econometric model of serial correlation and illiquidity in hedge fund returns
By: Mila Getmansky, Andrew W. Lo, Igor Makarov.
Contributors: Lo, Andrew W.; Makarov, Igor, 1976-; National Bureau of Economic Research.
Series: NBER working paper series -- no. 9571.; Working paper series (National Bureau of Economic Research) -- working paper no. 9571.
Publisher: National Bureau of Economic Research
Published: 2003
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 87
Subjects: Hedge funds; Mutual funds; Risk management; Liquidity (Economics) -- Mathematical models
Notes: "March 2003."

Includes bibliographical references.

Also available in PDF from the NBER world wide web site (www.nber.org).