V. Agarwal and N. Naik, Risks and Portfolio Decisions Involving Hedge Funds, Review of Financial Studies, vol.17, issue.1, pp.63-98, 2004.
DOI : 10.1093/rfs/hhg044
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.199.9585

O. Akay, Z. Senyuz, Y. , and E. , Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach, Journal of Empirical Finance, vol.22, issue.22, pp.16-29, 2012.
DOI : 10.1016/j.jempfin.2013.02.005

J. Bai and P. Perron, Computation and analysis of multiple structural change models, Journal of Applied Econometrics, vol.6, issue.1, pp.1-22, 2003.
DOI : 10.1002/jae.659

M. Billio, . Getmansky, and L. Pelizzon, Dynamic risk exposures in hedge funds, Computational Statistics & Data Analysis, vol.56, issue.11, pp.3517-3532, 2012.
DOI : 10.1016/j.csda.2010.08.015

N. Boyson, C. Stahel, and R. Stulz, Hedge Fund Contagion and Liquidity Shocks, The Journal of Finance, vol.1, issue.5, pp.1789-1816, 2010.
DOI : 10.1111/j.1540-6261.2010.01594.x

L. Cappiello, R. Engle, and K. Sheppard, Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns, Journal of Financial Econometrics, vol.4, issue.4, pp.537-572, 2006.
DOI : 10.1093/jjfinec/nbl005

N. Chan, M. Getmansky, S. Haas, and A. Lo, Systemic risk and hedge funds, 2006.

R. Engle, Dynamic Conditional Correlation, Journal of Business & Economic Statistics, vol.20, issue.3, pp.339-350, 2002.
DOI : 10.1198/073500102288618487

R. Engle and K. Sheppard, Theoretical and empirical properties of dynamic conditional correlation multivariate garch, Working Papers NBER National Bureau of Economic Research, vol.8554, 2001.
DOI : 10.3386/w8554

W. Fung and B. Hsieh, The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers, Review of Financial Studies, vol.14, issue.2, pp.313-341, 2001.
DOI : 10.1093/rfs/14.2.313

L. Glosten, R. Jagannathan, R. , and D. , On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks, The Journal of Finance, vol.25, issue.5, pp.1779-1801, 1993.
DOI : 10.1111/j.1540-6261.1993.tb05128.x

K. Guesmi, S. Jebri, A. Jabri, and F. Teulon, Are hedge funds uncorrelated with financial markets? an empirical assessment. Working Paper IPAG, pp.2014-103, 2014.

S. Hyde, D. Bredin, and N. Nguyen, Chapter 3 Correlation dynamics between Asia-Pacific, EU and US stock returns, International Finance Review, vol.8, pp.39-61, 2007.
DOI : 10.1016/S1569-3767(07)00003-9

F. Jawadi and S. Khanniche, Modeling hedge fund exposure to risk factors, Economic Modelling, vol.29, issue.4, pp.1003-1018, 2012.
DOI : 10.1016/j.econmod.2012.02.003

J. Kambhu, K. Stiroh, and T. Schuermann, Hedge Funds, Financial Intermediation, and Systemic Risk, SSRN Electronic Journal, vol.291, 2007.
DOI : 10.2139/ssrn.995907
URL : http://hdl.handle.net/10419/60660

D. Kenourgios, A. Samitas, and N. Paltalidis, Financial crises and stock market contagion in a multivariate time-varying asymmetric framework, Journal of International Financial Markets, Institutions and Money, vol.21, issue.1, pp.92-106, 2011.
DOI : 10.1016/j.intfin.2010.08.005

L. Meligkotsidou and I. Vrontos, Detecting structural breaks and identifying risk factors in hedge fund returns: A Bayesian approach, Journal of Banking & Finance, vol.32, issue.11, pp.2471-2481, 2008.
DOI : 10.1016/j.jbankfin.2008.05.007

D. Nelson, Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica, vol.59, issue.2, pp.347-370, 1991.
DOI : 10.2307/2938260

K. Rogoff, S. Wei, and M. Kose, Effects of financial globalization on developing countries: some empirical evidence. Working paper, p.17, 2003.

S. Vrontos, I. Vrontos, and D. Giamouridis, Hedge fund pricing and model uncertainty, Journal of Banking & Finance, vol.32, issue.5, pp.741-753, 2008.
DOI : 10.1016/j.jbankfin.2007.05.011

E. Zivot and D. Andrews, Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis, Journal of Business & Economic Statistics, vol.10, issue.3, pp.251-270, 1992.
DOI : 10.2307/1391541