Investors are becoming more sensitive about returns and losses, especially when the investments are exposed to downside risk potential in the financial markets. Despite the computational intensity of the downside risk measures, they are very widely applied to construct a portfolio and evaluate...

We document that compared to all other investor groups investment funds exhibit a distinctly procyclical behavior when financial-market beliefs about the probability of a euro-related, institutional rare disaster spike. In response to such euro disaster risk shocks, investment funds shed...

We explore some aspects of the analysis of latent component structure in non-stationary time series based on time-varying autoregressive (TVAR) models that incorporate uncertainty on model order. Our modelling approach assumes that the AR coefficients evolve in time according to a random walk...

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported returns. Getmansky et al. (2004) derive mean, variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Following their lead, adjusted downside and global...