Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination
Nonlinear Modeling of Economic and Financial Time-Series
ISBN: 978-0-85724-489-5, eISBN: 978-0-85724-490-1
ISSN: 1571-0386
Publication date: 31 December 2010
Abstract
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.
Keywords
Citation
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)0000020009
Download as .RISPublisher
:Emerald Group Publishing Limited
Copyright © 2010, Emerald Group Publishing Limited