Details about Yannick Malevergne

Access statistics for papers by Yannick Malevergne.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pma1286

Working Papers

2024

1. A linear-rational multi-curve term structure model with stochastic spread
   Working Papers, HAL
   Also in Working Papers, HAL (2023)

2023

2. A model of financial bubbles and drawdowns with non-local behavioral self-referencing
   Working Papers, HAL
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2021)
3. How Analystss Ability Affects Forecast Timing Under Bias and Uncertainty?
   Working Papers, HAL

2022

4. Foreign Exchange Multivariate Multifractal Analysis
   Post-Print, HAL

2021

5. A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
   Post-Print, HAL View citations (3)
   See also Journal Article A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy, Journal of Economic Dynamics and Control, Elsevier (2021) View citations (3) (2021)

2020

6. New Results for additive and multiplicative risk apportionment
   Post-Print, HAL View citations (4)
   Also in Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon (2019)
   Working Papers, HAL (2019)
   See also Journal Article New Results for additive and multiplicative risk apportionment, Journal of Mathematical Economics, Elsevier (2020) View citations (4) (2020)

2019

7. Shuffling for understanding multifractality, application to asset price time series
   Post-Print, HAL

2016

8. Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation
   Post-Print, HAL View citations (5)
9. Macroeconomic Dynamics of Assets, Leverage and Trust
   Post-Print, HAL View citations (2)
   Also in Papers, arXiv.org (2015)
10. Wealth and Income Inequalities ← → r > g
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2014

11. Investors' expectations, management fees and the underperformance of mutual funds
    Post-Print, HAL View citations (1)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2012)

2013

12. Zipf's law and maximum sustainable growth
    Post-Print, HAL View citations (8)
    Also in Papers, arXiv.org (2010) View citations (3)
    See also Journal Article Zipf's law and maximum sustainable growth, Journal of Economic Dynamics and Control, Elsevier (2013) View citations (15) (2013)

2011

13. Robust reverse engineering of crosssectional returns and improved portfolio allocation performance using the CAPM
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (5)

2010

14. Heterogeneous expectations and long range correlation of the volatility of asset returns
    Working Papers, HAL
    Also in Papers, arXiv.org (2008) View citations (1)
    See also Journal Article Heterogeneous expectations and long-range correlation of the volatility of asset returns, Quantitative Finance, Taylor & Francis Journals (2011) (2011)
15. Preserving preference rankings under non-financial background risk
    Post-Print, HAL View citations (4)
    Also in Post-Print, HAL (2010) View citations (4)
    See also Journal Article Preserving preference rankings under non-financial background risk, Journal of the Operational Research Society, Palgrave Macmillan (2010) View citations (4) (2010)
16. Theory of Zipf's Law and Beyond
    Post-Print, HAL View citations (1)
    See also Book Theory of Zipf's Law and Beyond, Lecture Notes in Economics and Mathematical Systems, Springer (2010) View citations (20) (2010)

2009

17. Book review: "Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications" by D. Ardia (Springer)
    Post-Print, HAL
18. 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 View citations (16)
19. Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
20. On Cross-risk Vulnerability
    Post-Print, HAL View citations (7)
    Also in Post-Print, HAL (2009) View citations (7)
    See also Journal Article On cross-risk vulnerability, Insurance: Mathematics and Economics, Elsevier (2009) View citations (7) (2009)
21. Professor Zipf goes to Wall Street
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)

2008

22. Theory of Zipf's Law and of General Power Law Distributions with Gibrat's law of Proportional Growth
    Papers, arXiv.org View citations (5)

2007

23. A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes
    Papers, arXiv.org View citations (1)
24. Self-consistent asset pricing models
    Post-Print, HAL View citations (1)
    Also in Papers, arXiv.org (2006) View citations (1)
    See also Journal Article Self-consistent asset pricing models, Physica A: Statistical Mechanics and its Applications, Elsevier (2007) View citations (1) (2007)

