Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear var approach

HIGHLIGHTS

• who: François-Éric Racicot from the Telfer School of Management, East, Ottawa, ON, Canada have published the research: Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach, in the Journal: (JOURNAL) of April/22,/2020
• what: Overcoming the limitations of the literature's approach to market timing is the main motivation for this study . The authors assess the impact of illiquidity on hedge fund returns and conditional betas with a pooled regression of hedge fund strategies using an augmented Fama and . . .
  

   

  

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