Are hedge funds uncorrelated with financial markets? An empirical assessment
In this paper, we examine the correlations between hedge fund strategy indices and asset classes. Based on the Dynamic Conditional Correlation (DCC) GARCH Model, we estimate the correlations between hedge fund, stock, and bond indices during bull and bear markets. The results reveal that there are significant correlations between hedge funds and the stock market, especially during the recent financial crisis that took place from 2007 to 2009.
|Date of creation:||25 Feb 2014|
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CEPR Discussion Papers
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