Skip to main content
Financial Innovation
Fig. 9 | Financial Innovation

Fig. 9

From: Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach

Fig. 9

Response of the beta cross-sectional dispersion to shocks, model 2. Notes: Model 2 is given by equation (22). The impulse response functions corresponding to the linear LP—i.e., the beta cross-sectional dispersion forecast following external shocks—are built using the Jordà’s (2004, 2005, 2009) algorithm provided by Eren Ocakverdi, consultant at Yapy Kredi. The local projection of the beta cross-sectional dispersion is performed over the subprime crisis (2007Q3–2009Q4). We also provide the linear VAR estimated over the whole sample period selected as benchmark. The confidence interval of the LP impulses, computed at the threshold of 95%, is in dotted lines

Back to article page