Procyclicality and diversification in the hedge fund industry in the aftermath of the subprime crisis
Year of publication: |
2014
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Authors: | Racicot, François-Éric ; Théoret, Raymond |
Published in: |
Journal of derivatives & hedge funds. - Basingstoke : Palgrave Macmillian, ISSN 1753-9641, ZDB-ID 2408771-3. - Vol. 20.2014, 4, p. 207-240
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Subject: | Kalman filter | hedge funds | diversification | procyclicality | cross-sectional dispersion measures | MGARCH | Hedgefonds | Hedge fund | Diversifikation | Diversification | Finanzkrise | Financial crisis | Portfolio-Management | Portfolio selection | Konjunktur | Business cycle |
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