11-084/2 - Risk Measures for Autocorrelated Hedge Fund Returns

• Authors
  Antonio Di Cesare, Bank of Italy; Philip A. Stork, VU University Amsterdam; Casper G. de Vries, Erasmus University Rotterdam
• Publication date
  May 26, 2011

• Keywords
  Hedge funds; Serial correlation; Systemic risk; VaR; Pareto distribution.
• JEL
  G12; G23; G28