1. Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?. (2023). Kurosaki, Tetsuo ; Sakurai, Yuji.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000417.

   Full description at Econpapers || Download paper

2. Hedge funds trading strategies and leverage. (2023). Mu, Congming ; Lu, Lei ; Liu, Wenqiong ; Huang, Wenli.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:149:y:2023:i:c:s016518892300043x.

   Full description at Econpapers || Download paper

3. Measuring financial cycles: Empirical evidence for Germany, United Kingdom and United States of America. (2022). , Joo ; Dias, Jose Carlos ; Dutra, Tiago Mota.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:79:y:2022:i:c:p:599-630.

   Full description at Econpapers || Download paper

4. Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy. (2022). van De, Ignace ; Ren, Tiantian ; Mazza, Paolo ; Kerstens, Kristiaan.
   In: Omega.
   RePEc:eee:jomega:v:113:y:2022:i:c:s0305048322001256.

   Full description at Econpapers || Download paper

5. The Skewness-Kurtosis plane for non-Gaussian systems: The case of hedge fund returns. (2022). Karagiorgis, Ariston ; Drakos, Konstantinos.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001111.

   Full description at Econpapers || Download paper

6. Volatility and Risk in the Energy Market: A Trade Network Approach. (2021). Ben-Zvi, Tal ; Creamer, German G.
   In: Sustainability.
   RePEc:gam:jsusta:v:13:y:2021:i:18:p:10199-:d:634210.

   Full description at Econpapers || Download paper

7. International portfolio allocation: The role of conditional higher moments. (2021). Le, Trung H.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:74:y:2021:i:c:p:33-57.

   Full description at Econpapers || Download paper

8. The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks. (2021). Racicot, François-Éric ; Gregoriou, Greg N ; Theoret, Raymond.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:72:y:2021:i:c:p:289-318.

   Full description at Econpapers || Download paper

9. The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach. (2021). Racicot, François-Éric ; Theoret, Raymond ; Gregoriou, Greg N.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:94:y:2021:i:c:p:843-872.

   Full description at Econpapers || Download paper

10. Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach. (2021). Sutcliffe, Charles ; Stafylas, Dimitrios ; Platanakis, Emmanouil ; Newton, David ; Ye, Xiaoxia.
    In: The British Accounting Review.
    RePEc:eee:bracre:v:53:y:2021:i:5:s0890838921000263.

    Full description at Econpapers || Download paper

11. Funds of hedge funds: Are they really the high society for little guys?. (2020). Yao, Juan ; Cui, Wei.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:67:y:2020:i:c:p:346-361.

    Full description at Econpapers || Download paper

12. OPEC production decisions, macroeconomic news, and volatility in the Canadian currency and oil markets. (2020). Yan, Xusheng ; Lazrak, Skander ; ben Omrane, Walid ; Ayadi, Mohamed A.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319310621.

    Full description at Econpapers || Download paper

13. A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings. (2019). Panait, Iulian ; Gherghina, Ştefan ; Badea, Leonardo ; armeanu, dan.
    In: Sustainability.
    RePEc:gam:jsusta:v:11:y:2019:i:5:p:1325-:d:210534.

    Full description at Econpapers || Download paper

1. Agarwal, V. ; Arisoy, Y.E. ; Naik, N. Volatility of aggregate volatility and hedge fund returns. 2017 Journal of Financial Economics. 125 491-510

2. Agarwal, V. ; Naik, N.Y. Risks and portfolio decisions involving hedge funds. 2004 Review of Financial Studies. 17 63-98

3. Agarwal, V. ; Ruenzi, S. ; Weigert, F. The risk in hedge funds: A unique view from portfolio holdings. 2017 Journal of Financial Economics. 125 610-636

4. Akay, O. ; Senyuz, Z. ; Yoldas, E. Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor model. 2013 Journal of Empirical Finance. 22 16-29

5. Amenc, N.S. ; El Bied, S. ; Martellini, L. Predictability in hedge fund returns. 2003 Financial Analysts Journal. 59 32-46
   Paper not yet in RePEc: Add citation now
   

