Risk Procyclicality and Dynamic Hedge Fund Strategies
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Keywordsrisk measures; Aggregate risk; Financial stability; Conditional models; Kalman Filter; Spectral analysis.;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-21 (All new papers)
- NEP-BAN-2011-07-21 (Banking)
- NEP-BEC-2011-07-21 (Business Economics)
- NEP-ORE-2011-07-21 (Operations Research)
- NEP-RMG-2011-07-21 (Risk Management)
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