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Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios : a nonlinear VAR approach
Racicot, François-Éric; Théoret, Raymond - In: Financial innovation : FIN 8 (2022), pp. 1-56
The subprime crisis was quite damaging for hedge funds. Using the local projection method (Jordà 2004, 2005, 2009), we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks-especially volatility and illiquidity shocks-over the subprime crisis...
Persistent link: https://www.econbiz.de/10013169857
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Hedge fund return higher moments over the business cycle
Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
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Strategy diversification : combining momentum and carry strategies within a foreign exchange portfolio
Olszweski, Francis; Zhou, Guofu - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 311-320
Persistent link: https://www.econbiz.de/10010259395
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Hedge fund strategies, performance &diversification : a portfolio theory & stochastic discount factor approach
Newton, David P.; Platanakis, Emmanouil; Stafylas, Dimitrios - In: The British accounting review : the journal of the … 53 (2021) 5, pp. 1-22
Persistent link: https://www.econbiz.de/10013041238
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Higher co-moment CAPM and hedge fund returns
Knif, Johan; Koutmos, Dimitrios; Koutmos, Gregory - In: Atlantic economic journal : AEJ 48 (2020) 1, pp. 99-113
Persistent link: https://www.econbiz.de/10012222460
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Diversification with risk factors and investable hedge fund indices
Boigner, Philip; Gadzinski, Gregory - In: The journal of asset management 16 (2015) 2, pp. 101-116
Persistent link: https://www.econbiz.de/10011411941
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Commodity Trading Advisors, (CTA), as a Mean of Diversification in a Hedge Fund Portfolio
Guirguis, Michel - 2020
negative or low correlation and better diversification between managed futures and traditional investments such as bonds and …
Persistent link: https://www.econbiz.de/10012832446
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Financial crises and evaporating diversification benefits of hedge funds
Billio, Monica; Getmansky, Mila; Pelizzon, Loriana - In: Hedge funds : structure, strategies, and performance, (pp. 439-459). 2017
Persistent link: https://www.econbiz.de/10012253366
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Multi-moment risk, hedging strategies, & the business cycle
Racicot, François-Éric; Théoret, Raymond - In: International review of economics & finance : IREF 58 (2018), pp. 637-675
Persistent link: https://www.econbiz.de/10012034253
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Unveiling the diversification capabilities of carbon markets in NFT portfolios
Díaz, Antonio; Esparcia, Carlos; Huélamo, Diego - In: Finance research letters 58 (2023) 4, pp. 1-8
Persistent link: https://www.econbiz.de/10014633086