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Abstract :
[en] We propose a dynamic measure of extremal connectedness across investment styles
of hedge funds. Using multivariate extreme value regression techniques, we estimate
this measure conditional on factors reflecting the economic uncertainty and the state
of the financial markets, and derive several systemic risk indicators. Empirically,
we study the dynamics of tail dependencies between investment strategies in the
HFR database. We show that during crisis periods, some pairs of strategies display
an increase in their extremal connectedness. Our results highlight that a proactive
regulatory framework should account for the dynamic nature of the tail dependence
and its link with financial stress
