Non-Parametric Analysis of Hedge Fund Returns: New

D S E Working Paper Crisis and hem in Fund gamble Monica Billio Mila Getmansky Loriana Pelizzon Dipartimento Scienze Economiche Department of Economics Ca Foscari University of Venice ISSN: 1827/336X no 10/WP/2008 Working Pap er s Depar tmen t o f Economi c s C a F o s c a r i Un i v e r s i ty o f V e n i c e No. 1 1 /WP/2008 ISSN 1827-336X The Wor k i n g P a p e r S e r i e s i s a v a i l b l e o n ly on l i n e (www.ds e .uni v e . i t / p u b b l i c a z i o n i ) F o r e d i t o r i a l c o r r e s p o n d e n c e , p l e a s e cont a c t : wp.ds e@unive . i t Depar tme n t o f Economi c s C a F o s c a r i Un i v e r s i ty o f V e n i c e Cannaregio 873, Fondamenta San Gi o b b e 30121 Ven i c e I t a ly facsimile machine: ++39 041 2349210 Non-Parametric digest of manipulate Fund Returns: New Insights from High frequency info Monica Billio University of Venice and SSAV, Scuola Studi Avanzati in Venezia Mila Getmansky Isenberg School o f Management, University of Massachusetts Loriana Pelizzon University of Venice and SSAV, Scuola Studi Avanzati in Venezia Abstract This melodic theme examines four divergent daily infosets of hedge shop knuckle under indexes: MSCI, FTSE, Dow Jones and HFRX, all found on investable hedge funds, and three diametric monthly datasets of hedge fund return indexes: CSFB, CISDM and HFR which comprise both(prenominal) investable and non-investable hedge funds. Our study, based on banal statistical compendium, non-parametric analysis of the distribution and non-parametric regressions with respect to the S&P500 index shows that pigment data biases and disparate index construction methodologies lead to different statistical properties of hedge fund databases. One key variable that passing affects the statistical properties of hedge fund index returns is the investability of hedge funds. Keywords Hedge Fund, Risk Management, High frequency data JEL Codes G12, G29, C 51 Address for commensurateness: Loriana P! elizzon Department of...If you regard to get a full essay, hostelry it on our website: BestEssayCheap.com

If you want to get a full essay, visit our page: cheap essay