All Style Hedge Fund Analysis with Constant- and Time-Varying Factor Loading Models
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Published:2017
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Volume:
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ISSN:1556-5068
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Container-title:SSRN Electronic Journal
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language:en
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Short-container-title:SSRN Journal
Author:
Schmidiger Christian
Reference35 articles.
1. AU (? 8 );T W;Macro state variables: TED (? 9
2. Table 1. Regression model results.
3. 14 (continued): Regression results of time-varying model -FH8 -part II;G Table;Model factors: BdOpt (?
4. Unifying Variance Swap Term Structures, SPX and VIX Derivatives