Non-Parametric Analysis of Hedge Fund Returns: New

D S E Working Paper Crisis and hedge in Fund gamble Monica Billio Mila Getmansky Loriana Pelizzon Dipartimento Scienze Economiche Department of Economics Ca Foscari University of Venice ISSN: 1827/336X no. 10/WP/2008 Working Pap er s Depar tmen t o f Economi c s C a F o s c a r i Un i v e r s i ty o f V e n i c e No. 1 1 /WP/2008 ISSN 1827-336X The Wor k i n g P a p e r S e r i e s i s a v a i l b l e o n ly on l i n e (www.ds e .uni v e . i t / p u b b l i c a z i o n i ) F o r e d i t o r i a l c o r r e s p o n d e n c e , p l e a s e cont a c t : wp.ds e@unive .

i t Depar tme n t o f Economi c s C a F o s c a r i Un i v e r s i ty o f V e n i c e Cannaregio 873, Fondamenta San Gi o b b e 30121 Ven i c e I t a ly facsimile machine: ++39 041 2349210 Non-Parametric abstract of remit Fund Returns: New Insights from High frequency info Monica Billio University of Venice and SSAV, Scuola Studi Avanzati in Venezia Mila Getmansky Isenberg School of Management, University of Massachusetts Loriana Pelizzon University of Venice and SSAV, Scuola Studi Avanzati in Venezia Abstract This musical composition examines four divergent daily entropysets of hedge shop event indexes: MSCI, FTSE, Dow Jones and HFRX, all found on investable hedge funds, and three disparate monthly datasets of hedge fund return indexes: CSFB, CISDM and HFR which comprise some(prenominal) investable and non-investable hedge funds. Our study, based on banal statistical analysis, non-parametric analysis of the distribution and non-parametric regressions with respect to the S&P500 index shows that pigment data biases and disparat! e index construction methodologies lead to different statistical properties of hedge fund databases. One key variable that extremely affects the statistical properties of hedge fund index returns is the investability of hedge funds. Keywords Hedge Fund, Risk Management, High frequency data JEL Codes G12, G29, C51 Address for correspondence: Loriana Pelizzon Department of...If you regard to get a full essay, frame it on our website: OrderCustomPaper.com

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