Dynamic risk exposures in hedge funds

DOI10.1016/J.CSDA.2010.08.015zbMath1254.91720OpenAlexW2093136496MaRDI QIDQ1927132

Monica Billio, Loriana Pelizzon, Mila Getmansky

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.08.015

zbMATH Keywords

regime-switching modelsrisk managementliquidityfinancial criseshedge funds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

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