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Volatility timing in the emerging market hedge funds indices

Cao, Bolong - In: Journal of emerging markets 16 (2011) 2/3, pp. 34-41

Persistent link: https://www.econbiz.de/10009674080

Dynamic hedge fund portfolio construction

Harris, Richard D. F.; Mazibas, Murat - In: International review of financial analysis 19 (2010) 5, pp. 351-357

Persistent link: https://www.econbiz.de/10009272647

Market volatility and hedge fund returns in emerging markets

Cao, B.; Jayasuriya, Shamila A. - In: Applied financial economics 21 (2011) 22/24, pp. 1691-1701

Persistent link: https://www.econbiz.de/10009385052

An empirical exploration of the CBOE volatility index (VIX) futures market as a hedge for equity market and hedge fund investors

Black, Keith - In: Research in finance 28 (2012), pp. 1-18

Persistent link: https://www.econbiz.de/10009582662

Dampening hedge fund volatility through funds of hedge funds

Gunzberg, Jodie; Wang, Audrey - In: Stock market volatility, (pp. 275-292). 2009

Persistent link: https://www.econbiz.de/10003830475

Volatility regimes and hedge fund management

Anson, Mark J. P.; Ho, Ho; Silberstein, Kurt W. - In: Hedge funds : insights in performance measurement, risk …, (pp. 437-452). 2005

Persistent link: https://www.econbiz.de/10003138521

Hot spots and hedges

Litterman, Robert Bruce - In: The legacy of Fischer Black, (pp. 55-95). 2005

Persistent link: https://www.econbiz.de/10003404011

The color of hot money

Baily, Martin Neil; Farrell, Diana; Lund, Susan - In: Foreign affairs 79 (2000) 2, pp. 99-109

Persistent link: https://www.econbiz.de/10001453637

Forecasting Hedge Funds Volatility : A Markov Regime-Switching Approach

Blazsek, Szabolcs - 2011

The article focuses on forecasting idiosyncratic hedge fund return volatility using a non-linear Markov switching GARCH … (MS-GARCH) framework in which the conditional mean and volatility of systematic and idiosyncratic hedge fund return … forecasting performance of two competing conditional volatility specifications: GARCH(1,1) and MS-GARCH(1,1). The work employs …

Persistent link: https://www.econbiz.de/10013129198

Market Volatility and Hedge Fund Returns in Emerging Markets

Jayasuriya, Shamila A. - 2011

volatility affects the hedge fund returns or not is one of the main questions that we ask in the paper. Our results reveal that … stock and bond market volatility do not have a significant impact on fund returns for the most part, which is a result that … is robust to various measures of volatility. Among the four regions we examine, only the emerging market hedge funds in …

Persistent link: https://www.econbiz.de/10013133215