Showing 101 - 110 of 392
Persistent link: https://www.econbiz.de/10001232223
Persistent link: https://www.econbiz.de/10003847512
Persistent link: https://www.econbiz.de/10003569955
Persistent link: https://www.econbiz.de/10003571465
Persistent link: https://www.econbiz.de/10010473319
Persistent link: https://www.econbiz.de/10010399779
Persistent link: https://www.econbiz.de/10009270611
Persistent link: https://www.econbiz.de/10003275291
Persistent link: https://www.econbiz.de/10001738253
This paper aims to assess dynamic tail risk exposure in the hedge fund sector using daily data. We use a copula function to model both lower and upper tail dependence between hedge-fund and broad-market returns as a function of market uncertainty. We proxy the latter by means of a single index...
Persistent link: https://www.econbiz.de/10013107593