Yannick Malevergne : Citation Profile


Are you Yannick Malevergne?

Université Paris 1 (Panthéon-Sorbonne) (90% share)
Eidgenössische Technische Hochschule Zürich (ETHZ) (10% share)

9

H index

9

i10 index

321

Citations

RESEARCH PRODUCTION:

14

Articles

46

Papers

1

Books

RESEARCH ACTIVITY:

   18 years (2001 - 2019). See details.
   Cites by year: 17
   Journals where Yannick Malevergne has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 9 (2.73 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma1286
   Updated: 2020-02-22    RAS profile: 2019-12-20    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Yannick Malevergne.

Is cited by:

Panchenko, Valentyn (12)

Zhou, Wei-Xing (10)

van Dijk, Dick (8)

Aloui, Riadh (6)

Szafarz, Ariane (6)

Bartram, Söhnke (6)

Verbeek, Marno (5)

Lopez, Claude (5)

Delatte, Anne-Laure (5)

Kole, Erik (5)

Fry, John (5)

Cites to:

EECKHOUDT, LOUIS (30)

Schlesinger, Harris (16)

Fama, Eugene (12)

Dacorogna, Michel (11)

French, Kenneth (10)

REY, Beatrice (8)

Gabaix, Xavier (8)

Granger, Clive (7)

Gollier, Christian (7)

Olsen, Richard (6)

Harvey, Campbell (6)

Main data


Where Yannick Malevergne has published?


Journals with more than one article published# docs
Quantitative Finance6
Physica A: Statistical Mechanics and its Applications3

Working Papers Series with more than one paper published# docs
Papers / arXiv.org19
Post-Print / HAL16
Swiss Finance Institute Research Paper Series / Swiss Finance Institute5
Working Papers / HAL2

Recent works citing Yannick Malevergne (2019 and 2018)


YearTitle of citing document
2018Random selection of factors preserves the correlation structure in a linear factor model to a high degree. (2018). Tanskanen, Antti ; Vatanen, Kari ; Lukkarinen, Jani. In: Papers. RePEc:arx:papers:1604.05896.

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2017Market Crashes as Critical Phenomena? Explanation, Idealization, and Universality in Econophysics. (2017). Weatherall, James Owen ; Palacios, Patricia ; Jhun, Jennifer . In: Papers. RePEc:arx:papers:1704.02392.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Gerlach, Richard ; Chen, Qian ; Wang, Chao. In: Papers. RePEc:arx:papers:1707.03715.

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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). di Matteo, Tiziana ; Buonocore, Riccardo Junior ; Verma, Anshul. In: Papers. RePEc:arx:papers:1712.02138.

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2018Classification of cryptocurrency coins and tokens by the dynamics of their market capitalisations. (2018). Sornette, Didier ; Wheatley, Spencer ; Wu, KE. In: Papers. RePEc:arx:papers:1803.03088.

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2017THE DEVELOPMENT AND THE CURRENT STATUS OF THE CAPITAL MARKET HYPOTHESES: A FEW BENCHMARKS. (2017). Vasile, Bratian ; Amelia, Bucur . In: Revista Economica. RePEc:blg:reveco:v:69:y:2017:i:1:p:22-28.

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2017Testing the Gaussian and Students t copulas in a risk management framework. (2017). Lourme, Alexandre ; Maurer, Frantz. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:203-214.

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2017Health and portfolio choices: A diffidence approach. (2017). EECKHOUDT, LOUIS ; Crainich, David ; le Courtois, Olivier. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:1:p:273-279.

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2019Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2019). Gatfaoui, Hayette. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:132-152.

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2019Diversification benefits of Shariah compliant equity ETFs in emerging markets. (2019). Andrikopoulos, Panagiotis ; Gad, Samar. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:133-144.

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2017Discrete hierarchy of sizes and performances in the exchange-traded fund universe. (2017). Schoors, Koen ; Vandermarliere, B ; Cauwels, P ; Sornette, D ; Ryckebusch, J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:111-123.

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2017Where Gibrat meets Zipf: Scale and scope of French firms. (2017). Schiavo, Stefano ; Riccaboni, Massimo ; Bee, Marco. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:481:y:2017:i:c:p:265-275.

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2018Investigation of non-Gaussian effects in the Brazilian option market. (2018). Sosa-Correa, William O ; Vasconcelos, Giovani L ; Antonio, . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:525-539.

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2018Spectral analysis of time-dependent market-adjusted return correlation matrix. (2018). Bommarito, Michael J ; Duran, Ahmet. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:273-282.

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2018A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility. (2018). Ko, Bonggyun ; Song, Jae Wook. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:398-412.

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2019Zipf’s law, the coherence of the urban system and city size distribution: Evidence from Pakistan. (2019). Arshad, Sidra ; Ashraf, Badar Nadeem ; Hu, Shougeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:87-103.

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2019The stylized facts of prediction markets: Analysis of price changes. (2019). Restocchi, Valerio ; Gerding, Enrico ; McGroarty, Frank. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:159-170.

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2019The noisy voter model under the influence of contrarians. (2019). Khalil, Nagi ; Toral, Raul. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:515:y:2019:i:c:p:81-92.

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2019A model-free, non-parametric method for density determination, with application to asset returns. (2019). Gzyl, Henryk ; Molina, German ; Horst, Enrique Ter. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:210-221.

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2019Statistical properties of volume and calendar effects in prediction markets. (2019). McGroarty, Frank ; Restocchi, Valerio ; Gerding, Enrico. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:1150-1160.

