The study presents an application of multivariate regime switching copula models, in order to model the joint distributions of selected hedge fund classes/strategies and traditional capital markets. Our empirical interest focuses on testing for the presence of any asymmetric dependence...

This study employs alternative dynamic volatility models to investigate the risk and return characteristics of a carefully selected sample of shipping stocks, in order to enhance asset allocation opportunities. As private and institutional investors are in search of alternative style...

The relationship between trading volume, prices and return volatility is thoroughly investigated in different second-hand dry bulk and tanker market segments. The objective is to gain fruitful insight on the sale and purchase market dynamics, and the sensitivity of vessel price movements...

As conventional asset pricing models have been proven inappropriate to adequately explain hedge fund performance, this study proposes an innovative, flexible and efficient hedge fund multifactor model to explain dynamic risk and return properties of core hedge fund strategies. The proposed model...

The study applies an integrated empirical framework, in order to investigate the impact of financial decisions (debt and dividend policies) on corporate performance and firm market value. Particular attention is paid to the joint implications associated with different ownership and corporate...