Vrontos, SD and Vrontos, ID and Giamouridis, D (2008) 'Hedge fund pricing and model uncertainty.' Journal of Banking and Finance, 32 (5). 741 - 753. ISSN 0378-4266

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Abstract

This article uses Bayesian model averaging to study model uncertainty in hedge fund pricing. We show how to incorporate heteroscedasticity, thus, we develop a framework that jointly accounts for model uncertainty and heteroscedasticity. Relevant risk factors are identified and compared with those selected through standard model selection techniques. The analysis reveals that a model selection strategy that accounts for model uncertainty in hedge fund pricing regressions can be superior in estimation/inference. We explore potential impacts of our approach by analysing individual funds and show that they can be economically important. © 2007 Elsevier B.V. All rights reserved.

Item Type:	Article
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science and Health > Mathematical Sciences, Department of
Depositing User:	Jim Jamieson
Date Deposited:	04 Jul 2013 14:56
Last Modified:	30 Jan 2019 16:16
URI:	http://repository.essex.ac.uk/id/eprint/11543

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