Web1 de mar. de 2024 · In this article, we relate the return co-skewness and co-kurtosis of hedge fund strategies to macroeconomic and financial shocks. We find that hedge … WebHIGHER MOMENT CAPITAL Overview. Higher Moment Capital Llc is a hedge fund that manages 155.9 MM dollars in regulatory AUM and has 6 employees, of which 3 …
The response of hedge fund higher moment risk to …
Web12 de abr. de 2024 · This paper uses a higher moment capital asset pricing model to characterize the returns of several types of hedge fund indices. The quantile regression approach is used to test for any possible changes in the coefficients of the model. The … Web1 de mar. de 2024 · We find that hedge funds’ return higher moments are quite sensitive to these shocks, and especially during the subprime crisis. Our robust IV-GMM estimation procedure reveals that output shocks are more important for explaining the co-kurtosis of most hedge fund strategies than shocks related to jumps in the VIX, while we find the … lost ark change bonus effect
Higher Moment Capital - Fund and Executive Details
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