In the context of the paper by Hasanhodzic and Lo (2007), how do the authors account for the fact that hedge fund managers’ skill cannot be replicated. a) They impose that all the βs are equal to zero b) They conduct parameter stability tests c) They estimate the model with no intercept d) They test for heteroskedasticity 2. In the paper by Gatev, Goetzmann and Rouwenhorst (2006), what is the null hypothesis in the t-test on strategy returns? a) Expected (excess) returns of the strategy are zero b) Returns of the strategy are nonstationary c) (Excess) returns of the strategy are zero d) Returns of the strategy are serially correlated
In the context of the paper by Hasanhodzic and Lo (2007), how do the authors account for the fact that hedge fund managers’ skill cannot be replicated. a) They impose that all the βs are equal to zero b) They conduct parameter stability tests c) They estimate the model with no intercept d) They test for heteroskedasticity 2. In the paper by Gatev, Goetzmann and Rouwenhorst (2006), what is the null hypothesis in the t-test on strategy returns? a) Expected (excess) returns of the strategy are zero b) Returns of the strategy are nonstationary c) (Excess) returns of the strategy are zero d) Returns of the strategy are serially correlated
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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1. In the context of the paper by Hasanhodzic and Lo (2007), how do the authors account for the fact that hedge fund managers’ skill cannot be replicated.
a) They impose that all the βs are equal to zero
b) They conduct parameter stability tests
c) They estimate the model with no intercept
d) They test for heteroskedasticity
2. In the paper by Gatev, Goetzmann and Rouwenhorst (2006), what is the null hypothesis in the t-test on strategy returns?
a) Expected (excess) returns of the strategy are zero
b) Returns of the strategy are nonstationary
c) (Excess) returns of the strategy are zero
d) Returns of the strategy are serially
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