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Forecasting hedge fund volatility : a Markov regime-switching approach

Blazsek, Szabolcs; Downarowicz, Anna - In: The European journal of finance 19 (2013) 3/4, pp. 243-275

Persistent link: https://www.econbiz.de/10010243653

Risk analysis of hedge funds : a Markov switching model analysis

Teulon, Frédéric; Guesmi, Khaled; Jebri, Saoussen - In: The journal of applied business research 30 (2014) 1, pp. 243-253

Persistent link: https://www.econbiz.de/10010252063

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

Volatility and the cross-sectional performance of emerging market hedge funds

Cao, Bolong; Jayasuriya, Shamila A. - In: The journal of alternative investments 14 (2011/12) 4, pp. 40-50

Persistent link: https://www.econbiz.de/10009550874

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

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

The joint dynamics of hedge fund returns, illiquidity, and volatility

Wrampelmeyer, Jan - In: The journal of alternative investments 15 (2012/13) 1, pp. 43-67

Persistent link: https://www.econbiz.de/10009573449

Hedge fund return volatility and comovement : recent evidence

Sabbaghi, Omid - In: Managerial finance 38 (2012) 1, pp. 101-119

Persistent link: https://www.econbiz.de/10009488348

Volatility Timing Using ETF Options : Evidence from Hedge Funds

Aragon, George O.; Chen, Shuaiyu; Shi, Zhen - 2022

We find that hedge funds’ ETF option positions predict cross-sectional differences in the future volatility of … are an important venue for informed volatility trading …

Persistent link: https://www.econbiz.de/10014238958

Hedge Fund Return Volatility and Comovement : Recent Evidence

Sabbaghi, Omid - 2015

-sectional volatility, covariance, and correlation metrics proposed in Adrian (2007). In addition, the paper examines whether correlations … and covariance are important determinants of future volatility via traditional time-series regressions. The paper finds … an increase in hedge fund volatility, is documented. The time-series regressions are supportive of a strong relationship …

Persistent link: https://www.econbiz.de/10013029323