Evidence for hedge fund predictability from a multivariate Student's<i>t</i>full-factor GARCH model (Q5127039)
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scientific article; zbMATH DE number 7263542
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Evidence for hedge fund predictability from a multivariate Student's<i>t</i>full-factor GARCH model |
scientific article; zbMATH DE number 7263542 |
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Evidence for hedge fund predictability from a multivariate Student's<i>t</i>full-factor GARCH model (English)
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21 October 2020
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fat tails
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hedge funds
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model uncertainty
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multivariate GARCH model
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predictability
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Student's \(t\)-distribution
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