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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
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Worst-case higher moment risk measure : addressing distributional shifts and procyclicality
Castro Iragorri, Carlos Alberto; Gómez, Fabio; … - In: Finance research letters 65 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014564284
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Business Cycles and Portfolio Tail Risk Forecasting
Zhou, Clara; Jiao, Lei; Faff, Robert W.; Liao, Yin - 2022
We propose a new 3-step resampling approach to forecast portfolio tail risk conditional on the economic state. The … risk measures using the forecasted joint return distribution. This approach favorably accounts for time variation in the … portfolio tail risk forecasting …
Persistent link: https://www.econbiz.de/10014237971
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The impact of US financial uncertainty shocks on emerging market economies : an international credit channel
Choi, Sangyup - In: Open economies review 29 (2018) 1, pp. 89-118
Persistent link: https://www.econbiz.de/10012039082
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Modeling and forecasting macroeconomic downside risk
Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2021
Persistent link: https://www.econbiz.de/10012612441
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Modeling and forecasting macroeconomic downside risk
Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2020
Persistent link: https://www.econbiz.de/10012253930
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Modeling and forecasting macroeconomic downside risk
Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1010-1025
Persistent link: https://www.econbiz.de/10015053528
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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
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The procyclicality of hedge fund alpha and beta
Racicot, François-Éric; Théoret, Raymond - In: Journal of derivatives & hedge funds 19 (2013) 2, pp. 109-128
Persistent link: https://www.econbiz.de/10010209488
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Asymmetric asset correlation in credit portfolios
Cho, Yongbok; Lee, Yong Woong - In: Finance research letters 49 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013478636