Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model
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DOI: 10.1016/j.jfs.2016.12.001
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- Noori, Mohammad & Hitaj, Asmerilda, 2023. "Dissecting hedge funds' strategies," International Review of Financial Analysis, Elsevier, vol. 85(C).
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- Kwaku Boafo Baidoo, 2022. "Time-Varying Effect of Short Selling on Market Volatility During Crisis: Evidence from COVID-19 and War in Ukraine," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 8(2), pages 233-243.
- Vo, Xuan Vinh & Ellis, Craig, 2018. "International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries," Emerging Markets Review, Elsevier, vol. 36(C), pages 19-27.
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More about this item
Keywords
Hedge funds; Skewness; Kurtosis; EGARCH; Asymmetry; Cluster; Persistence; Crisis; Granger causality;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
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