Hedge funds: Drivers of co-movements among financial assets

Mai Lan Nguyen () and Guillaume Queffelec ()
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Mai Lan Nguyen: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique
Guillaume Queffelec: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

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Keywords: Contagion; co-movement; hedge-funds; DCC-GARCH; space-state model; Kalman filter; non-linear model (search for similar items in EconPapers)
Date: 2011-11-23
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Published in Journée d'économétrie : Développements récents de l'économétrie appliquée à la finance, Nov 2011, Paris, France

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00657219

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