Hedge Fund Tail Risk: An Investigation
               
               in Stressed Markets

Monica Billio; Lorenzo Frattarolo; Loriana Pelizzon

doi:10.3905/jai.2016.18.4.109

Hedge Fund Tail Risk: An Investigation
in Stressed Markets

Monica Billio, Lorenzo Frattarolo and Loriana Pelizzon

The Journal of Alternative Investments Spring 2016, 18 (4) 109-124; DOI: https://doi.org/10.3905/jai.2016.18.4.109

Monica Billio

is a professor of econometrics in the Department of Economics at Ca’ Foscari University of Venice in Venice, Italy.

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For correspondence: billio@unive.it

Lorenzo Frattarolo

is a postdoctoral researcher in the Department of Economics at Ca’ Foscari University of Venice in Venice, Italy.

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For correspondence: lorenzo.frattarolo@unive.it

Loriana Pelizzon

is the program director of the Systemic Risk Lab and chair of law and finance at Research Centre SAFE at Goethe University in Frankfurt, Germany, and a professor of economics in the Department of Economics at Ca’ Foscari University of Venice in Venice, Italyy.

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For correspondence: pelizzon@unive.it

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The Journal of Alternative Investments

Vol. 18, Issue 4

Spring 2016

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Hedge Fund Tail Risk: An Investigation
in Stressed Markets