Modeling hedge fund exposure to risk factors
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- Franck Martin & Mai lan Nguyen, 2015.
"Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ?,"
AccessEcon, vol. 35(4), pages 2110-2125.
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- Franck Martin & Mai Lan Nguyen, 2015. "Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ?," Post-Print halshs-01184072, HAL.
- repec:eee:glofin:v:33:y:2017:i:c:p:69-87 is not listed on IDEAS
More about this item
KeywordsHedge funds; Style analysis; Nonlinearity; Switching Transition Regression models;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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