Abstract
This paper examines the empirical properties of hedge fund returns and proposes a fully parametric model capable of adequately describing both univariate and multivariate return properties. The suggested model is based on the multivariate extension of the Normal Inverse Gaussian (NIG) distribution and will be shown to be capable of capturing the characteristic distributional features of hedge fund returns. Drawing on recent research in the area of Generalized Hyperbolic distributions and their calibration, we will elaborate on the application of the NIG-model for risk management purposes, and highlight the differences between the NIG and the Gaussian model.
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Kassberger, S., Kiesel, R. A fully parametric approach to return modelling and risk management of hedge funds. Fin Mkts Portfolio Mgmt 20, 472–491 (2006). https://doi.org/10.1007/s11408-006-0035-1
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DOI: https://doi.org/10.1007/s11408-006-0035-1