articleJournal of Financial EconomicsJul 13, 2004GREEN OA

An econometric model of serial correlation and illiquidity in hedge fund returns

MGMila GetmanskyAWAndrew W. LoIMIgor Makarov
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3

Topics & keywords

Topics
Keywords
  • Hedge fund
  • Returns-based style analysis
  • Smoothing
  • Econometrics
  • Sharpe ratio
  • Estimator
  • Economics
  • Proxy (statistics)
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