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A Stochastic Analysis of Hedge Funds’ Higher Moments by Ariston Karagiorgis; Konstantinos Drakos is a Economics, Econometrics and Finance article available to read on EtoBox.

What is A Stochastic Analysis of Hedge Funds’ Higher Moments about?

Utilizing hedge fund data, we investigate the mobility properties of higher moments both individually and jointly. Using a Markov chain model, we estimate, for the first time, transition matrices for the sector and by investment strategy, describing the probabilistic structure of Skewness, Kurtosis and Joint transitions. We further apply various indices to provide the anatomy of the dynamics. Additionally, we estimate three Probit models as a validation tool. We find a near perfect mobility toward Nonnormality across the investment strategies and the sector as a whole, for both higher moments and their joint movement. Only a limited number of investment strategies are capable of maintaining Normality for consecutive periods in the joint framework, while mobility indices confirm the findings of the transition matrices.

Who reads A Stochastic Analysis of Hedge Funds’ Higher Moments?

Author

Ariston Karagiorgis; Konstantinos Drakos

Publisher

Elsevier BV

Published

2023

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)