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The Journal of Alternative Investments

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Article

Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data

Monica Billio, Mila Getmansky and Loriana Pelizzon
The Journal of Alternative Investments Summer 2009, 12 (1) 21-38; DOI: https://doi.org/10.3905/JAI.2009.12.1.021
Monica Billio
is a professor of econometrics at Dipartimento di Scienze Economiche, Università Ca’ Foscari Venezia, and a fellow at School for Advanced Studies, Venice Foundation in Venezia, Italy.
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  • For correspondence: billio@unive.it
Mila Getmansky
is an assistant professor at Isenberg School of Management, University of Massachusetts in Amherst, MA.
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  • For correspondence: msherman@som.umass.edu
Loriana Pelizzon
is an associate professor of economics at Dipartimento di Scienze Economiche, Università Ca’ Foscari Venezia, and a fellow at School for Advanced Studies, Venice Foundation in Venezia, Italy.
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  • For correspondence: pelizzon@unive.it
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The Journal of Alternative Investments
Vol. 12, Issue 1
Summer 2009
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Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
Mila Getmansky, Loriana Pelizzon
The Journal of Alternative Investments Jun 2009, 12 (1) 21-38; DOI: 10.3905/JAI.2009.12.1.021

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Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
Mila Getmansky, Loriana Pelizzon
The Journal of Alternative Investments Jun 2009, 12 (1) 21-38; DOI: 10.3905/JAI.2009.12.1.021
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  • Article
    • Abstract
    • DATA DESCRIPTION
    • EMPIRICAL RESULTS
    • NON-PARAMETRIC ANALYSIS
    • IMPLICATIONS AND FUTURE RESEARCH
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • References
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  • Editor’s Letter
  • Editor’s Letter
  • Practical Applications of A Performance Update—Hedge Funds versus Hedged Mutual Funds: An Examination of Equity Long—Short Funds
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