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Reconsidering Funds of Hedge Funds by Greg N. Gregoriou

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Chapter 26

Crises and Funds of Hedge Funds Tail Risk

Monica Billio, Kaleab Y. Mamo and Loriana Pelizzon, Dipartimento di Economia, Università Ca’ Foscari Venezia, Venezia, Italy, University of Toronto, Toronto, Ontario, Canada

Chapter Outline

26.1 Introduction

26.2 Methodology

26.2.1 The Model

26.2.2 Tail Risk Measures

26.3 Empirical Results

26.3.1 Data

26.3.2 Expanding Window Estimation Procedure

26.3.3 Results

Conclusion

References

26.1 Introduction

The recent financial crises had a major global impact on worldwide markets. Although hedge funds are expected to have the capability to reduce the impact of such crises by hedging against market movements, the Long-Term Capital Management (LCTM) crisis in 1998 and the global meltdown in 2008 ...

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