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Finance and Financial Management Commons™
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Articles 1 - 3 of 3
Full-Text Articles in Finance and Financial Management
Are Un-Registered Hedge Funds More Likely To Misreport Returns?, Jorge Perez
Are Un-Registered Hedge Funds More Likely To Misreport Returns?, Jorge Perez
Financial Analyst
This paper seeks to introduce an empirical finance analysis of the relationship between misreporting behavior in hedge funds at the return level and registration as an investment adviser with the SEC, a law that has been enacted, overturned and re-enacted in the last decade. We hypothesize that hedge funds that are not registered with the SEC will be more likely to misreport returns so that a fund will seem as if it is generating positive returns more often than not. We test our hypothesis on the return level by conducting several statistical tests and regression models on hedge fund monthly …
Geometric Information Of Yield Curve, Unspanned Stochastic Volatility, And Affine Heath-Jarrow-Morton Models, Qingbin Wang
Geometric Information Of Yield Curve, Unspanned Stochastic Volatility, And Affine Heath-Jarrow-Morton Models, Qingbin Wang
Legacy Theses & Dissertations (2009 - 2024)
The differences between the daily routine of fitting the yield curve (or equivalently, the forward rate curve) and the dynamic
A Stochastic Volatility Model With Leverage Effect And Regime Switching, Hong Jiang
A Stochastic Volatility Model With Leverage Effect And Regime Switching, Hong Jiang
Legacy Theses & Dissertations (2009 - 2024)
Modeling the volatility of asset returns is a very important study in financial economics. Among the time-varying volatility models, the Stochastic Volatility (SV) models are argued to have advantages over the autoregressive conditional heteroskedasticity (ARCH) models. The purpose of this article is to put forward a generalized and flexible Stochastic Volatility model, the Stochastic Volatility Model with Leverage Effect and Regime Switching (SVLR model), which could capture the complex features of financial time series to the most extent.