6. Amihud, Y. Illiquidity and stock returns: Cross-section and time series effects. 2002 Journal of Financial Markets. 5 31-56

7. Ang, A. ; Piazzesi, M. ; Wei, M. What does the yield curve tell us about GDP growth. 2006 Journal of Econometrics. 131 359-403

8. Anginer, D. ; Demirguc-Kunt, A. ; Zhu, M. How does competition affect bank systemic risk?. 2014 Journal of Financial Intermediation. 23 1-26

9. Asness, C. ; Krail, R. ; Liew, J. Do hedge funds hedge?. 2001 Journal of Portfolio Management. 28 6-19
   Paper not yet in RePEc: Add citation now
   

10. Auerbach, A. ; Gorodnichenko, Y. Measuring the output responses to fiscal policy. 2012 American Economic Journal: Economic Policy. 4 1-27

11. Bachman, R. ; Sims, E.R. Confidence and the transmission of government spending shocks. 2012 Journal of Monetary Economics. 59 235-249

12. Baker, S.R. ; Bloom, N. ; Davis, S.J. Measuring economic policy Uncertainty. 2015 :

13. Bali, T.G. ; Brown, S.J. ; Caglayan, M.O. Macroeconomic risk and hedge fund returns. 2014 Journal of Financial Economics. 114 1-19

14. Bali, T.G. ; Brown, S.J. ; Caglayan, M.O. Systematic risk and the cross section of hedge fund returns. 2012 Journal of Financial Economics. 106 114-131

15. Baum, C.-F. ; Caglayan, M. ; Ozkan, N. The impact of macroeconomic uncertainty on bank lending behavior. 2002 University of Liverpool, working paper:

16. Baum, C.F. ; Caglayan, M. ; Ozkan, N. The second moment matters: The impact of macroeconomic uncertainty on the allocation of loanable funds. 2009 Economics Letters. 102 87-89

17. Baum, C.F. ; Caglayan, M. ; Ozkan, N. The second moment matters: The response of bank lending behavior to macroeconomic uncertainty. Boston college, working paper. 2004 :
    Paper not yet in RePEc: Add citation now
    

18. Beaudry, P. ; Caglayan, M. ; Schiantarelli, F. Monetary instability, the predictability of prices, and the allocation of investment: An empirical investigation using panel data. 2001 The American Economic Review. 91 648-662

19. Bekaert, G.J. ; Hodrick, R.J. International financial management. 2012 Prentice Hall: New York
    Paper not yet in RePEc: Add citation now
    
20. Berg, G. ; van Rensburg, P. Hedge funds and higher moment portfolio selection. 2008 Journal of Derivatives and Hedge Funds. 14 102-126
    Paper not yet in RePEc: Add citation now
    

21. Billio, M. ; Getmansky, M. ; Pellizon, L. Dynamic risk exposures in hedge funds. 2012 Computational Statistics & Data Analysis. 56 3517-3532

22. Black, F. Studies of stock price volatility changes. 1976 American Statistical Association Journal. 177-181
    Paper not yet in RePEc: Add citation now
    

23. Bollerslev, T. ; Engle, R.F. ; Woodridge, J.M. A capital asset pricing model with time-varying covariances. 1988 Journal of Political Economy. 96 116-131

24. Brealy, R. ; Kaplanis, E. Changes in the factor exposures of hedge funds. 2010 Institute of Finance and Accounting, London Business School:
    Paper not yet in RePEc: Add citation now
    

25. Brown, S.J. ; Gregoriou, G. ; Pascalau, R. It is possible to overdiversify? The case of funds of hedge funds. 2012 Review of Asset Pricing Studies. 2 89-110

26. Caglayan, M. ; Xu, B. Inflation volatility effects in the allocation of bank loans. 2016 Journal of Financial Stability. 24 27-39

