Quantile regression analysis of hedge fund strategies

Journal of Empirical Finance

Volumn 16, Issue 2, 2009, Pages 264-279

  Meligkotsidou, Loukia ^a   Vrontos, Ioannis D ^b   Vrontos, Spyridon D ^c  

^a UNIVERSITY OF ATHENS   (Greece)

^b ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

^c UNIVERSITY OF PIRAEUS   (Greece)

Author keywords

Bayesian model averaging; Conditional quantiles; Hedge funds; Model selection techniques; Model uncertainty; Risk factors; Style portfolio construction

Indexed keywords

EID: 59249084429     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2008.10.002     Document Type: Article

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