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An analysis of the risk-return characteristics of serially correlated managed futures

Gert Elaut (UGent) , Péter Erdős and John Sjödin (UGent)
(2016) JOURNAL OF FUTURES MARKETS. 36(10). p.992-1013
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Keywords
STYLE, BIAS, Hedge Fund, Serial Correlation, Managed Futures, Performance Persistence, PERSISTENCE, HEDGE FUND PERFORMANCE, AUTOCORRELATION, MODELS, SURVIVAL

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MLA
Elaut, Gert, et al. “An Analysis of the Risk-Return Characteristics of Serially Correlated Managed Futures.” JOURNAL OF FUTURES MARKETS, edited by Robert Webb, vol. 36, no. 10, Wiley Periodicals, 2016, pp. 992–1013, doi:10.1002/fut.21773.
APA
Elaut, G., Erdős, P., & Sjödin, J. (2016). An analysis of the risk-return characteristics of serially correlated managed futures. JOURNAL OF FUTURES MARKETS, 36(10), 992–1013. https://doi.org/10.1002/fut.21773
Chicago author-date
Elaut, Gert, Péter Erdős, and John Sjödin. 2016. “An Analysis of the Risk-Return Characteristics of Serially Correlated Managed Futures.” Edited by Robert Webb. JOURNAL OF FUTURES MARKETS 36 (10): 992–1013. https://doi.org/10.1002/fut.21773.
Chicago author-date (all authors)
Elaut, Gert, Péter Erdős, and John Sjödin. 2016. “An Analysis of the Risk-Return Characteristics of Serially Correlated Managed Futures.” Ed by. Robert Webb. JOURNAL OF FUTURES MARKETS 36 (10): 992–1013. doi:10.1002/fut.21773.
Vancouver
1.
Elaut G, Erdős P, Sjödin J. An analysis of the risk-return characteristics of serially correlated managed futures. Webb R, editor. JOURNAL OF FUTURES MARKETS. 2016;36(10):992–1013.
IEEE
[1]
G. Elaut, P. Erdős, and J. Sjödin, “An analysis of the risk-return characteristics of serially correlated managed futures,” JOURNAL OF FUTURES MARKETS, vol. 36, no. 10, pp. 992–1013, 2016.
@article{7074507,
  author       = {{Elaut, Gert and Erdős, Péter and Sjödin, John}},
  editor       = {{Webb, Robert}},
  issn         = {{0270-7314}},
  journal      = {{JOURNAL OF FUTURES MARKETS}},
  keywords     = {{STYLE,BIAS,Hedge Fund,Serial Correlation,Managed Futures,Performance Persistence,PERSISTENCE,HEDGE FUND PERFORMANCE,AUTOCORRELATION,MODELS,SURVIVAL}},
  language     = {{eng}},
  number       = {{10}},
  pages        = {{992--1013}},
  publisher    = {{Wiley Periodicals}},
  title        = {{An analysis of the risk-return characteristics of serially correlated managed futures}},
  url          = {{http://dx.doi.org/10.1002/fut.21773}},
  volume       = {{36}},
  year         = {{2016}},
}

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