On the High Frequency Dynamics of Hedge Fund Risk Exposures

By Andrew J. Patton, Tarun Ramadorai. 2013

197 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/98f4230f6bb997397d2bd13236485754f6f1bdc4

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In Finance

1. M. O. Caglayan
2. Stephen J. Brown
3. Turan G. Bali
4. Marco Rocco
5. Yi Tang
6. Bing Liang
7. Linda Allen
8. Hao Zhou

Citations in the corpus

• Macroeconomic Risk and Hedge Fund Returns (2014, background): “Patton and Ramadorai (2013) introduce a new econometric methodology, using high-frequency data, to capture time-series variation in hedge fund exposure to risk factors, and find that hedge fund risk exposure varies significantly across months.”
• Volatility Risk Premia and Exchange Rate Predictability (2016, unknown): “Panel C of Table 6 employs the Fung-Hsieh (2004) factor model, which has been used in numerous previous studies; see for example, Bollen andWhaley (2009), Ramadorai (2013), and Patton and Ramadorai (2013). The set of factors comprises the excess return on the S&P 500 index; a small minus big factor ”