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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

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 q-factor model and the redundancy of the value factor : an application to hedge funds

Racicot, François-Éric; Théoret, Raymond - In: The journal of asset management 17 (2016) 7, pp. 526-539

Persistent link: https://www.econbiz.de/10011648215

Multi-moment risk, hedging strategies, & the business cycle

Racicot, François-Éric; Théoret, Raymond - In: International review of economics & finance : IREF 58 (2018), pp. 637-675

Persistent link: https://www.econbiz.de/10012034253

Hedge fund return higher moments over the business cycle

Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97

Persistent link: https://www.econbiz.de/10012198849

The performance of hedge funds in the presence of errors in variables

Coën, Alain; Desfleurs, Aurélie; Hübner, Georges; … - In: Hedge funds : insights in performance measurement, risk …, (pp. 381-401). 2005

Persistent link: https://www.econbiz.de/10003138068