In an augmented [Treynor and Mazuy, 1966] model, we find that realized volatility of emerging market financial indices … hedge fund managers are indeed negatively linked with the coefficients on realized volatility for hedge fund returns. Our …

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 …

different emerging markets. Additionally, we show that including a simple day-to-day market volatility measure in our model … helps to improve its explanatory power. Our results indicate that higher market volatility is usually related to lower hedge …

wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over … considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the … daily stock market volatility in a sample of significant emerging stock markets using an Asymetric Volatility Model (ASV …

correlation. In terms of volatility contagion, we find that an increase in VRPs in the United States significantly reduces equity …