Hedge fund return, volatility asymmetry, and systemic effects : a higher-moment factor-EGARCH model
Elyas Elyasiani, Iqbal Mansur
| Year of publication: |
February 2017
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|---|---|
| Authors: | Elyasiani, Elyas ; Mansur, Iqbal |
| Published in: |
Journal of financial stability. - Amsterdam [u.a.] : Elsevier, ISSN 1572-3089, ZDB-ID 2222049-5. - Vol. 28.2017, p. 49-65
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| Subject: | Hedge funds | Skewness | Kurtosis | EGARCH | Asymmetry | Cluster | Persistence | Crisis | Granger causality | Hedgefonds | Hedge fund | Volatilität | Volatility | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Kausalanalyse | Causality analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfs.2016.12.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011825507