2002 Series
Indexation doesn't make sense.
Harry Kat
2002-26
Later version published in Journal of Wealth Management (2003)
Managed Futures and Hedge Funds: A Match Made in Heaven.
Harry Kat
2002-25
Later version published in Journal of Investment Management (2004)
abstract
In Search of the Optimal Fund of Hedge Funds.
Harry Kat
2002-24
Later version published in Journal of Wealth Management (2004)
abstract
The Dangers of Using Correlation to Measure Dependence.
Harry Kat
2002-23
Later version published in Journal of Alternative Investments (2003)
Taking the Sting Out of Hedge Funds.
Harry Kat
2002-22
Later version published in Journal of Wealth Management (2003)
abstract
Operational Risk Management.
Jacques Pezier
2002-21
abstract
A Constructive Review of Basel's Proposals on Operational Risk.
Jacques Pezier
2002-20
abstract
Smart Fund Managers? Stupid Money? (updated July 2003
Ryan Davies, Dan Bernhardt and Harvey Westbrook Jr.
2002-19
abstract
Common Correlation Structures for Calibrating the LIBOR Model.
Carol Alexander
2002-18
abstract
Correlation of Default Events: Some New Tools.
Salih Neftci
2002-17
abstract
The True Distortions in the With Profits Market: "If disclosure is not the problem, then more information is not the answer".
Andrew Godley
2002-16
abstract
Generalization of the Sharpe Ratio and the Arbitrage-Free Pricing of Higher Moments.
Gaurav Amin and Harry Kat
2002-15
abstract
A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index.
Chris Brooks and Apostolos Katsaris
2002-14
Economic Journal 115(505), (2005), 767-797
abstract
Persistence in Hedge Fund Performance: The True Value of a Track Record
Harry Kat and Faye Menexe
2002-13
Later version published in Journal of Alternative Investments (2003)
abstract
An Excursion into the Statistical Properties of Hedge Funds.
Harry Kat and Sa Lu
2002-12
Later version published in Handbook Hedge Funds (eds: Jochen Kleeberg) Uhlenbruch Verlag (2004)
abstract
Stocks, Bond and Hedge Funds: Not a Free Lunch.
Gaurev Amin and Harry Kat
2002-11
Later version published in Journal of Portfolio Management (2003)
abstract
Performance Evaluation and Conditioning Information: The Case of Hedge Funds.
Harry Kat and Joelle Miffre
2002-10
abstract
The Performance And Long-Run Characteristics Of The Chinese IPO Market.
Jing Chi and Carol Padgett
2002-09
Pacific Economic Review December 2005 vol. 10 issue 4 451-469
abstract
The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies.
Carol Alexander and Anca Dimitriu
2002-08
abstract
Portfolios of Hedge Funds: What Investors Really Invest In.
Gaurav Amin and Harry Kat
2002-07
abstract
Who Should Buy Hedge Funds?: The Effects of Including Hedge Funds in Portfolios of Stocks and Bonds.
Gaurav Amin and Harry Kat
2002-06
abstract
Autoregressive Conditional Kurtosis
Chris Brooks, Simon Burke and Gita Persand
2002-05
Journal of Financial Econometrics 3(3), 399-421.
abstract
Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index.
Chris Brooks and Apostolos Katsaris
2002-04
Journal of Business 78(5), (2005), 2003-2036
abstract
Disturbing Extremal Behavior of Spot Rate Dynamics.
Salih Neftci and Turan Bali
2002-03
abstract
Welcome to the Dark Side: Hedge Fund Attrition and Survivorship Bias Over the Period 1994-2001
Gaurav Amin and Harry Kat
2002-02
Later version published in Journal of Alternative Investments (2003)
abstract
"Best-advice” and the “true” mortgage term: Actuaries’ endowment advice principles revisited.
Andrew Godley
2002-01
abstract