2006

25. Alternative Risk Measures for Alternative Investments
    Post-Print, HAL View citations (6)
    See also Journal Article Alternative risk measures for alternative investments, Journal of Risk, Journal of Risk
26. Extreme Financial Risks: From Dependence to Risk Management
    Post-Print, HAL View citations (79)
27. On the Power of Generalized Extreme Value (GEV) and Generalized Pareto Distribution (GPD) Estimators for Empirical Distributions of Stock Returns
    Post-Print, HAL View citations (12)
    See also Journal Article On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns, Applied Financial Economics, Taylor & Francis Journals (2006) View citations (14) (2006)
28. The modified weibull distribution for asset returns: reply
    Post-Print, HAL
    See also Journal Article The modified weibull distribution for asset returns: reply, Quantitative Finance, Taylor & Francis Journals (2006) (2006)

2005

29. Empirical Distributions of Stock Returns: Between the Stretched Exponential and the Power Law?
    Post-Print, HAL View citations (42)
    See also Journal Article Empirical distributions of stock returns: between the stretched exponential and the power law?, Quantitative Finance, Taylor & Francis Journals (2005) View citations (50) (2005)
30. Preparing for the Worst: Incorporating Downside Risk in Stock Market Investments
    Post-Print, HAL

2004

31. Book review: "Why Stock Market Crash?" by D. Sornette (Princeton University Press)
    Post-Print, HAL
32. Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices
    Post-Print, HAL View citations (12)
    See also Journal Article 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, Elsevier (2004) View citations (12) (2004)
33. How to account for extreme co-movements between individual stocks and the market
    Post-Print, HAL View citations (10)
    See also Journal Article How to account for extreme co-movements between individual stocks and the market, Journal of Risk, Journal of Risk
34. Value-at-Risk-efficient portfolios for class of super- and sub-exponentially decaying assets return distributions
    Post-Print, HAL View citations (6)

2003

35. Comprendre et Gérer les Risques Grands et Extrêmes
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
36. Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?
    Papers, arXiv.org View citations (9)
37. Testing the Gaussian copula hypothesis for financial assets dependence
    Post-Print, HAL View citations (66)
    Also in Papers, arXiv.org (2001) View citations (30)
    Finance, University Library of Munich, Germany (2001) View citations (7)
    Post-Print, HAL (2003) View citations (75)
    See also Journal Article Testing the Gaussian copula hypothesis for financial assets dependences, Quantitative Finance, Taylor & Francis Journals (2003) View citations (66) (2003)
38. VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions
    Papers, arXiv.org View citations (10)

2002

39. Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices
    Papers, arXiv.org View citations (2)
40. Hedging Extreme Co-Movements
    Papers, arXiv.org
41. Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos
    Post-Print, HAL View citations (14)
    Also in Post-Print, HAL (2002)
    Papers, arXiv.org (2001) View citations (6)
    See also Journal Article Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos, Quantitative Finance, Taylor & Francis Journals (2002) View citations (19) (2002)
42. Investigating Extreme Dependences: Concepts and Tools
    Papers, arXiv.org View citations (5)
43. Minimizing extremes
    Post-Print, HAL View citations (2)
44. Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets
    Papers, arXiv.org View citations (5)
45. Tail Dependence of Factor Models
    Papers, arXiv.org View citations (4)
46. Volatility fingerprints of large shocks: Endogeneous versus exogeneous
    Papers, arXiv.org View citations (6)

2001

47. From Rational Bubbles to Crashes
    Papers, arXiv.org View citations (22)
    Also in Post-Print, HAL (2001) View citations (20)
    See also Journal Article From rational bubbles to crashes, Physica A: Statistical Mechanics and its Applications, Elsevier (2001) View citations (21) (2001)
48. General framework for a portfolio theory with non-Gaussian risks and non-linear correlations
    Papers, arXiv.org View citations (3)
49. Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation
    Papers, arXiv.org
50. Multi-dimensional rational bubbles and fat tails
    Post-Print, HAL View citations (13)
    See also Journal Article Multi-dimensional rational bubbles and fat tails, Quantitative Finance, Taylor & Francis Journals (2001) View citations (13) (2001)

Journal Articles

2021

1. A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
   Journal of Economic Dynamics and Control, 2021, 128, (C) View citations (3)
   See also Working Paper A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy, Post-Print (2021) View citations (3) (2021)

2020

2. New Results for additive and multiplicative risk apportionment
   Journal of Mathematical Economics, 2020, 90, (C), 140-151 View citations (4)
   See also Working Paper New Results for additive and multiplicative risk apportionment, Post-Print (2020) View citations (4) (2020)

