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Is There Hedge Fund Contagion?
16 references·5 citing·46 second hop
Is There Hedge Fund Contagion? (2006)Is There Hedge Fund Contagion?Hedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…An econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…The Statistics of Sharpe Ratios (2002)The Statistics of Sharpe Rati…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…A Rational Expectations Model of Financial Contagion (2002)A Rational Expectations Model…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)No Contagion, Only Interdepen…Contagious Currency Crises: First Tests (1996)Contagious Currency Crises: F…Venture Capitalists and the Oversight of Private Firms (1995)Venture Capitalists and the O…The Determinants of Board Composition (1988)The Determinants of Board Com…Limited-Dependent and Qualitative Variables in Econometrics. (1985)Limited-Dependent and Qualita…Econometric Models for Count Data with an Application to the Patents-R & D Relationship (1984)Econometric Models for Count …Caught by the Tail: Tail Risk Neutrality and Hedge Fund Returns (2011)Caught by the Tail: Tail Risk…A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market (2010)A Longer Look at the Asymmetr…Seeking Alpha or Creating Beta? Charting the Rise of Hedge Fund-Based Financial Ecosystems (2009)Seeking Alpha or Creating Bet…Hedge Funds and Prime Brokers: The Role of Funding Risk (2009)Hedge Funds and Prime Brokers…Conditional Properties of Hedge Funds: Evidence from Daily Returns* (2007)Conditional Properties of Hed…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Separation of Ownership and Control (1983)Outside directors and CEO turnover (1988)Insiders and Outsiders: The Choice between Informed and Arm's-Length Debt (1992)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Creating Something from Nothing: Resource Construction through Entrepreneurial Bricolage (2005)University entrepreneurship: a taxonomy of the literature (2007)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Large Shareholders and Corporate Control (1986)The Provision of Incentives in Firms (1999)Politically connected CEOs, corporate governance, and Post-IPO performance of China's newly partially privatized firms☆ (2007)Women in the boardroom and their impact on governance and performance☆ (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)The Strategic and Tactical Value of Commodity Futures (2006)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)The separation of ownership and control in East Asian Corporations (2000)Contagion as a Wealth Effect (2001)Competition and Financial Stability (2004)Contagion in financial networks (2010)Conditional logit analysis of qualitative choice behavior (1972)On the Pooling of Time Series and Cross Section Data (1978)Specification Tests in Econometrics (1978)Aging, Obsolescence, and Organizational Innovation (2000)Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity (2005)Competition and Innovation: An Inverted U Relationship (2008)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)The Relationship Between Firm Size and Firm Growth in the US Manufacturing Sector (1987)Conversation and Cooperation in Social Dilemmas (1995)Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings (1996)
this work references cited by second hop

References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1984Econometric Models for Count Data with an Application to the Patents-R & D Relationship3,391 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1995Venture Capitalists and the Oversight of Private Firms1,489 cited
  • 1988The Determinants of Board Composition1,476 cited
  • 1985Limited-Dependent and Qualitative Variables in Econometrics.1,321 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 2002A Rational Expectations Model of Financial Contagion1,080 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 2004An econometric model of serial correlation and illiquidity in hedge fund returns1,000 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
  • 1996Contagious Currency Crises: First Tests847 cited

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  • 2002The Statistics of Sharpe Ratios842 cited
  • Cited by

    • 2007Conditional Properties of Hedge Funds: Evidence from Daily Returns*43 cited
    • 2010A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market30 cited
    • 2009Hedge Funds and Prime Brokers: The Role of Funding Risk24 cited
    • 2009Seeking Alpha or Creating Beta? Charting the Rise of Hedge Fund-Based Financial Ecosystems21 cited
    • 2011Caught by the Tail: Tail Risk Neutrality and Hedge Fund Returns21 cited