Originality/value of the chapter – Introducing goodness-of-fit bootstrap method to validate the choice of the best structure of dependence is relevant for hedge fund portfolios. Copulas would be introduced to provide better estimations of performance measures.
Hentati, R. and Prigent, J. (2010), "Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination", Jawadi, F. and Barnett, W. (Ed.) Nonlinear Modeling of Economic and Financial Time-Series (International Symposia in Economic Theory and Econometrics, Vol. 20), Emerald Group Publishing Limited, Bingley, pp. 83-109. https://doi.org/10.1108/S1571-0386(2010)0000020009Download as .RIS
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