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Cyclical dependence in market neutral hedge funds
Crego, Julio A.;
Gálvez, Julio
23-Nov-2021
Fondos de cobertura;
Neutralidad de mercado;
Market timing;
Dependencia de colas;
Gestión de riesgo;
Hedge funds;
Market neutrality;
Market timing;
Tail dependence;
Risk management;
Valoración de activos;
Instituciones financieras no bancarias
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
Mencía, Javier;
Sentana, Enrique
2-Jun-2009
Generalised hyperbolic distribution;
Maximum likelihood;
Portfolio frontiers;
Sortino ratio;
Spanning tests;
Tail dependence;
Valoración de activos;
Modelización econométrica;
Modelos econométricos
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