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.
Lorenzo Frattarolo
is a postdoctoral researcher in the Department of Economics at Ca’ Foscari University of Venice in Venice, Italy.
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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In this issue
The Journal of Alternative Investments
Vol. 18, Issue 4
Spring 2016
Hedge Fund Tail Risk: An Investigation
in Stressed Markets
in Stressed Markets
Monica Billio, Lorenzo Frattarolo, Loriana Pelizzon
The Journal of Alternative Investments Mar 2016, 18 (4) 109-124; DOI: 10.3905/jai.2016.18.4.109