Racicot, François-Éric; Théoret, Raymond - In: Financial innovation : FIN 8 (2022), pp. 1-56
The subprime crisis was quite damaging for hedge funds. Using the local projection method (Jordà 2004, 2005, 2009), we … forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks … robustness check, using TVAR (Balke 2000), we simulate the reaction of hedge fund strategies' betas in extreme scenarios allowing …