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Integrating volatility factors in the analysis of the hedge fund alpha puzzle

Racicot, François-Éric; Théoret, Raymond - In: The journal of asset management 10 (2009/10) 1, pp. 37-62

Persistent link: https://www.econbiz.de/10003853609

Optimal instrumental variables generators based on improved Hausman regression, with an application to hedge fund returns

Racicot, François-Éric; Théoret, Raymond - In: The journal of wealth management 13 (2010) 1, pp. 103-123

Persistent link: https://www.econbiz.de/10003981786

On optimal instrumental variables generators, with an application to hedge fund returns

Racicot, François-Éric; Théoret, Raymond - In: International advances in economic research : IAER ; an … 15 (2009) 1, pp. 30-43

Persistent link: https://www.econbiz.de/10003813388

Hedge fund returns, Kalman filter, and errors-in-variables

Racicot, François-Éric; Théoret, Raymond - In: Atlantic economic journal : AEJ 38 (2010) 3, pp. 377-378

Persistent link: https://www.econbiz.de/10009259586

Cumulant instrument estimators for hedge fund return models with errors in variables

Racicot, François-Éric; Théoret, Raymond - In: Applied economics 46 (2014) 10/12, pp. 1134-1149

Persistent link: https://www.econbiz.de/10010399380

Conditional financial models and the alpha puzzle : a panel study of hedge fund returns

Racicot, François-Éric; Théoret, Raymond - In: The journal of wealth management 11 (2008/09) 2, pp. 59-77

Persistent link: https://www.econbiz.de/10003816000

Procyclicality and diversification in the hedge fund industry in the aftermath of the subprime crisis

Racicot, François-Éric; Théoret, Raymond - In: Journal of derivatives & hedge funds 20 (2014) 4, pp. 207-240

Persistent link: https://www.econbiz.de/10010462900

Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios : a nonlinear VAR approach

Racicot, François-Éric; Théoret, Raymond - In: Financial innovation : FIN 8 (2022), pp. 1-56

The subprime crisis was quite damaging for hedge funds. Using the local projection method (Jordà 2004, 2005, 2009), we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks-especially volatility and illiquidity shocks-over the subprime crisis...

Persistent link: https://www.econbiz.de/10013169857

The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks

Racicot, François-Éric; Théoret, Raymond; Gregoriou, … - In: International review of economics & finance : IREF 72 (2021), pp. 289-318

Persistent link: https://www.econbiz.de/10012671925

The response of hedge fund tail risk to macroeconomic shocks : a nonlinear VAR approach

Gregoriou, Greg N.; Racicot, François-Éric; Théoret, … - In: Economic modelling 94 (2021), pp. 843-872

Persistent link: https://www.econbiz.de/10012695357