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I know that a lot of work has been done characterizing the first four moments of monthly hedge fund returns across a variety of fund types and strategies, and that work indicates that the higher moments are likely important.

I am wondering if there are papers that try to fit the distribution of a hedge fund monthly return, especially equity long-short funds.

I am performing statistical analysis on equity long-short hedge funds returns and therefore fitting them to a distribution would be really helpful.

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