Hedge funds have generated significant absolute returns (alpha) in the decade between
1995 and 2004. However, the level of alpha has declined substantially over this period. We …

A regime-switching beta model is proposed to measure dynamic risk exposures of hedge
funds to various risk factors during different market volatility conditions. Hedge fund …

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 …

We investigate whether:(i) co-skewness and co-kurtosis are significant factors in modeling
hedge fund (HF) returns,(ii) HF return volatility displays clusters, asymmetry and shock …

This article aims to investigate the phase-locking and switching volatility in the idiosyncratic
risk factor of hedge funds using switching regime beta models. This approach allows the …

This study examines whether positive and negative innovations in hedge fund (HF) returns
have an asymmetric effect on their conditional volatilities. Thirteen different HF strategies are …