Billio, Monica; Getmansky, Mila; Pelizzon, Loriana - Dipartimento di Economia, Università Ca' Foscari Venezia - 2007
We measure dynamic risk exposure of hedge funds to various risk factors during different market volatility conditions using the regime-switching beta model. We find that in the high-volatility regime (when the market is rolling-down) most of the strategies are negatively and significantly...