Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Sabrina Khanniche"'
Autor:
Michel Aglietta, Sabrina Khanniche
Publikováno v:
Revue de l'OFCE. 173:79-115
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a581919cda9a4ba76d0ad6e75b79ff0d
https://doi.org/10.3917/reof.173.0079
https://doi.org/10.3917/reof.173.0079
Autor:
Michel Aglietta, Sabrina Khanniche
Publikováno v:
Revue d'économie financière. :281-291
Le capitalisme globalise a subi deux crises systemiques en douze ans. Elles sont distinctes par leur declenchement, mais etroitement liees par les vulnerabilites financieres inherentes a l’extension de l’endettement public et prive dans le deploi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::024fe95529dd4f0f1cb2afb6f3570e54
https://doi.org/10.3917/ecofi.139.0281
https://doi.org/10.3917/ecofi.139.0281
Autor:
Sabrina Khanniche, Fredj Jawadi
Publikováno v:
Economic Modelling. 29:1003-1018
This paper examines the adjustment dynamics of hedge fund returns and studies their exposure to risk factors in a nonlinear framework for several types of strategies over the last two decades. Nonlinearity is justified by distortions due to the use o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b14fd95f1bc576e2e4e679123bddcb18
https://doi.org/10.1016/j.econmod.2012.02.003
https://doi.org/10.1016/j.econmod.2012.02.003
Autor:
Sabrina Khanniche
Publikováno v:
Revue d'économie financière. :87-104
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7ba76fe9047b66f26ce62bfb36b16e15
https://doi.org/10.3917/ecofi.101.0087
https://doi.org/10.3917/ecofi.101.0087
Autor:
Sabrina Khanniche
Publikováno v:
Revue d'économie financière. 101:87-102
Hedge funds aim to provide absolute returns. This purpose implies taking positions in complex financial markets that are sensitive to extreme losses. They are thus sources of systemic risk. In addition, a set of factors induce that hedge funds dissem
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::193853ac80e1b0dbb2bf7a430bdc6d19
https://doi.org/10.3406/ecofi.2011.5989
https://doi.org/10.3406/ecofi.2011.5989
Autor:
Sabrina Khanniche
Purpose – This chapter aimed to investigate hedge funds market risk. One aims to go further the traditional measures of risk that underestimates it by introducing a more appropriate method to hedge funds. One demonstrates that daily hedge fund retu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::800f034b8fd5993fc07844d1ca48c425
https://doi.org/10.1108/s1571-0386(2012)0000022020
https://doi.org/10.1108/s1571-0386(2012)0000022020
Autor:
Fredj Jawadi, Sabrina Khanniche
Publikováno v:
Applied Economics Letters
Applied Economics Letters, Taylor & Francis (Routledge): SSH Titles, 2012, 19, pp.739-743
Applied Economics Letters, 2012, 19, pp.739-743
Applied Economics Letters, Taylor & Francis (Routledge): SSH Titles, 2012, 19, pp.739-743
Applied Economics Letters, 2012, 19, pp.739-743
The subprime crisis, which proved devastating for the hedge fund industry, induced significant losses for investors who ploughed into absolute return funds. In such a context, investigating the opacity surrounding the hedge fund industry and its proh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0c6b33c8976f2c8d14989def8edd2e20
Autor:
Sabrina Khanniche
Publikováno v:
SSRN Electronic Journal.
The aim of this research paper is to evaluate hedge fund returns Value-at-Risk by using GARCH models. To perform the empirical analysis, one uses the HFRX daily performance hedge fund strategy subindexes and spans the period March 2003 – March 2008
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::651dce725dea2575ced11592ee66232b
https://doi.org/10.2139/ssrn.1155843
https://doi.org/10.2139/ssrn.1155843