in the tails

DOI10.1016/J.JECONOM.2020.06.006MaRDI QIDQ2116327zbMATH OpenOpenAlexFDO

Authors Federico M. Bandi, Roberto Renò

Publication date 16 March 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.06.006

zbMATH Keywords

hedge fundsbetajump riskdiffusive risk

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Dynamic risk exposures in hedge funds
• Jump Regressions
• NONPARAMETRIC STOCHASTIC VOLATILITY

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