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- W3123760871 abstract "In this article, the authors introduce a regime-dependent nonlinear model to explain the nonlinear return and risk characteristics of hedge funds. The explanatory power of their regime-dependent nonlinear model is substantially higher than the explanatory power of simple linear regression models. Instead of applying self-constructed or option-based asset-based style (ABS) factors, the authors use readily observable market factors to attribute the returns of merger arbitrage hedge funds to three common sources of risk. Combining econometric methods for phase identification with regime-switching regressions to build a regime-dependent nonlinear model is shown to be much less time-consuming and less arbitrary in nature than using ABS factor models." @default.
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- W3123760871 date "2011-04-01" @default.
- W3123760871 modified "2023-09-28" @default.
- W3123760871 title "Regime-Dependent Nonlinear Analysis of Hedge Funds" @default.
- W3123760871 hasPublicationYear "2011" @default.
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