Vrontos, Spyridon D and Vrontos, Ioannis D and Giamouridis, Daniel (2008) 'Hedge fund pricing and model uncertainty.' Journal of Banking & Finance, 32 (5). pp. 741-753. ISSN 0378-4266
Full text not available from this repository.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 |
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Subjects: | Q Science > QA Mathematics |
Divisions: | Faculty of Science and Health Faculty of Science and Health > Mathematical Sciences, Department of |
SWORD Depositor: | Elements |
Depositing User: | Elements |
Date Deposited: | 04 Jul 2013 14:56 |
Last Modified: | 14 Apr 2022 15:23 |
URI: | http://repository.essex.ac.uk/id/eprint/11543 |
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