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Hedge fund pricing and model uncertainty
Authors:Spyridon D Vrontos  Ioannis D Vrontos  Daniel Giamouridis
Institution:1. Department of Statistics and Actuarial-Financial Mathematics, University of Aegean, Samos, Greece;2. Department of Statistics, Athens University of Economics and Business, Athens, Greece;3. Department of Accounting and Finance, Athens University of Economics and Business, Athens, Greece;4. Faculty of Finance, Sir John Cass Business School, City University, London, UK
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.
Keywords:G11  G12  C11
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