Fatima, Sameen; Gan, Christopher; Hu, Baiding - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-39
This paper investigates the nature of volatility spillovers between stock returns and hedge funds returns in twelve … EGARCH methodology to model volatility and volatility spillovers in and between the markets. Our results show that the … volatility of stock returns does not affect the volatility of hedge funds returns; however, there are inconsistent evidence of …
