On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns

Racicot, François-Éric; Théoret, Raymond

doi:10.1007/s11294-008-9179-2

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On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns

Abstract: Hedge funds returns, Alpha of Jensen, Financial models, Cumulants, Higher moments, Specification errors, Aggregation bias, C10, G10, G20,

Cited by 4 publications

References 20 publications

Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables

Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables

Erreurs de mesure sur les variables économiques et financières

Hedge Fund Market Risk Exposures: A Survey

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