Hedge fund pricing and model uncertainty
Vrontos, S., Vrontos, I.D. and Giamouridis, D. 2008. Hedge fund pricing and model uncertainty. Journal of Banking and Finance. 32 (5), pp. 741-753. https://doi.org/10.1016/j.jbankfin.2007.05.011
Vrontos, S., Vrontos, I.D. and Giamouridis, D. 2008. Hedge fund pricing and model uncertainty. Journal of Banking and Finance. 32 (5), pp. 741-753. https://doi.org/10.1016/j.jbankfin.2007.05.011
| Title | Hedge fund pricing and model uncertainty |
|---|---|
| Authors | Vrontos, S., Vrontos, I.D. and Giamouridis, D. |
| 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. |
| Journal | Journal of Banking and Finance |
| Journal citation | 32 (5), pp. 741-753 |
| ISSN | 0378-4266 |
| Year | May 2008 |
| Publisher | Elsevier |
| Digital Object Identifier (DOI) | https://doi.org/10.1016/j.jbankfin.2007.05.011 |
| Publication dates | |
| Published | May 2008 |