This paper investigates the nature of volatility spillovers between stock returns and hedge funds returns in twelve … EGARCH methodology to model volatility and volatility spillovers in and between the markets. Our results show that the … volatility of stock returns does not affect the volatility of hedge funds returns; however, there are inconsistent evidence of …

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work …