Sabbaghi, Omid - In: Managerial Finance 38 (2012) January, pp. 101-119
comovement using the cross-sectional volatility, covariance, and correlation metrics proposed in Adrian (2007). In addition, the … paper examines whether correlations and covariance are important determinants of future volatility via traditional time … average correlations, stemming from an increase in hedge fund volatility, is documented. The time-series regressions are …