Guesmi, Khaled; Jebri, Saoussen; Jabri, Abdelkarim; … - Institut de Préparation à l'Administration et à la … - 2014
In this paper, we examine the correlations between hedge fund strategy indices and asset classes. Based on the Dynamic … Conditional Correlation (DCC) GARCH Model, we estimate the correlations between hedge fund, stock, and bond indices during bull … and bear markets. The results reveal that there are significant correlations between hedge funds and the stock market …