Skip navigation

Testing non-linear dependence in the hedge fund industry

Thumbnail
View
613,93 kB
Authors
Issue Date
2010
Physical description
44 p. : tab., gráf.
Abstract
This paper proposes a parsimonious approach to test non-linear dependence on the conditional mean and variance of hedge funds with respect to several market factors. My approach introduces non-linear dependence by means of empirically relevant polynomial functions of the factors. For comparison purposes, I also consider multifactor extensions of tests based on piecewise linear alternatives. I apply these tests to a database of monthly returns on 1,071 hedge funds. I fi nd that non-linear dependence on the mean is highly sensitive to the factors that I consider. However, I obtain a much stronger evidence of non-linear dependence on the conditional variance
Publish on
Documentos de trabajo / Banco de España, 1007
Subjects
Appears in Collections:


loading