27. Calmès, C. ; Théoret, R. Bank systemic risk and macroeconomic shocks: Canadian and U.S. evidence. 2014 Journal of Banking & Finance. 40 388-402
    Paper not yet in RePEc: Add citation now
    
28. Campbell, J.H. ; Lo, A.W. ; MacKinlay, A.,C. The econometrics of financial markets. 1997 Princeton University Press: Princeton
    Paper not yet in RePEc: Add citation now
    
29. Cappoci, D. ; Hübner, G. Analysis of hedge fund performance. 2004 Journal of Empirical Finance. 11 55-89
    Paper not yet in RePEc: Add citation now
    

30. Chen, N.F. ; Roll, R. ; Ross, S.A. Economic forces and the stock market. 1986 Journal of Business. 59 383-403

31. Chen, Y. ; Liang, B. Do market timing hedge funds time the market?. 2007 Journal of Financial and Quantitative Analysis. 42 827-856

32. Chuliá, H. ; Guillén, M. ; Uribe, J.M. Measuring uncertainty in the stock market. 2017 International Review of Economics & Finance. 48 18-33

33. Clinton, K. The term structure of interest rates as a leading indicator of economic activity: A technical note. 1995 Bank of Canada Review. 23-40

34. Cochrane, J.H. Asset pricing. 2005 Princeton University Press: Princeton
    Paper not yet in RePEc: Add citation now
    
35. Davies, R.J. ; Kat, H.M. ; Lu, S. Fund of hedge funds portfolio selection: A multiple objective approach. 2009 Journal of Derivatives and Hedge Funds. 15 91-115
    Paper not yet in RePEc: Add citation now
    

36. Demsetz, R.S. ; Strahan, P.E. Diversification, size and risk at bank holding companies. 1997 Journal of Money, Credit, and Banking. 29 300-313

37. Desmoulins-Lebeault, F. Gram-Charlier expansions and portfolio selection in non-Gaussian universes. 2006 En : Jurczenko and Maillet (2006), chap. 5: Gram-Charlier expansions and portfolio selection in non-Gaussian universes. :
    Paper not yet in RePEc: Add citation now
    

38. Duarte, J. ; Longstaff, F. ; Yu, F. Risk and return in fixed income arbitrage: Nickels in front of steamroller?. 2007 Review of Financial Studies. 20 770-811

39. Engle, R.F. ; Kroner, K.F. Multivariate simultaneous generalized GARCH. 1995 Econometric Theory. 11 122-150
    Paper not yet in RePEc: Add citation now
    

40. Estrella, A. ; Hardouvelis, C. The term structure as a predictor of real economic activity. 1991 The Journal of Finance. 46 555-576

41. Estrella, A. ; Mishkin, F.S. Predicting U.S. recessions : Financial variables as leading indicators. 1998 The Review of Economics and Statistics. 80 45-61

42. Estrella, A. ; Mishkin, F.S. The predictive power of the term structure of interest rates in europe and the United States: Implications for the european central bank. 1997 European Economic Review. 41 1375-1401

43. Fang, H. ; Lai, T.Y. Co-kurtosis and capital asset pricing. 1997 Financial Review. 2 293-307

44. Fieldhouse, S. Trading volatility as an asset class: How hedge fund managers use equity options. 2013 The Hedge Fund Journal. -
    Paper not yet in RePEc: Add citation now
    

45. Friend, I. ; Westerfield, R. Co-skewness and capital asset pricing. 1980 The Journal of Finance. 35 897-914

46. Fung, W. ; Hsieh, D.A. Asset-based style factors for hedge funds. 2002 Financial Analysts Journal. 58 16-27
    Paper not yet in RePEc: Add citation now
    

47. Fung, W. ; Hsieh, D.A. Empirical characteristics of dynamic trading strategies: The case of hedge funds. 1997 Review of Financial Studies. 10 275-302

48. Fung, W. ; Hsieh, D.A. Hedge fund benchmarks: A risk based approach. 2004 Financial Analysts Journal. 60 65-80
    Paper not yet in RePEc: Add citation now
    

