Evidence for hedge fund predictability from a multivariate Student'stfull-factor GARCH model

DOI10.1080/02664763.2011.644771OpenAlexW1985263145MaRDI QIDQ5127039

Ioannis D. Vrontos

Publication date: 21 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2011.644771

zbMATH Keywords

model uncertaintypredictabilityhedge fundsfat tailsStudent's \(t\)-distributionmultivariate GARCH model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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