Advanced Search
MyIDEAS: Login to save this paper or follow this series

Systemic Risk, the TED Spread and Hedge Fund Returns

Contents:

Author Info

  • Robert J. Bianchi
  • Michael E. Drew
  • Thanula R. Wijeratne

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: https://www120.secure.griffith.edu.au/research/items/86fd5fab-f729-4e58-4739-fbae0e79dc85/1/2010-04-systemic-risk-the-ted-spread-and-hedge-fund-returns.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Griffith University, Department of Accounting, Finance and Economics in its series Discussion Papers in Finance with number finance:201004.

as in new window
Length:
Date of creation: Apr 2010
Date of revision:
Handle: RePEc:gri:fpaper:finance:201004

Contact details of provider:
Postal: Nathan, Brisbane, Queensland, 4111
Phone: (07) 3875-5364
Fax: (07) 3875-7750
Web page: http://www.griffith.edu.au/business-commerce/griffith-business-school/departments/department-accounting-finance-economics
More information through EDIRC

Related research

Keywords:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Capocci, Daniel & Hubner, Georges, 2004. "Analysis of hedge fund performance," Journal of Empirical Finance, Elsevier, Elsevier, vol. 11(1), pages 55-89, January.
  2. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 25(1), pages 23-49, November.
  3. Conze, Antoine & Viswanathan, 1991. " Path Dependent Options: The Case of Lookback Options," Journal of Finance, American Finance Association, American Finance Association, vol. 46(5), pages 1893-907, December.
  4. Franklin R. Edward, 1999. "Hedge Funds and the Collapse of Long-Term Capital Management," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 13(2), pages 189-210, Spring.
  5. Ferguson, R. & Laster, D., 2007. "Hedge funds and systemic risk," Financial Stability Review, Banque de France, Banque de France, issue 10, pages 45-54, April.
  6. Ferson, Wayne E & Schadt, Rudi W, 1996. " Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, American Finance Association, vol. 51(2), pages 425-61, June.
  7. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "A framework for assessing the systemic risk of major financial institutions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2009-37, Board of Governors of the Federal Reserve System (U.S.).
  8. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
  9. Tse, Yiuman & Booth, G. Geoffrey, 1996. "Common volatility and volatility spillovers between U.S. and Eurodollar interest rates: Evidence from the futures market," Journal of Economics and Business, Elsevier, Elsevier, vol. 48(3), pages 299-312, August.
  10. Lehar, Alfred, 2005. "Measuring systemic risk: A risk management approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(10), pages 2577-2603, October.
  11. Anne Jansen & Donald J. Mathieson & Barry J. Eichengreen & Laura E. Kodres & Bankim Chadha & Sunil Sharma, 1998. "Hedge Funds and Financial Market Dynamics," IMF Occasional Papers, International Monetary Fund 166, International Monetary Fund.
  12. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, American Finance Association, vol. 52(1), pages 57-82, March.
  13. Chen, Nai-Fu, 1991. " Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, American Finance Association, vol. 46(2), pages 529-54, June.
  14. Fung, William & Hsieh, David A., 2000. "Measuring the market impact of hedge funds," Journal of Empirical Finance, Elsevier, Elsevier, vol. 7(1), pages 1-36, May.
  15. Das, Sanjiv Ranjan & Uppal, Raman, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3305, C.E.P.R. Discussion Papers.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:gri:fpaper:finance:201004. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr. Alexandr Akimov).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.