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The Italian hedge funds industry: An empirical analysis of performance and persistence

✍ Scribed by Roberto Steri; Marco Giorgino; Diego Viviani


Book ID
113810635
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
227 KB
Volume
19
Category
Article
ISSN
1042-444X

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## Abstract In this article, optimal hedge ratios are estimated for different hedging horizons for 23 different futures contracts using wavelet analysis. The wavelet analysis is chosen to avoid the sample reduction problem faced by the conventional methods when applied to non‐overlapping return ser