In this paper we investigate asymmetries in time-varying means, volatilities, correlations, and betas of equity returns in a multivariate threshold framework. We consider alternative specifications in which the threshold variable is based on well-established equity pricing factors and...

We provide an empirical analysis of two important phenomena influencing the hedge fund industry - contagion and time variation in risk adjusted return (alpha) - in a flexible unified framework. After accounting for standard hedge fund pricing factors, we quantify the common latent factor in...