The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks
Year of publication: |
2021
|
---|---|
Authors: | Racicot, François-Éric ; Théoret, Raymond ; Gregoriou, Greg N. |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 72.2021, p. 289-318
|
Subject: | Diversification | Business cycle | Co-kurtosis | Co-skewness | Hedge funds | Robust IV-GMM | VAR | Hedgefonds | Hedge fund | Schock | Shock | Portfolio-Management | Portfolio selection | Konjunktur | Hedging | Kapitaleinkommen | Capital income | Diversifikation | VAR-Modell | VAR model |
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