User profiles for Jean-Christophe Meyfredi

Jean-Christophe MEYFREDI

EDHEC Business School
Verified email at edhec.edu
Cited by 208

Passive hedge fund replication–Beyond the linear case

N Amenc, L Martellini, JC Meyfredi… - European Financial …, 2010 - Wiley Online Library
In this paper we extend Hasanhodzic and Lo (2007) by assessing the out‐of‐sample
performance of various non‐linear and conditional hedge fund replication models. We find that …

Passive hedge fund replication: A critical assessment of existing techniques

…, W Gehin, L Martellini, JC Meyfredi - The Journal of …, 2008 - search.proquest.com
In this article the authors provide a critical analysis of various methodologies involved in"
passive replication" of hedge fund returns, a subject that has received renewed interest …

A copula approach to Value-at-Risk estimation for fixed-income portfolios

L Martellini, JC Meyfredi - The Journal of Fixed Income, 2007 - search.proquest.com
This article introduces a multi-variate copula approach to Value-at-Risk estimation for fixed-income
portfolios. Using a parsimonious model to extract time-varying parameters used as …

[PDF][PDF] Performance of passive hedge fund replication strategies

N Amenc, L Martellini, JC Meyfredi… - EDHEC Risk and Asset …, 2009 - Citeseer
In this paper we extend Hasanhodzic and Lo (2007) by assessing the out-of-sample
performance of various non-linear and conditional hedge fund replication models. We find that …

[PDF][PDF] Improving the Market Model: The 4-State Model Alternative

O Jokung, JC Meyfredi - EDHEC Risk and Asset Management Research …, 2003 - core.ac.uk
The present paper conducts an empirical study by examining the Market Model and the three
versions of the 4-State Model (translated, rotated and unrotated) in a mean-beta framework…

[CITATION][C] History of the risk concept and risk modeling

JC Meyfredi - EDHEC Business School.[Em linha] Acessível em http …, 2004

[CITATION][C] The myths and limits of passive hedge fund replication

N Amenc, W Géhin, L Martellini, JC Meyfredi - EDHEC Risk and Asset Management …, 2007

[CITATION][C] Is there a gain to explicitly modelling extremes? A risk management analysis

JC Meyfredi - 2005 - working paper, Edhec-Risk and …

[CITATION][C] Four-State Model vs. Market Model: Part I

O Jokung, JC Meyfredi

[CITATION][C] Measuring and Pricing Risk in a Quadrant-Dependent Model

R Garcia, O Jokung, JC Meyfredi - 2009