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| Author: | Li, Y. Kazemi, H. |
| Title: | Conditional properties of hedge funds: evidence from daily returns |
| Journal: | European Financial Management
2007 : MAR, VOL. 13:2, p. 211-238 |
| Index terms: | hedging return on investment volatility |
| Language: | eng |
| Abstract: | Daily returns are used on a set of hedge fund indices, this paper studies: 1) the properties of the indices' conditional density functions and 2) the presence of asymmetries in conditional correlations between hedge fund indicies and other investments and between hedge fund indicies themselves. The SNP approach is used to obtain estimates of conditional densities of hedge fund returns, after which their properties are examined. In general, a nonparametric GARCH (1,1) model appears to provide the best fit for all strategies. It is found that the conditional third and fourth moments are significantly affected by changes in the current volatility of returns on hedge fund indicies. |
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