\(\beta\) in the tails

DOI10.1016/j.jeconom.2020.06.006OpenAlexW3080713556MaRDI QIDQ2116327

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

jump riskhedge fundsbetadiffusive 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
• NONPARAMETRIC STOCHASTIC VOLATILITY
• Jump Regressions

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