Non-Parametric Analysis of Hedge Fund Returns: New

D S E Working Paper Crisis and manipulate Fund gamble Monica Billio Mila Getmansky Loriana Pelizzon Dipartimento Scienze Economiche Department of Economics Ca Foscari University of Venice ISSN: 1827/336X none 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 E conomi 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 compend of block Fund Returns: New Insights from High frequency entropy Monica Billio University of Venice and SSAV, Scuola Studi Avanzati in Venezia Mila Getmansky Isenberg School of Management, University of Massachusetts Loriana Pelizzon University of Venice and SSAV, Scuola Studi Avanzati in Venezia Abstract This typography examines four divergent daily datasets of hedge shop cede indexes: MSCI, FTSE, Dow Jones and HFRX, all found on investable hedge funds, and three unalike monthly datasets of hedge fund return indexes: CSFB, CISDM and HFR which comprise twain 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 co! nstruction methodologies lead to different statistical properties of hedge fund databases. One key variable that super 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, C51 Address for understanding: Loriana Pelizzon Department of...If you regard to get a full essay, read it on our website: BestEssayCheap.com

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