We develop a new methodology to analyse the dynamics of liquidation risk dependence in the hedge funds industry. This dependence results either from a common exogenous factor, or from conta- gion phenomena caused by an endogenous behaviour of fund managers. Our empirical analysis shows that the...

We study the intensity of joint hedging of oil and gas prices by US petroleum firms. We aim to explain the rationale for and find the determinants of joint hedging, as well as its impact on firm market value, performance, and riskiness. Joint hedging that takes into account the interdependence...

We study the intensity of joint hedging of oil and gas prices by US petroleum firms. We aim to explain the rationale for and find the determinants of joint hedging, as well as its impact on firm market value, performance, and riskiness. Joint hedging that takes into account the interdependence...