Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios : a nonlinear VAR approach
Year of publication: |
2022
|
---|---|
Authors: | Racicot, François-Éric ; Théoret, Raymond |
Published in: |
Financial innovation : FIN. - Heidelberg : SpringerOpen, ISSN 2199-4730, ZDB-ID 2824759-0. - Vol. 8.2022, Art.-No. 24, p. 1-56
|
Subject: | Hedge fund | Illiquidity risk shock | Illiquidity uncertainty shock | Local projection model | Measurement errors | Optimal forecast | Procyclicality | TVAR | Hedgefonds | Schock | Shock | Konjunktur | Business cycle | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Risiko | Risk | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Volatilität | Volatility | Theorie | Theory | Risikomaß | Risk measure |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1186/s40854-021-00316-3 [DOI] |
Classification: | C13 - Estimation ; c58 ; G11 - Portfolio Choice ; G23 - Pension Funds; Other Private Financial Institutions |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Covariance prediction in large portfolio allocation
Trucíos, Carlos, (2019)
-
Risk spillovers in international equity portfolios
Bonato, Matteo, (2012)
-
Factor-Based Hedge Fund Replication with Risk Constraints
Harris, Richard D. F., (2017)
- More ...
-
Théoret, Raymond, (2010)
-
Racicot, François-Éric, (2002)
-
Accruals, Errors-in-variables, and Tobin’s q
Calmès, Christian, (2013)
- More ...