayan Y. ; Loon, Yee Cheng ; Fung, William H. ; Agarwal, Vikas.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0403.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-26 14:35:44 || 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.