2013

3. Zipf's law and maximum sustainable growth
   Journal of Economic Dynamics and Control, 2013, 37, (6), 1195-1212 View citations (15)
   See also Working Paper Zipf's law and maximum sustainable growth, Post-Print (2013) View citations (8) (2013)

2011

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

2010

5. Preserving preference rankings under non-financial background risk
   Journal of the Operational Research Society, 2010, 61, (8), 1302-1308 View citations (4)
   See also Working Paper Preserving preference rankings under non-financial background risk, Post-Print (2010) View citations (4) (2010)

2009

6. On cross-risk vulnerability
   Insurance: Mathematics and Economics, 2009, 45, (2), 224-229 View citations (7)
   See also Working Paper On Cross-risk Vulnerability, Post-Print (2009) View citations (7) (2009)

2007

7. Self-consistent asset pricing models
   Physica A: Statistical Mechanics and its Applications, 2007, 382, (1), 149-171 View citations (1)
   See also Working Paper Self-consistent asset pricing models, Post-Print (2007) View citations (1) (2007)

2006

8. 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 View citations (14)
   See also Working Paper On the Power of Generalized Extreme Value (GEV) and Generalized Pareto Distribution (GPD) Estimators for Empirical Distributions of Stock Returns, Post-Print (2006) View citations (12) (2006)
9. The modified weibull distribution for asset returns: reply
   Quantitative Finance, 2006, 6, (6), 451-451
   See also Working Paper The modified weibull distribution for asset returns: reply, Post-Print (2006) (2006)

2005

10. Empirical distributions of stock returns: between the stretched exponential and the power law?
    Quantitative Finance, 2005, 5, (4), 379-401 View citations (50)
    See also Working Paper Empirical Distributions of Stock Returns: Between the Stretched Exponential and the Power Law?, Post-Print (2005) View citations (42) (2005)
11. 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

2004

12. 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 View citations (12)
    See also Working Paper Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices, Post-Print (2004) View citations (12) (2004)

2003

13. Testing the Gaussian copula hypothesis for financial assets dependences
    Quantitative Finance, 2003, 3, (4), 231-250 View citations (66)
    See also Working Paper Testing the Gaussian copula hypothesis for financial assets dependence, Post-Print (2003) View citations (66) (2003)

2002

14. Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos
    Quantitative Finance, 2002, 2, (4), 264-281 View citations (19)
    See also Working Paper Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos, Post-Print (2002) View citations (14) (2002)

2001

15. From rational bubbles to crashes
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 40-59 View citations (21)
    See also Working Paper From Rational Bubbles to Crashes, Papers (2001) View citations (22) (2001)
16. Multi-dimensional rational bubbles and fat tails
    Quantitative Finance, 2001, 1, (5), 533-541 View citations (13)
    See also Working Paper Multi-dimensional rational bubbles and fat tails, Post-Print (2001) View citations (13) (2001)

Undated

17. Alternative risk measures for alternative investments
    Journal of Risk
    See also Working Paper Alternative Risk Measures for Alternative Investments, Post-Print (2006) View citations (6) (2006)
18. How to account for extreme co-movements between individual stocks and the market
    Journal of Risk
    See also Working Paper How to account for extreme co-movements between individual stocks and the market, Post-Print (2004) View citations (10) (2004)

Books

2010

1. Theory of Zipf's Law and Beyond
   Lecture Notes in Economics and Mathematical Systems, Springer View citations (20)
   See also Working Paper Theory of Zipf's Law and Beyond, Post-Print, HAL (2010) View citations (1) (2010)

Chapters

2010

1. Continuous Gibrat’s Law and Gabaix’s Derivation of Zipf’s Law
   Springer
2. Deviations from Gibrat’s Law and Implications for Generalized Zipf’s Laws
   Springer
3. Exit or “Death” of Firms
   Springer
4. Firm’s Sudden Deaths
   Springer
5. Flow of Firm Creation
   Springer
6. Future Directions and Conclusions
   Springer
7. Introduction
   Springer
8. Non-stationary Mean Birth Rate
   Springer
9. Properties of the Realization Dependent Distribution of Firm Sizes
   Springer
10. Useful Properties of Realizations of the Geometric Brownian Motion
    Springer