ARCH and GARCH models are substantially used for modelling volatility of time series data.
It is proven by many studies that if variables are significantly skewed, linear versions of …

Using two large hedge fund databases, this paper empirically tests the presence and significance
of a cross-sectional relation between hedge fund returns and value at risk (VaR). The …

Hedge fund strategies have histor-ically been shown to deliver good risk-adjusted returns
and further have proven to enhance the risk/return profile of a generic portfolio of traditional …

There is little published research which presents a systematic investment methodology for
allocating capital among hedge fund strategies. The result is that while there is a general …

This chapter compares four different approaches to estimating value-at-risk (VAR) for hedge
fund portfolios. We focus on approaches that are based on the thin-tailed normal, fat-tailed …

The purpose of this thesis is to analyze the time varying integration versus segmentation
question for a number of emerging stock markets including Argentina, Brazil, Chile, Mexico, and …

Many academic and practitioner studies claim that hedge funds offer a superior risk/return
profile when compared to traditional asset classes, while having low to moderate correlations …

… Bali, Zicklin School of Business and Suleyman Gokcan, Citigroup Alternative Investments …