Generalized runs tests to detect randomness in hedge funds returns
Author:
Funder
European Union’s Seventh Framework Programme (FP7-SSH/2007–2013)
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference41 articles.
1. Generalized style analysis of hedge funds;Agarwal;Journal of Asset Management,2000
2. Multi-period performance persistence analysis of hedge funds;Agarwal;Journal of Financial and Quantitative Analysis,2000
3. A new look at the statistical model identification;Akaike;IEEE Transactions on Automatic Control,1974
4. Predictability in hedge fund returns;Amenc;Financial Analysts Journal,2003
5. Optimal tests when a nuisance parameter is present only under the alternative;Andrews;Econometrica,1994
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