Risk analysis of hedge funds : a Markov switching model analysis
Year of publication: |
2014
|
---|---|
Authors: | Teulon, Frédéric ; Guesmi, Khaled ; Jebri, Saoussen |
Published in: |
The journal of applied business research. - Littleton, Colo. : CIBER Research Inst., ISSN 0892-7626, ZDB-ID 1107555-7. - Vol. 30.2014, 1, p. 243-253
|
Subject: | Markov Regime Switching | Conditional Volatility | Hedge Fund | Hedgefonds | Hedge fund | Markov-Kette | Markov chain | Volatilität | Volatility | Hedging | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Risiko | Risk |
-
Forecasting hedge fund volatility : a Markov regime-switching approach
Blazsek, Szabolcs, (2013)
-
Hedge fund return higher moments over the business cycle
Racicot, François-Éric, (2019)
-
Cross hedging stock sector risk with index futures by considering the global equity systematic risk
Hsu, Wen Chung, (2018)
- More ...
-
Are hedge funds uncorrelated with financial markets? An empirical assessment
Guesmi, Khaled, (2014)
-
Are hedge funds uncorrelated with financial markets? : an empirical assessment
Guesmi, Khaled, (2015)
-
Sudden Changes in Volatility in European Stock Markets
Guesmi, Khaled, (2013)
- More ...