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An econometric model of serial correlation and illiquidity in hedge fund returns

Getmansky, Mila; Lo, Andrew W.; Makarov, Igor - 2003

Persistent link: https://www.econbiz.de/10001748919

An econometric model of serial correlation and illiquidity in hedge fund returns

Getmansky, Mila; Lo, Andrew W.; Makarov, Igor - In: Journal of financial economics 74 (2004) 3, pp. 529-609

Persistent link: https://www.econbiz.de/10002439293

Pricing options with switching volatility

Billio, Monica; Pelizzon, Loriana - 1997

Persistent link: https://www.econbiz.de/10000971200

Pricing options with switching volatility

Billio, Monica - In: Geld, Finanzwirtschaft, Banken und Versicherungen : …, (pp. 415-441). 1997

Persistent link: https://www.econbiz.de/10001299041

Value-at-Risk: a multivariate switching regime approach

Billio, Monica; Pelizzon, Loriana - In: Journal of empirical finance 7 (2000) 5, pp. 531-554

Persistent link: https://www.econbiz.de/10001545287

CDS Industrial Sector Indices, Credit and Liquidity Risk

Billio, Monica - 2012

This paper studies the risk spillover among US Industrial Sectors and focuses on the connection between credit and liquidity risks. The proposed methodology is based on quantile regressions and considers the movements of CDS Industrial Sector Indices depending on common risk factors such as...

Persistent link: https://www.econbiz.de/10013103956