The response of hedge fund tail risk to macroeconomic shocks : a nonlinear VAR approach
Greg N. Gregoriou, François-Éric Racicot, Raymond Théoret
| Year of publication: |
2021
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|---|---|
| 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
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| Subject: | Local projection | Business cycle | Hedge fund | Systemic risk | Tail risk | Schock | Shock | Hedgefonds | Systemrisiko | Finanzkrise | Financial crisis | VAR-Modell | VAR model | Konjunktur | Risikomanagement | Risk management | Risikomaß | Risk measure | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2020.02.025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012695357