49. Fung, W. ; Hsieh, D.A. The risk in hedge fund strategies: Theory and evidence from trend followers. 2001 Review of Financial Studies. 14 313-341

50. Gennaioli, N. ; Shleifer, A. ; Vishny, R.W. A model of shadow banking. NBER working paper. 2011 :

51. Getmansky, M. ; Lo, A.W. ; Makarov, I. An econometric model of serial correlation and illiquidity in hedge fund returns. 2004 Journal of Financial Economics. 74 529-609

52. Goldfeld, S.M. ; Quandt, R.E. A Markov model for switching regressions. 1973 Journal of Econometrics. 1 3-16

53. Gregoriou, G.N. Are managers of funds of hedge funds good market timers? Journal of Wealth Management. 2004 Winter. 2004 61-75
    Paper not yet in RePEc: Add citation now
    

54. Hamilton, J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. 1989 Econometrica. 57 357-384

55. Hamilton, J.D. Regime-switching models. 2005 En : The palgrave dictionary of economics. :
    Paper not yet in RePEc: Add citation now
    
56. Hamilton, J.D. Time series analysis. 1994 Princeton University Press: Princeton
    Paper not yet in RePEc: Add citation now
    

57. Harvey, C.,R. ; Liechty, J.C. ; Liechty, M.W. ; Müller, P. Portfolio selection with higher moments. 2010 Quantitative Finance. 10 469-485

58. Hespeler, F. ; Loiacono, G. Monitoring systemic risk in the hedge fund sector. European Securities and Markets Authorities, working paper. 2015 :
    Paper not yet in RePEc: Add citation now
    

59. Huang, Y.S. ; Chen, C.R. ; Kato, I. Different strokes by different folks: The dynamics of hedge fund systematic risk exposure and performance. 2017 International Review of Economics & Finance. 48 367-388

60. Huber, C. ; Kaiser, H. Hedge fund and risk factors with option-like structures: Examples and explanation. 2004 Journal of Wealth Management. 7 49-60
    Paper not yet in RePEc: Add citation now
    

61. Hurvich, C.M. ; Tsai, C.-L. A corrected Akaike information criterion for vector autoregressive model selection. 1993 Journal of Time Series Analysis. 14 271-279

62. Jawadi, F. ; Khanniche, S. Modelling hedge fund exposures to risk factors. 2012 Economic Modelling. 29 1003-1018

63. Jordà, Ò. Estimation and inference of impulse responses by local projections. 2005 The American Economic Review. 95 161-182
    Paper not yet in RePEc: Add citation now
    
64. Judge, G.G. ; Hill, R.C. ; Griffiths, W.E. ; Lütkepohl, H. ; Lee, T.C. Introduction to the theory and practice of econometrics. 1988 John Wiley: New York
    Paper not yet in RePEc: Add citation now
    

65. Jurczenko, E. ; Maillet, B. ; Merlin, P. Hedge fund portfolio selection with higher-order moments: A nonparametric mean-variance-skewness-kurtosis efficient frontier. 2006 En : Jurczenko and Maillet (2006), chap. 5: Gram-Charlier expansions and portfolio selection in non-Gaussian universes. :

66. Kat, H.M. ; Miffre, J. Performance evaluation and conditioning information: The case of hedge funds. 2002 :

67. Kilian, L. ; Kim, Y.J. How reliable are local projection estimators of impulse responses?. 2011 The Review of Economics and Statistics. 93 1460-1466

68. Koop, G. ; Pesaran, M.H. ; Potter, S.M. Impulse response analysis in nonlinear multivariate models. 1996 Journal of Econometrics. 74 119-147

69. Kraus, A. ; Litzenberger, R. Skewness preference and the valuation of risk assets. 1976 The Journal of Finance. 31 1085-1100

70. Lambert, M. ; Platania, F. Hedge fund styles and macroeconomic uncertainty. 2016 University of Liège, working paper:
    Paper not yet in RePEc: Add citation now
    
