We propose a new method to capture changes in hedge funds' exposures to risk factors, exploiting information from relatively high frequency conditioning variables. Using a consolidated database of nearly 15,000 individual hedge funds between 1994 and 2009, we find substantial evidence that hedge...

This paper proposes a new class of copula-based dynamic models for high dimension conditional distributions, facilitating the estimation of a wide variety of measures of systemic risk. Our proposed models draw on successful ideas from the literature on modeling high dimension covariance matrices...

We study the accuracy of a wide variety of estimators of asset price variation constructed from high-frequency data (so-called “realized measures”), and compare them with a simple “realized variance” (RV) estimator. In total, we consider almost 400 different estimators, applied to 11...