This article reconsiders the process of price discovery in spot and futures markets. In this
study, the authors examine the contribution of two derivative products of the German blue …

In this article, the authors replicate major Hedge Fund Research, Inc., style indexes using
alternative methods. These methods include stepwise regression, ridge regression, the …

Dealing with the underlying risk factors of asset classes is compulsory for understanding
what the" real" performance drivers of those assets are. Setting up a framework based on …

We apply dynamic regression to Texas energy-related hedge funds to track changes in
portfolio structure and manager performance in response to changing oil prices. We apply …