71. Lo, A.N. Risk management for hedge funds: Introduction and overview. 2001 Financial Analysts Journal. 57 16-33
    Paper not yet in RePEc: Add citation now
    

72. Lucas, R.E. Some international evidence on output-inflation trade-offs. 1973 The American Economic Review. 63 326-334

73. MacGillivray, H.L. ; Balanda, K.P. The relationship between skewness and kurtosis. 1988 Australian & New Zealand Journal of Statistics. 30 319-337
    Paper not yet in RePEc: Add citation now
    
74. Markowitz, H. The “great confusion” concerning MPT. 2012 Aestimatio, The IEB International Journal of Finance. 4 8-27
    Paper not yet in RePEc: Add citation now
    
75. Mills, T.C. The econometric modelling of financial time series. 1993 Cambridge University Press: Cambridge
    Paper not yet in RePEc: Add citation now
    

76. Namvar, E. ; Phillips, B. ; Pukthuanthong, K. ; Rau, R. Do hedge funds dynamically manages systematic risk?. 2016 Journal of Banking & Finance. 64 1-15

77. Pástor, L. ; Stambaugh, R. Liquidity risk and expected stock returns. 2003 Journal of Political Economy. 111 642-685

78. Pagan, A.R. Econometric issues in the analysis of regressions with generated regressors. 1984 International Economic Review. 25 221-247

79. Pagan, A.R. Two stage and related estimators and their applications. 1986 The Review of Economic Studies. 53 517-538

80. Patton, A. Are “market neutral” hedge funds really market neutral?. 2009 Review of Financial Studies. 22 2495-2530

81. Patton, A. ; Ramadorai, T. On the high frequency dynamics of hedge fund risk exposures. 2013 The Journal of Finance. 68 597-635

82. Patton, A.,J. ; Ramadorai, T. ; Streatfield, M. Change you can believe in? Hedge fund data revisions. 2015 The Journal of Finance. 70 963-999

83. Pesaran, H.H. ; Shin, Y. Generalized impulse response analysis in linear multivariate models. 1998 Economics Letters. 58 17-29

84. Pesaran, M.H. ; Shin, Y. Generalized impulse response analysis in linear multivariate models. Trinity College, working paper. 1997 :

85. Quagliariello, M. Does macroeconomy affect bank stability? A review of the empirical evidence. 2008 Journal of Banking Regulation. 9 102-115
    Paper not yet in RePEc: Add citation now
    

86. Quagliariello, M. Macroeconomic uncertainty and banks' lending decisions: The case of Italy. 2007 Banca D’Italia. 1-32

87. Quagliariello, M. Macroeconomic uncertainty and banks' lending decisions: The case of Italy. 2009 Applied Economics. 41 323-336

88. Racicot, F.-É. ; Théoret, R. Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds. 2016 Journal of Banking & Finance. 62 41-61

89. Racicot, F.E. ; Théoret, R. Procyclicality and diversification in the hedge fund industry in the aftermath of the subprime crisis. 2014 Journal of Derivatives and Hedge Funds. 20 207-240
    Paper not yet in RePEc: Add citation now
    
90. Racicot, F.E. ; Théoret, R. The hedge fund procyclical behavior: A portfolio manager and investor's perspective. 2015 Alternative Investment Analyst Review. 3 52-65
    Paper not yet in RePEc: Add citation now
    

91. Racicot, F.E. ; Théoret, R. The procyclicality of hedge fund alpha and beta. 2013 Journal of Derivatives and Hedge Funds. 19 109-128

92. Rubinstein, M. The fundamental theorem of parameter-preference security valuation. 1973 Journal of Financial and Quantitative Analysis. 8 61-69

93. Sabbaghi, O. Hedge fund return volatility and comovement: Recent evidence. 2012 Managerial Finance. 38 101-119
    Paper not yet in RePEc: Add citation now
    

94. Samuelson, P.A. The fundamental approximation theorem of portfolio analysis in terms of means, variances and higher moments. 1970 The Review of Economic Studies. 37 537-542

