Hedge fund systemic risk signals

DOI10.1016/J.EJOR.2013.12.014zbMATH Open1338.91162OpenAlexW3123996969MaRDI QIDQ299896FDOQ299896

Authors: Roberto Savona 

Publication date: 23 June 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.12.014

Recommendations

• Monitoring systemic risk in the hedge fund sector
• Hedge funds. An analytic perspective.
• Dynamic risk exposures in hedge funds
• Hedge funds. An analytic perspective
• Contagion phenomena with applications in finance

zbMATH Keywords

dynamic conditional correlationsearly warning systemhedge fundsregression treestime-varying beta

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Title not available (Why is that?)
• Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
• Liquidity Black Holes *

Cited In (4)

• Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods
• Student and school performance across countries: a machine learning approach
• Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
• Monitoring systemic risk in the hedge fund sector

This page was built for publication: Hedge fund systemic risk signals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q299896)