Allen, David E.; McAleer, Michael; Peiris, Shelton; … - Department of Economics and Finance, College of … - 2014
set of 17 years of monthly hedge fund index returns on a set of ten market indices representing 13 major hedge fund … examination of the diversification benefits of hedge fund investments through successive crisis periods. The connectedness of the … Hedge Fund Indices is explored via application of the Diebold and Yilmaz (2009, 2014) spillover index. We conduct a series …