EconPapers    
Economics at your fingertips  
 

Details about Yannick Malevergne

Workplace:Conception de l'Action en Situation (CoActiS) (Design of Situational Action), (more information at EDIRC)
EMLYON Business School, (more information at EDIRC)
Department of Management, Technology and Economics (D-MTEC), Eidgenössische Technische Hochschule Zürich (ETHZ) (Federal Institute of Technology Zurich), (more information at EDIRC)

Access statistics for papers by Yannick Malevergne.

Last updated 2014-07-05. Update your information in the RePEc Author Service.

Short-id: pma1286


Jump to Journal Articles

Working Papers

2010

  1. Heterogeneous expectations and long range correlation of the volatility of asset returns
    Working Papers, HAL Downloads
    Also in Papers, arXiv.org (2008) Downloads View citations (1)

    See also Journal Article in Quantitative Finance (2011)
  2. Preserving preference rankings under non-financial background risk
    Post-Print, HAL Downloads View citations (1)
  3. Zipf's law and maximum sustainable growth
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2013)

2009

  1. On Cross-risk Vulnerability
    Post-Print, HAL Downloads View citations (1)
    See also Journal Article in Insurance: Mathematics and Economics (2009)
  2. Professor Zipf goes to Wall Street
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2008

  1. Theory of Zipf's Law and of General Power Law Distributions with Gibrat's law of Proportional Growth
    Papers, arXiv.org Downloads

2007

  1. A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes
    Papers, arXiv.org Downloads View citations (1)

2006

  1. Self-Consistent Asset Pricing Models
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)

2003

  1. Comprendre et Gérer les Risques Grands et Extrêmes
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads
  2. Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?
    Papers, arXiv.org Downloads View citations (7)
  3. Testing the Gaussian copula hypothesis for financial assets dependences
    Post-Print, HAL Downloads View citations (25)
    Also in Papers, arXiv.org (2001) Downloads View citations (27)
    Finance, EconWPA (2001) Downloads View citations (3)

    See also Journal Article in Quantitative Finance (2003)
  4. VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions
    Papers, arXiv.org Downloads View citations (7)

2002

  1. Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices
    Papers, arXiv.org Downloads View citations (2)
  2. Hedging Extreme Co-Movements
    Papers, arXiv.org Downloads
  3. Investigating Extreme Dependences: Concepts and Tools
    Papers, arXiv.org Downloads View citations (4)
  4. Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets
    Papers, arXiv.org Downloads View citations (4)
  5. Tail Dependence of Factor Models
    Papers, arXiv.org Downloads View citations (2)
  6. Volatility fingerprints of large shocks: Endogeneous versus exogeneous
    Papers, arXiv.org Downloads View citations (5)

2001

  1. From Rational Bubbles to Crashes
    Papers, arXiv.org Downloads View citations (14)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2001)
  2. General framework for a portfolio theory with non-Gaussian risks and non-linear correlations
    Papers, arXiv.org Downloads View citations (2)
  3. Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos
    Papers, arXiv.org Downloads View citations (5)
    See also Journal Article in Quantitative Finance (2002)
  4. Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation
    Papers, arXiv.org Downloads

Undated

  1. Gibrat’s law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (6)
  2. Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
  3. Robust reverse engineering of crosssectional returns and improved portfolio allocation performance using the CAPM
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)

Journal Articles

2013

  1. Zipf's law and maximum sustainable growth
    Journal of Economic Dynamics and Control, 2013, 37, (6), 1195-1212 Downloads View citations (1)
    See also Working Paper (2010)

2011

  1. Heterogeneous expectations and long-range correlation of the volatility of asset returns
    Quantitative Finance, 2011, 11, (9), 1329-1356 Downloads
    See also Working Paper (2010)

2009

  1. On cross-risk vulnerability
    Insurance: Mathematics and Economics, 2009, 45, (2), 224-229 Downloads View citations (1)
    See also Working Paper (2009)

2007

  1. Self-consistent asset pricing models
    Physica A: Statistical Mechanics and its Applications, 2007, 382, (1), 149-171 Downloads
    See also Working Paper (2006)

2006

  1. On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns
    Applied Financial Economics, 2006, 16, (3), 271-289 Downloads View citations (5)
  2. The modified weibull distribution for asset returns: reply
    Quantitative Finance, 2006, 6, (6), 451-451 Downloads

2005

  1. Empirical distributions of stock returns: between the stretched exponential and the power law?
    Quantitative Finance, 2005, 5, (4), 379-401 Downloads View citations (13)
  2. Preparing for the Worst: Incorporating Downside Risk in Stock Market Investments. Hrishikesh D. Vinod and Derrick P. Reagle
    Journal of the American Statistical Association, 2005, 100, 1459-1460 Downloads

2004

  1. Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices
    Physica A: Statistical Mechanics and its Applications, 2004, 331, (3), 660-668 Downloads View citations (5)

2003

  1. Testing the Gaussian copula hypothesis for financial assets dependences
    Quantitative Finance, 2003, 3, (4), 231-250 Downloads View citations (20)
    See also Working Paper (2003)

2002

  1. Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos
    Quantitative Finance, 2002, 2, (4), 264-281 Downloads View citations (5)
    See also Working Paper (2001)

2001

  1. From rational bubbles to crashes
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 40-59 Downloads View citations (11)
    See also Working Paper (2001)
  2. Multi-dimensional rational bubbles and fat tails
    Quantitative Finance, 2001, 1, (5), 533-541 Downloads View citations (6)
 
Page updated 2014-09-14