文章基本信息
- 标题：Testing non-linear dependence in the Hedge Fund industry
- 本地全文：下载
- 作者：Javier Mencía
- 期刊名称：Documentos de Trabajo / Banco de España
- 印刷版ISSN：0213-2710
- 电子版ISSN：1579-8666
- 出版年度：2010
- 卷号：1
- 出版社：Banco de España
- 摘要：
This paper proposes a parsimonious approach to test non-linear dependence on the
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conditional mean and variance of hedge funds with respect to several market factors. My
approach introduces non-linear dependence by means of empirically relevant polynomial
functions of the factors. For comparison purposes, I also consider multifactor extensions of
tests based on piecewise linear alternatives. I apply these tests to a database of monthly
returns on 1,071 hedge funds. I fi nd that non-linear dependence on the mean is highly
sensitive to the factors that I consider. However, I obtain a much stronger evidence of non-linear
dependence on the conditional variance.
