The response of hedge fund tail risk to macroeconomic shocks : a nonlinear VAR approach
Year of publication: |
2021
|
---|---|
Authors: | Gregoriou, Greg N. ; Racicot, François-Éric ; Théoret, Raymond |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 94.2021, p. 843-872
|
Subject: | Local projection | Business cycle | Hedge fund | Systemic risk | Tail risk | Hedgefonds | Schock | Shock | VAR-Modell | VAR model | Konjunktur | Risikomaß | Risk measure | Risiko | Risk | Schätzung | Estimation | Risikomanagement | Risk management | Finanzkrise | Financial crisis |
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