Hedge funds risk and connectedness
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DOI: 10.1057/s41260-016-0025-4
Abstract: This paper focused on measuring the volatility spillovers and parametric Value-at-Risk (VaR) models for hedge fund strategies. In reference to the first, a volatility spillover index was created to measure the connectedness and relationships between… read more here.
Keywords: hedge funds; risk; volatility; risk connectedness ... See more keywords