Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach-Reference-Cited by-同舟云学术

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Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach

Published:2013-06 Issue: Volume:22 Page:16-29
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Akay Ozgur (Ozzy),Senyuz Zeynep,Yoldas Emre

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference34 articles.

1. Mutual fund flows and performance in rational markets;Berk;J. Polit. Econ.,2004

2. Hedge funds and systemic risk;Bernanke,2006

3. Crises and hedge fund risk;Billio,2010

4. Hedge fund risk dynamics: implications for performance appraisal;Bollen;J. Finance,2009

5. Hedge fund contagion and liquidity shocks;Boyson;J. Finance,2010

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2. Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics;European Journal of Operational Research;2023-01

3. Characterizing financial crises using high-frequency data;Quantitative Finance;2022-02-11

4. A Markov Regime Switching Model for Asset Allocation;SSRN Electronic Journal;2022

5. Applications in finance;Statistical Modeling Using Local Gaussian Approximation;2022

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