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Reconsidering Funds of Hedge Funds by Greg N. Gregoriou

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Chapter 16

A Panel-Based Quantile Regression Analysis of Funds of Hedge Funds

David Edmund Allen, Akhmad Kramadibrata, Robert John Powell and Abhay Kumar Singh, School of Accounting, Finance and Economics, Edith Cowan University, Joondalup, Western Australia, Australia

Chapter Outline

16.1. Introduction

16.2. Panel Data Analysis and Quantile Regression

16.2.1. Quantile Regression

16.3. Data and Methodology

16.3.1. Discussion of Data

16.3.2. Methodology

16.4. Discussion of the Results

Conclusion

Acknowledgments

References

16.1 Introduction

In recent decades, hedge funds have become a very popular, growing investment class. For instance, as of September 2012, the BarclayHedge hedge fund database reports 4991 hedge funds in their database. As compared ...

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