95. Santos, T. ; Veronesi, P. Habits and leverage. 2016 University of Chicago:

96. Saunders, A. ; Cornett, M.M. ; McGraw, P.A. Financial institutions management: A risk management approach. 2014 McGraw Hill: Toronto
    Paper not yet in RePEc: Add citation now
    
97. Schopflocher, T.P. ; Sullivan, P.J. The relationship between skewness and kurtosis of a diffusing scalar. 2005 Boundary-Layer Meteorology. 115 341-358
    Paper not yet in RePEc: Add citation now
    

98. Scott, R.C. ; Hovarth, P.A. On the direction of preference for moments of higher order than the variance. 1980 The Journal of Finance. 35 915-919

99. Sears, R.S. ; Wei, K.C.J. Asset pricing, higher moments, and the market risk premium: A note. 1985 The Journal of Finance. 40 1251-1253

100. Shleifer, A. ; Vishny, R. Asset fire sales and credit easing. 2010 American Economic Review Papers and Proceedings. 100 46-50

101. Stafylas, D. ; Andersen, K. ; Uddin, M. Recent advances in explaining hedge fund returns: Implicit factor and exposures. 2017 Global Finance Journal. 33 69-87

102. Sydsæter, K. ; Hammond, P. ; Seierstad, A. ; Strøm, A. Further mathematics for economic analysis. 2005 Prentice Hall: London
     Paper not yet in RePEc: Add citation now
     

103. Tobin, J. Liquidity preference as a behavior towards risk. 1958 The Review of Economic Studies. 25 65-86

104. Veronesi, P. Fixed income securities. 2010 Wiley: New Jersey
     Paper not yet in RePEc: Add citation now
     

105. Wagner, W. Diversification at financial institutions and systemic crises. 2010 Journal of Financial Intermediation. 19 373-386

106. Wagner, W. The homogenization of the financial system and financial crises. 2008 Journal of Financial Intermediation. 17 330-356

107. Wagner, W. The liquidity of bank assets and banking stability. 2007 Journal of Banking & Finance. 31 121-139

108. Wheelock, D.C. ; Wohar, M.E. Can the term spread predict output growth and recessions? A survey of the literature. 2009 Federal Reserve Bank of St. Louis Review. 419-440

109. Wilkins, J.E. A note on skewness and kurtosis. 1944 The Annals of Mathematical Statistics. 15 333-335
     Paper not yet in RePEc: Add citation now
     
110. Xiong, J.X. ; Idzorek, T. The impact of skewness and fat tails on the asset allocation decision. 2011 Financial Analysts Journal. 67 23-35
     Paper not yet in RePEc: Add citation now
     
111. Yu, W. ; Sharaiha, Y.M. Alpha budgeting—cross sectional dispersion decomposed. 2007 Journal of Asset Management. 8 58-72
     Paper not yet in RePEc: Add citation now
     

112. Zhao, L. ; Huang, W. ; Yang, C. ; Li, S. Hedge fund leverage with stochastic market conditions. 2018 International Review of Economics & Finance. 1-16

1. The Transmission of Non-Banking Liquidity Shocks to the Banking Sector. (2024). Paipilla, Miguel Sarmiento.
   In: Other publications TiSEM.
   RePEc:tiu:tiutis:c8f68d8f-0035-4529-95af-17db16f12ffb.

   Full description at Econpapers || Download paper

2. The Transmission of Non-Banking Liquidity Shocks to the Banking Sector. (2024). Paipilla, Miguel Sarmiento.
   In: Discussion Paper.
   RePEc:tiu:tiucen:c8f68d8f-0035-4529-95af-17db16f12ffb.

   Full description at Econpapers || Download paper

3. Trading activity of VIX futures and options around FOMC announcements. (2024). Yang, Jimmy J ; Tsai, Wei-Che ; Huang, Hong-Gia.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002539.

   Full description at Econpapers || Download paper

4. Volatility of volatility and leverage effect from options. (2024). Todorov, Viktor ; Chong, Carsten H.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000150.

