Hedge Fund Returns under Crisis Scenarios: A Holistic Approach
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- Stoforos, Chrysostomos E. & Degiannakis, Stavros & Palaskas, Theodosios B., 2017. "Hedge fund returns under crisis scenarios: A holistic approach," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1196-1207.
References listed on IDEAS
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More about this item
KeywordsAbsolute Returns; Carhart’s Model; Dynamic Conditional Correlation; Financial Crisis; Hedge Funds; Structural Breaks.;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G1 - Financial Economics - - General Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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