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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