Abstract
| Language | English |
|---|---|
| Title of host publication | Reconsidering funds of hedge funds |
| Subtitle of host publication | the financial crisis and best practices in UCITS, tail risk, performance, and due diligence |
| Editors | Greg N. Gregoriou |
| Place of Publication | Oxford |
| Publisher | Elsevier |
| Chapter | 16 |
| Pages | 261-272 |
| Number of pages | 12 |
| ISBN (Print) | 9780124016996 |
| DOIs | |
| Publication status | Published - 2013 |
| Externally published | Yes |
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A Panel-based quantile regression analysis of funds of hedge funds. / Allen, David Edmund; Kramadibrata, Akhmad; Powell, Robert John; Singh, Abhay Kumar.
Reconsidering funds of hedge funds: the financial crisis and best practices in UCITS, tail risk, performance, and due diligence. ed. / Greg N. Gregoriou. Oxford : Elsevier, 2013. p. 261-272.Research output: Chapter in Book/Report/Conference proceeding › Chapter › Research › peer-review
TY - CHAP
T1 - A Panel-based quantile regression analysis of funds of hedge funds
AU - Allen, David Edmund
AU - Kramadibrata, Akhmad
AU - Powell, Robert John
AU - Singh, Abhay Kumar
PY - 2013
Y1 - 2013
N2 - This chapter analyzes the aggregate performance of a series of funds of hedge funds (FoHFs) as captured by BarclayHedge hedge fund data in a panel context. The analysis features a study of the sensitivity of the quantiles of the hedge fund return distributions to a set of factors chosen to capture the size of the FoHFs, movements of global stock markets, interest rates, and currencies. This study analyzes 152 FoHFs drawn from the BarclayHedge FoHFs database for the time period from January 2002 to December 2011, covering 10 years. The comparative analysis between a linear regression panel model and a panel quantile regression model shows that the effect of the factor (or explanatory variable) changes across quantiles of the FoHFs return distribution.
AB - This chapter analyzes the aggregate performance of a series of funds of hedge funds (FoHFs) as captured by BarclayHedge hedge fund data in a panel context. The analysis features a study of the sensitivity of the quantiles of the hedge fund return distributions to a set of factors chosen to capture the size of the FoHFs, movements of global stock markets, interest rates, and currencies. This study analyzes 152 FoHFs drawn from the BarclayHedge FoHFs database for the time period from January 2002 to December 2011, covering 10 years. The comparative analysis between a linear regression panel model and a panel quantile regression model shows that the effect of the factor (or explanatory variable) changes across quantiles of the FoHFs return distribution.
UR - http://www.scopus.com/inward/record.url?scp=84882714287&partnerID=8YFLogxK
U2 - 10.1016/B978-0-12-401699-6.00016-2
DO - 10.1016/B978-0-12-401699-6.00016-2
M3 - Chapter
SN - 9780124016996
SP - 261
EP - 272
BT - Reconsidering funds of hedge funds
A2 - Gregoriou, Greg N.
PB - Elsevier
CY - Oxford
ER -