TESTING FOR RANDOM WALK AND STRUCTURAL BREAKS IN HEDGE FUNDS RETURNS

DOI10.1142/S0219024906003615zbMath1154.91434MaRDI QIDQ5483442

Andrea Iannelli, Mario Cerrato

Publication date: 14 August 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

unit root testsstructural breakshedge funds

Mathematics Subject Classification ID

Cites Work

• Consistent estimation of a regression with errors in the variables
• Practical Issues in the Analysis of Univariate GARCH Models
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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