Français
The Econometric Analysis of Hedge Fund Returns: An Errors-In-Variables Perspective.
Appartenance & droits
2008
128
134.77-RACIC
HEDGE FUNDS ; FINANCIAL MATHEMATICS ; NUMERICAL ANALYSIS ; ROI ; CAPITAL ASSETS PRICING MODEL ; MODEL
| No. | Call n° | Bar code | Commentary | |
|---|---|---|---|---|
| 1 | [available] |
Comment :
ISBN 13 : 978-8497453783
Contents : 1.Introduction to the methods of moments
2.The method moments and the OLS
3.The methods of moments and the instrumental variable (IV) estimator
4.The GMM and the orthogonality conditions
5.Maximum likelihood and the GMM
6.On optimal instrumental variables generators
7.Measurement errors in financial models of returns in relation with the alpha : an application to indices and individual hedge funds
8.Panel data. A panel analysis of hedge funds returns
9.A study of dynamic market strategies of hedge funds using the Kalman filter
10.References
Language : English
Series : SERIES IN METHODOLOGY AND DATA ANALYSIS IN SOCIAL SCIENCES
Location : Nice Library
Material : Paper
Statement : Présent
Owner : Bibliothèque