Denitsa Stefanova

Luxembourg School of Finance

4 Rue Albert Borschette

Luxembourg, L-1246

Luxembourg

SCHOLARLY PAPERS

8

DOWNLOADS
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Top 25,655

in Total Papers Downloads

1,370

CITATIONS

1

Scholarly Papers (8)

1.

Dynamic Correlation Hedging in Copula Models for Portfolio Selection

Paris December 2009 Finance International Meeting
Number of pages: 64 Posted: 26 Oct 2009
Denitsa Stefanova and Redouane Elkamhi
Luxembourg School of Finance and University of Toronto - Rotman School of Management
Downloads 254 (87,873)

Abstract:

correlation hedging, dynamic portfolio allocation, Monte Carlo simulation, tail dependence

2.

Limits to Arbitrage: Time-Varying Market Neutrality of Hedge Funds

Number of pages: 21 Posted: 11 Sep 2009
Arjen Siegmann and Denitsa Stefanova
VU University Amsterdam and Luxembourg School of Finance
Downloads 221 (106,685)

Abstract:

hedge funds, market neutrality, liquidity

3.

Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection

AFA 2012 Chicago Meetings Paper
Number of pages: 51 Posted: 15 Mar 2011
Denitsa Stefanova and Redouane Elkamhi
Luxembourg School of Finance and University of Toronto - Rotman School of Management
Downloads 176 (108,053)

Abstract:

correlation hedging, dynamic portfolio allocation, Monte Carlo simulation, tail dependence

4.

Hedge Fund Innovation

Number of pages: 37 Posted: 03 Nov 2012 Last Revised: 26 Sep 2016
Arjen Siegmann, Denitsa Stefanova and Marcin Zamojski
VU University Amsterdam, Luxembourg School of Finance and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 170 (124,225)

Abstract:

hedge funds, innovation, followers, excess returns, institutional design, first-mover advantage

5.

Dynamic Hedging and Extreme Asset Co-Movements

Number of pages: 57 Posted: 28 Oct 2009 Last Revised: 24 Mar 2014
Denitsa Stefanova and Redouane Elkamhi
Luxembourg School of Finance and University of Toronto - Rotman School of Management
Downloads 166 (117,449)
Citation 2

Abstract:

Asset allocation, intertemporal hedging, tail risk, extreme co-movement

The Evolving Beta-Liquidity Relationship of Hedge Funds

Number of pages: 40 Posted: 19 Mar 2012 Last Revised: 26 Sep 2016
Arjen Siegmann and Denitsa Stefanova
VU University Amsterdam and Luxembourg School of Finance
Downloads 96 (219,596)

Abstract:

hedge funds, market timing, liquidity timing, changepoint regression, dynamic strategies

Market Liquidity and Exposure of Hedge Funds

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 33 Posted: 14 Oct 2011
Arjen Siegmann and Denitsa Stefanova
VU University Amsterdam and Luxembourg School of Finance
Downloads 60 (290,766)

Abstract:

hedge funds, market liquidity, limits to arbitrage, liquidity timing, pairs trading

7.

Where to Hide in Bad Times: Or Should One Still Diversify Internationally?

Rotman School of Management Working Paper No. 2812623
Number of pages: 50 Posted: 25 Jul 2016 Last Revised: 30 Sep 2016
Redouane Elkamhi and Denitsa Stefanova
University of Toronto - Rotman School of Management and Luxembourg School of Finance
Downloads 0 (307,277)

Abstract:

Asset Allocation, Dynamic Correlations, Asymmetric Dependence, Diversification

8.

The European Sovereign Debt Crisis: What Have We Learned?

Journal of Empirical Finance, Vol. 38(A), 2016
Number of pages: 29 Posted: 06 Apr 2016 Last Revised: 12 Jan 2017
Roman Kräussl, Thorsten Lehnert and Denitsa Stefanova
Luxembourg School of Finance, Luxembourg School of Finance and Luxembourg School of Finance
Downloads 0 (333,394)

Abstract:

Sovereign debt crisis, systemic risk, contagion, bank bail-outs, financial regulation