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The asymmetric impact of portfolio mix on bank performance over the business cycle : U.S. and Canadian evidence

Calmès, Christian; Théoret, Raymond - In: Review of economics & finance 6 (2016) 2, pp. 57-74

Persistent link: https://www.econbiz.de/10011492625

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

Bank fee-based shocks and the U.S. business cycle

Calmès, Christian; Théoret, Raymond - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012658783

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

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

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