Billio, Monica; Getmansky, Mila; Pelizzon, Loriana - Dipartimento di Economia, Università Ca' Foscari Venezia - 2006
funds using switching regime beta models. This approach allows the analysis of hedge fund tail event behavior and in …?cantly presenting evidence of phase-locking. We further extend the regime switching model to allow for non-linearity in residuals and … show that switching regime models are able to capture and forecast the evolution of the idiosyncratic risk factor in terms …