   Full description at Econpapers || Download paper

5. Is research on hedge fund performance published selectively? A quantitative survey. (2024). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan.
   In: Journal of Economic Surveys.
   RePEc:bla:jecsur:v:38:y:2024:i:4:p:1085-1131.

   Full description at Econpapers || Download paper

6. Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium. (2023). Wang, Tong.
   In: Review of Finance.
   RePEc:oup:revfin:v:27:y:2023:i:1:p:325-367..

   Full description at Econpapers || Download paper

7. Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H.
   In: Papers.
   RePEc:arx:papers:2305.04137.

   Full description at Econpapers || Download paper

8. Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach. (2022). Racicot, François-Éric ; Theoret, Raymond.
   In: Financial Innovation.
   RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00316-3.

   Full description at Econpapers || Download paper

9. Political risk, hedge fund strategies, and returns: Evidence from G7 countries. (2022). Lu, Qinye ; Ahiabor, Frederick ; Boateng, Agyenim ; Rungmaitree, Pattamon.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001500.

   Full description at Econpapers || Download paper

10. Network herding of energy funds in the post-Carbon-Peak Policy era: Does it benefit profitability and stability?. (2022). Yang, Wenke ; Zhou, Wei ; Li, Shouwei ; Lu, Shuai.
    In: Energy Economics.
    RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001256.

    Full description at Econpapers || Download paper

11. Volatility of implied volatility and mergers and acquisitions. (2022). Switzer, Lorne N ; el Meslmani, Nabil ; Betton, Sandra.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:75:y:2022:i:c:s0929119922000864.

    Full description at Econpapers || Download paper

12. Hedge funds and the positive idiosyncratic volatility effect. (2021). Weigert, Florian ; Bali, Turan G.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:2101.

    Full description at Econpapers || Download paper

13. Volatility?of?volatility risk in the crude oil market. (2021). Zhao, Yang ; Xu, Yahua ; Touranirad, Alireza ; Roh, Taiyong.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:2:p:245-265.

    Full description at Econpapers || Download paper

14. Financial Contagion: A Tale of Three Bubbles. (2021). Hibbert, Ann Marie ; Fadahunsi, Adetokunbo ; Burks, Nathan.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:229-:d:558547.

    Full description at Econpapers || Download paper

15. The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks. (2021). Racicot, François-Éric ; Gregoriou, Greg N ; Theoret, Raymond.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:72:y:2021:i:c:p:289-318.

    Full description at Econpapers || Download paper

16. Share pledge transactions as an investor sentiment indicator - Evidence from China. (2021). Ho Yin Yick, ; Wang, Jianli ; Zhu, Xiaoyu ; Lu, Hengzhen.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:82:y:2021:i:c:p:230-238.

    Full description at Econpapers || Download paper

17. Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution. (2021). Rakowski, David ; Yamani, Ehab.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:64:y:2021:i:c:p:247-271.

    Full description at Econpapers || Download paper

18. The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach. (2021). Racicot, François-Éric ; Theoret, Raymond ; Gregoriou, Greg N.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:94:y:2021:i:c:p:843-872.

    Full description at Econpapers || Download paper

19. Are hedge funds charitable donations strategic?. (2021). Lu, Yan ; Agarwal, Vikas ; Ray, Sugata.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302868.

    Full description at Econpapers || Download paper

20. Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach. (2021). Sutcliffe, Charles ; Stafylas, Dimitrios ; Platanakis, Emmanouil ; Newton, David ; Ye, Xiaoxia.
    In: The British Accounting Review.
    RePEc:eee:bracre:v:53:y:2021:i:5:s0890838921000263.

    Full description at Econpapers || Download paper

21. The Economics of Hedge Fund Startups: Theory and Empirical Evidence. (2021). Zhang, Hong ; Farnsworth, Grant ; Cao, Charles.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:76:y:2021:i:3:p:1427-1469.

