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Margins and Hedge Fund Contagion

https://doi.org/10.1017/s0022109011000342
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Outgoing claims: the papers this work cites, builds on, or argues with.

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An Introduction to Copulas
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Is the correlation in international equity returns constant: 1960–1990?
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Common factors in conditional distributions for bivariate time series
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An econometric model of serial correlation and illiquidity in hedge fund returns
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Asset pricing with liquidity risk
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Asymmetric correlations of equity portfolios
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Illiquidity and stock returns: cross-section and time-series effects
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Quantile Regression
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A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market
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Liquidity Risk and Expected Stock Returns
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Market Integration and Contagion
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A Model for Association in Bivariate Life Tables and Its Application in Epidemiological Studies of Familial Tendency in Chronic Disease Incidence
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The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers
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International Asset Allocation With Regime Shifts
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Market Liquidity and Funding Liquidity
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Extreme Correlation of International Equity Markets
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MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
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Hedge Funds: Performance, Risk, and Capital Formation
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Hedge Fund Contagion and Liquidity Shocks
inferredcites →https://doi.org/10.1162/003355301556310openalex-snapshot
Prospect Theory and Asset Prices
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The Failure Mechanics of Dealer Banks
inferredcites →https://doi.org/10.2139/ssrn.1442607openalex-snapshot
Funding Liquidity, Crises and Hedge Fund Risk
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2469/faj.v60.n5.2657openalex-snapshot
Hedge Fund Benchmarks: A Risk-Based Approach
inferredcites →https://doi.org/10.3386/w15223openalex-snapshot
Securitized Banking and the Run on Repo
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Do Hedge Funds Hedge?

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Home Bias and Local Contagion: Evidence from Funds of Hedge Funds
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Financial Firm Bankruptcy and Contagion
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Hedge Fund Return Dependence and Liquidity Spirals
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Prime Broker-Level Comovement in Hedge Fund Returns: Information or Contagion?
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Asymmetric Dependence, Tail Dependence, and the Time Interval over Which the Variables Are Measured
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Form PF and Hedge Funds: Risk-Measurement Precision for Option Portfolios
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Strategic Interaction between Hedge Funds and Prime Brokers
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Contagious Margin Calls: How COVID-19 Threatened Global Stock Market Liquidity
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Systemic Risk: Bank Characteristics Matter
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Copula Methods for Forecasting Multivariate Time Series
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The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach
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Contagious margin calls: How COVID-19 threatened global stock market liquidity
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Trading off accuracy for speed: Hedge funds' decision-making under uncertainty
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Too big to ignore? Hedge fund flows and bond yields
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Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach
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A review of copula models for economic time series
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Spillover effects among financial institutions within Germany and the United Kingdom
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Time-Varying Margin Requirements and Optimal Portfolio Choice
inferred← citeshttps://doi.org/10.1017/s0022109017000679openalex-snapshot
Hedge Fund Return Dependence: Model Misspecification or Liquidity Spirals?
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Hedge funds risk and connectedness
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Portfolio choices and hedge funds: a disappointment aversion analysis
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Monitoring systemic risk in the hedge fund sector
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Geographic Dependence and Diversification in House Price Returns: The Role of Leverage
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Hedge Fund Investment: Optimal Portfolios with Regime-Switching
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Exceedance Correlation Tests for Financial Returns
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Systemic risks in the shadow: an extreme value analysis of hedge funds
inferred← citeshttps://doi.org/10.1093/rfs/hhw052openalex-snapshot
Prime Broker-Level Comovement in Hedge Fund Returns: Information or Contagion?
inferred← citeshttps://doi.org/10.1093/rfs/hhz138openalex-snapshot
Home Bias and Local Contagion: Evidence from Funds of Hedge Funds
inferred← citeshttps://doi.org/10.1093/rof/rfv045openalex-snapshot
Financial Firm Bankruptcy and Contagion
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Incorporating Realistic Margin Constraints: A Data-Driven Deep Reinforcement Learning Framework for Advanced Portfolio Management
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Contagion Channels between Real Estate and Financial Markets
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The contagion versus interdependence controversy between hedge funds and equity markets
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Hedge Fund Styles and their Contagion from the Equity Market
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Credit Contagion Channels: Market Microstructure Evidence from Lehman Brothers’ Bankruptcy
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Credit Availability and Asset Pricing Dynamics in Illiquid Markets: Evidence from Commercial Real Estate Markets
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Liquidity Crises and the Market‐Maker of Last Resort
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Margin Trader: A Reinforcement Learning Framework for Portfolio Management with Margin and Constraints
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The Economics and Finance of Hedge Funds: A Review of the Academic Literature
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Essays on liquidity risk, credit market contagion, and corporate cash holdings
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Four essays on linear and extreme dependences in credit derivatives and equity markets
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Hedge Fund Leverage and Financial Fragility
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Nature of VIX Jumps on Market Timing of Hedge Funds
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Hybrid Hedge Fund Fees Model
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Tail Risk and Hedge Fund Returns
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Funding Liquidity Risk and Hedge Fund Performance
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Funding Liquidity Implied by S&P 500 Derivatives
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Leverage Network and Market Contagion
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Measuring the Time-varying Systemic Risks of Hedge Funds
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Do Tax Havens Threaten Financial Stability?The Korean Experience in the Global Financial Crisis
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Liquidity Crises and the Market-Maker of Last Resort *
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Beyond Independent Fund Failures: Addressing Correlated Liquidations in Hedge Fund Risk Analysis
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Beyond Independent Fund Failures: Addressing Correlated Liquidations in Hedge Fund Risk Analysis
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Beyond Independent Fund Failures: Addressing Correlated Liquidations in Hedge Fund Risk Analysis
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Beyond Independent Fund Failures: Correlated Liquidations in Hedge Fund Survival Analysis
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Home Bias and Local Contagion: Evidence from Funds of Hedge Funds
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Funding Illiquidity Implied by S&P 500 Derivatives
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Hedge fund performance
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Form PF and the Systemic Risk of Hedge Funds: Risk-Measurement Precision for Option Portfolios
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Hedge Fund Essays
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