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

Mila Getmansky; Loriana Pelizzon

doi:10.3905/JAI.2009.12.1.021

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