IDEAS home Printed from https://ideas.repec.org/r/oup/rfinst/v31y2018i7p2650-2692..html
   My bibliography  Save this item

Do Hedge Funds Exploit Rare Disaster Concerns?

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Manuel Ammann & Alexander Feser, 2019. "Robust Estimation of Risk-Neutral Moments," Working Papers on Finance 1902, University of St. Gallen, School of Finance.
  2. Manuel Ammann & Alexander Feser, 2019. "Robust estimation of risk‐neutral moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1137-1166, September.
  3. Ho, Thang & Kagkadis, Anastasios & Wang, George, 2025. "Bear factor and hedge fund performance," Journal of Empirical Finance, Elsevier, vol. 82(C).
  4. Bali, Turan G. & Weigert, Florian, 2021. "Hedge funds and the positive idiosyncratic volatility effect," CFR Working Papers 21-01, University of Cologne, Centre for Financial Research (CFR).
  5. Vikas Agarwal & Stefan Ruenzi & Florian Weigert, 2018. "Unobserved Performance of Hedge Funds," Working Papers on Finance 1825, University of St. Gallen, School of Finance.
  6. Brice Corgnet & Camille Cornand & Pauline Gandré, 2025. "Can Information Shape Macroeconomic Disaster Risk Perception and Stimulate Investment? An Experiment with Experts and Laypersons," Working Papers 2515, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
  7. Pascal François & Rémi Galarneau‐Vincent & Geneviève Gauthier & Frédéric Godin, 2022. "Venturing into uncharted territory: An extensible implied volatility surface model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1912-1940, October.
  8. PeiLin Hsieh & QinQin Zhang & Yajun Wang, 2018. "Jump risk and option liquidity in an incomplete market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1334-1369, November.
  9. Cheng, Jiahui & Chang, Senfeng, 2025. "Rare disasters, local currency-denominated external debt and sovereign default risk," Economics Letters, Elsevier, vol. 250(C).
  10. Julien Hambuckers & Marie Kratz & Antoine Usseglio-Carleve, 2023. "Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks," Papers 2304.06950, arXiv.org.
  11. Wei Jiang & Jitao Ou & Zhongyan Zhu, 2021. "Mutual Fund Holdings of Credit Default Swaps: Liquidity, Yield, and Risk," Journal of Finance, American Finance Association, vol. 76(2), pages 537-586, April.
  12. Karagiorgis, Ariston & Drakos, Konstantinos, 2023. "A stochastic analysis of hedge funds’ higher moments," Research in International Business and Finance, Elsevier, vol. 66(C).
  13. Silva, Felipe Bastos Gurgel, 2021. "Fiscal Deficits, Bank Credit Risk, and Loan-Loss Provisions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(5), pages 1537-1589, August.
  14. Karagiorgis, Ariston & Drakos, Konstantinos, 2022. "The Skewness-Kurtosis plane for non-Gaussian systems: The case of hedge fund returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  15. Liya Chu & Xue-Zhong He & Kai Li & Jun Tu, 2022. "Investor Sentiment and Paradigm Shifts in Equity Return Forecasting," Management Science, INFORMS, vol. 68(6), pages 4301-4325, June.
  16. Pascal Albert & Michael Herold & Matthias Muck, 2023. "Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(12), pages 1807-1835, December.
  17. Kräussl, Roman & Oladiran, Tobi & Stefanova, Denitsa, 2023. "ESG as protection against downside risk," CFS Working Paper Series 708, Center for Financial Studies (CFS).
  18. Pakorn Aschakulporn & Jin E. Zhang, 2022. "Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach," Review of Derivatives Research, Springer, vol. 25(3), pages 233-281, October.
  19. Dierkes, Maik & Hollstein, Fabian & Prokopczuk, Marcel & Würsig, Christoph Matthias, 2024. "Measuring tail risk," Journal of Econometrics, Elsevier, vol. 241(2).
  20. Liu, Jie & Chen, Zhenshan & Lin, Gengyan & Zhu, Yinglun, 2024. "Riding the geopolitical storm or dodging bullets: Geopolitical risk timing of mutual funds," Global Finance Journal, Elsevier, vol. 63(C).
  21. Wang, Xiaoxiao, 2023. "Bank affiliation and mutual funds’ trading strategy distinctiveness," International Review of Financial Analysis, Elsevier, vol. 88(C).
  22. Turan G. Bali & Florian Weigert, 2018. "Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?," Working Papers on Finance 1827, University of St. Gallen, School of Finance.
  23. Liu, Mengxi (Maggie) & Chan, Kam Fong & Faff, Robert, 2022. "What can we learn from firm-level jump-induced tail risk around earnings announcements?," Journal of Banking & Finance, Elsevier, vol. 138(C).
  24. Cheng, Tingting & Yan, Cheng & Yan, Yayi, 2021. "Improved inference for fund alphas using high-dimensional cross-sectional tests," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 57-81.
  25. Cortes, Gustavo S. & Gao, George P. & Silva, Felipe B.G. & Song, Zhaogang, 2022. "Unconventional monetary policy and disaster risk: Evidence from the subprime and COVID–19 crises," Journal of International Money and Finance, Elsevier, vol. 122(C).
  26. Matthias Muck, 2022. "Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities," Review of Derivatives Research, Springer, vol. 25(3), pages 293-314, October.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.