for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard … performance and risk assessment. After constructing Bayesian estimators for alpha-stable distributions in the context of an ARMA …-GARCH time series model with stable innovations, we compare our risk evaluation and prediction results to the predictions of …

particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other … funds has affected the probability of fund failure. We find that risk spillover is significantly related to the failure … within thesame investment style are adversely affected through both channels of risk spillover. In addition, we find that …