We argue that investors in funds of hedge funds underestimate the traditional equity market beta of these perceived absolute return investment vehicles. Hence, during times of financial crisis, when the correlations of most asset categories with each other increase dramatically, the traditional...

We compare forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we use a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We use statistical criteria, a utility-based criterion, and an...

We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We used a statistical, a utility-based, and an options-based...