Do hedge and merger arbitrage funds actually hedge? A time-varying volatility spillover approach

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Most cited references 23

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Better to give than to receive: Predictive directional measurement of volatility spillovers

Francis X Diebold, Kamil Yilmaz (2012)

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Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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Efficient tests for normality, homoscedasticity and serial independence of regression residuals

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Author and article information

Contributors

Dimitrios Vasiliou: (View ORCID Profile)

Anastasios Magoutas: (View ORCID Profile)

Drosos Koutsokostas: (View ORCID Profile)

Journal

Title: Finance Research Letters

Abbreviated Title: Finance Research Letters

Publisher: Elsevier BV

ISSN (Print): 15446123

Publication date Created: January 2022

Publication date (Print): January 2022

Volume: 44

Page: 102088

Article

DOI: 10.1016/j.frl.2021.102088

SO-VID: 2b580d6b-8077-46be-9d6a-4f1f5171c8f7

License:

https://www.elsevier.com/tdm/userlicense/1.0/

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