Hedge fund systemic risk signals

DOI10.1016/J.EJOR.2013.12.014MaRDI QIDQ299896zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

dynamic conditional correlationsearly warning systemhedge fundsregression treestime-varying beta

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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

Cites work

• scientific article; zbMATH DE number 3860199 (Why is no real title available?)
• 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

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