A stochastic-difference-equation model for hedge-fund returns (Q2786276)
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scientific article; zbMATH DE number 5789662
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic-difference-equation model for hedge-fund returns |
scientific article; zbMATH DE number 5789662 |
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A stochastic-difference-equation model for hedge-fund returns (English)
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21 September 2010
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hedge fund performance
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stochastic difference equation
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persistence of returns
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heavy-tailed distributions
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model calibration
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TASS hedge-fund database
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