Detecting structural breaks and identifying risk factors in hedge fund returns: A Bayesian approach

Journal of Banking and Finance

Volumn 32, Issue 11, 2008, Pages 2471-2481

  Meligkotsidou, Loukia ^a   Vrontos, Ioannis D ^b  

^a UNIVERSITY OF ATHENS   (Greece)

^b ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

Author keywords

Bayesian inference; Forward backward algorithm; Hedge funds; Market events; Risk factors; Structural breaks

Indexed keywords

EID: 52949132611     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.05.007     Document Type: Article

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