Hedge fund systemic risk signals

DOI10.1016/J.EJOR.2013.12.014zbMath1338.91162OpenAlexW3123996969MaRDI QIDQ299896

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

regression treesdynamic conditional correlationsearly warning systemhedge fundstime-varying beta

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ 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

Cites Work

• Unnamed Item
• Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
• Liquidity Black Holes *

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