    Full description at Econpapers || Download paper

22. Non-bank financial intermediaries and financial stability. (2021). Schrimpf, Andreas ; Shin, Hyun Song ; Aramonte, Sirio.
    In: BIS Working Papers.
    RePEc:bis:biswps:972.

    Full description at Econpapers || Download paper

23. Are hedge funds charitable donations strategic?. (2020). Lu, Yan ; Agarwal, Vikas ; Ray, Sugata.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:2014.

    Full description at Econpapers || Download paper

24. Unobserved performance of hedge funds. (2020). Weigert, Florian ; Ruenzi, Stefan ; Agarwal, Vikas.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:2007.

    Full description at Econpapers || Download paper

25. Volatility-of-volatility and the cross-section of option returns. (2020). Ruan, Xinfeng.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:48:y:2020:i:c:s1386418118300818.

    Full description at Econpapers || Download paper

26. The macroeconomic drivers in hedge fund beta management. (2020). Platania, Federico ; Lambert, Marie.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:91:y:2020:i:c:p:65-80.

    Full description at Econpapers || Download paper

27. Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?. (2020). Guidolin, Massimo ; Orlov, Alexei.
    In: BAFFI CAREFIN Working Papers.
    RePEc:baf:cbafwp:cbafwp20146.

    Full description at Econpapers || Download paper

28. Upside potential of hedge funds as a predictor of future performance. (2019). Bali, Turan G ; Caglayan, Mustafa O ; Brown, Stephen J.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:98:y:2019:i:c:p:212-229.

    Full description at Econpapers || Download paper

29. Does the volatility of volatility risk forecast future stock returns?. (2019). JAWADI, Fredj ; Fu, XI ; Bu, Ruijun.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:61:y:2019:i:c:p:16-36.

    Full description at Econpapers || Download paper

30. Hedge fund return higher moments over the business cycle. (2019). Racicot, François-Éric ; Theoret, Raymond.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:78:y:2019:i:c:p:73-97.

    Full description at Econpapers || Download paper

31. THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

    Full description at Econpapers || Download paper

32. Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?. (2018). Weigert, Florian ; Bali, Turan G.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2018:27.

    Full description at Econpapers || Download paper

33. Unobserved Performance of Hedge Funds. (2018). Weigert, Florian ; Ruenzi, Stefan ; Agarwal, Vikas.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2018:25.

    Full description at Econpapers || Download paper

34. Multi-moment risk, hedging strategies, & the business cycle. (2018). Racicot, François-Éric ; Theoret, Raymond .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:58:y:2018:i:c:p:637-675.

    Full description at Econpapers || Download paper

35. Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market. (2018). Yu, Honghai ; Sun, Wencong ; Fang, Libing.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:505:y:2018:i:c:p:931-940.

    Full description at Econpapers || Download paper

36. Alpha or beta in the eye of the beholder: What drives hedge fund flows?. (2018). Agarwal, Vikas ; Ren, Honglin ; Green, Clifton T.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:127:y:2018:i:3:p:417-434.

    Full description at Econpapers || Download paper

37. Hedge fund performance attribution under various market conditions. (2018). Stafylas, Dimitrios ; Uddin, Moshfique ; Anderson, Keith.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:56:y:2018:i:c:p:221-237.

    Full description at Econpapers || Download paper

38. Investor Concentration, Flows, and Cash Holdings : Evidence from Hedge Funds. (2017). Watugala, Sumudu W ; Monin, Phillip J ; Kruttli, Mathias S.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2017-121.

    Full description at Econpapers || Download paper

39. Tail risk in hedge funds: A unique view from portfolio holdings. (2017). Ruenzi, Stefan ; Weigert, Florian ; Agarwal, Vikas.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:125:y:2017:i:3:p:610-636.

    Full description at Econpapers || Download paper

40. Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded notes by mutual funds. (2017). Rakowski, David ; Stark, Jeffrey R ; Shirley, Sara E.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:44:y:2017:i:c:p:91-107.

    Full description at Econpapers || Download paper

Report date: 2025-02-15 12:35:34 || Missing content? Let us know