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2019A tale of two tails: Do Power Law and Lognormal models fit firm-size distributions in the mid-Victorian era?. (2019). Montebruno, Piero ; Smith, Harry ; van Lieshout, Carry ; Bennett, Robert J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:858-875.

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2019A Generalized Error Distribution Copula-based method for portfolios risk assessment. (2019). Cerqueti, Roy ; Giacalone, Massimiliano ; Panarello, Demetrio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:687-695.

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2019Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas. (2019). Duc, Toan Luu. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:52-:d:218986.

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2018Generating VaR Scenarios under Solvency II with Product Beta Distributions. (2018). Pfeifer, Dietmar ; Ragulina, Olena. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:122-:d:176564.

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2018How vulnerable is risk aversion to wealth, health and other risks? An empirical analysis for Europe. (2018). Rey, Beatrice ; Montoliu-Montes, Guillem ; Courbage, Christophe. In: Working Papers. RePEc:gat:wpaper:1827.

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2018Growth patterns of US professional services firms.. (2018). Ribes, Edouard. In: Working Papers. RePEc:hal:wpaper:hal-01762381.

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2018How vulnerable is risk aversion to wealth, health and other risks? An empirical analysis for Europe. (2018). Rey, Beatrice ; Montoliu-Montes, Guillem ; Courbage, Christophe. In: Working Papers. RePEc:hal:wpaper:halshs-01935846.

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2019Refinement of the hedging ratio using copula-GARCH models. (2019). Raïs, Hassen ; Rais, Hassen ; Louhichi, Wael. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:5:d:10.1057_s41260-019-00133-5.

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2017Scale-free distribution as an economic invariant: a theoretical approach. (2017). Chakrabarti, Anindya S. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:12:y:2017:i:1:d:10.1007_s11403-015-0148-6.

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2017On Multivariate Log Birnbaum-Saunders Distribution. (2017). Kundu, Debasis. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:79:y:2017:i:2:d:10.1007_s13571-016-0119-5.

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2017Academic performance and institutional resources: a cross-country analysis of research universities. (2017). Docampo, Domingo ; Cram, Lawrence . In: Scientometrics. RePEc:spr:scient:v:110:y:2017:i:2:d:10.1007_s11192-016-2189-6.

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Works by Yannick Malevergne:


YearTitleTypeCited
2008Heterogeneous expectations and long range correlation of the volatility of asset returns In: Papers.
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paper1
2010Heterogeneous expectations and long range correlation of the volatility of asset returns.(2010) In: Working Papers.
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paper
2011Heterogeneous expectations and long-range correlation of the volatility of asset returns.(2011) In: Quantitative Finance.
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article
2008Theory of Zipfs Law and of General Power Law Distributions with Gibrats law of Proportional Growth In: Papers.
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paper3
2010Zipfs law and maximum sustainable growth In: Papers.
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paper11
2013Zipfs law and maximum sustainable growth.(2013) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 11
article
2015Macroeconomic Dynamics of Assets, Leverage and Trust In: Papers.
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paper0
2001Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation In: Papers.
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2001From Rational Bubbles to Crashes In: Papers.
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paper22
2001From rational bubbles to crashes.(2001) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 22
article
2001General framework for a portfolio theory with non-Gaussian risks and non-linear correlations In: Papers.
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paper2
2001Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos In: Papers.
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paper20
2002Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos.(2002) In: Quantitative Finance.
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This paper has another version. Agregated cites: 20
article
2001Testing the Gaussian Copula Hypothesis for Financial Assets Dependences In: Papers.
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paper71
2003Testing the Gaussian copula hypothesis for financial assets dependences.(2003) In: Quantitative Finance.
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article
2001Testing the Gaussian Copula Hypothesis for Financial Assets Dependences.(2001) In: Finance.
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paper
2002Tail Dependence of Factor Models In: Papers.
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2002Investigating Extreme Dependences: Concepts and Tools In: Papers.
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2002Volatility fingerprints of large shocks: Endogeneous versus exogeneous In: Papers.
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paper5
2002Hedging Extreme Co-Movements In: Papers.
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paper0
2002Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets In: Papers.
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paper3
2002Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices In: Papers.
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paper2
2003VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions In: Papers.
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2003Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law? In: Papers.
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2006Self-Consistent Asset Pricing Models In: Papers.
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2007Self-consistent asset pricing models.(2007) In: Physica A: Statistical Mechanics and its Applications.
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2007A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes In: Papers.
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2005Preparing for the Worst: Incorporating Downside Risk in Stock Market Investments. Hrishikesh D. Vinod and Derrick P. Reagle In: Journal of the American Statistical Association.
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2009Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry In: Swiss Finance Institute Research Paper Series.
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2009Gibrat’s law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal In: Swiss Finance Institute Research Paper Series.
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2011Robust reverse engineering of crosssectional returns and improved portfolio allocation performance using the CAPM In: Swiss Finance Institute Research Paper Series.
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2012Investors’ Expectations, Management Fees and the Underperformance of Mutual Funds In: Swiss Finance Institute Research Paper Series.
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2016Wealth and Income Inequalities ← → r > g In: Swiss Finance Institute Research Paper Series.
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2009On cross-risk vulnerability In: Insurance: Mathematics and Economics.
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article4
2004Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices In: Physica A: Statistical Mechanics and its Applications.
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2003Comprendre et Gérer les Risques Grands et Extrêmes In: THEMA Working Papers.
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2019New Results for Additive and Multiplicative Risk Apportionment In: Working Papers.
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2019New Results for Additive and Multiplicative Risk Apportionment.(2019) In: Working Papers.
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2003Testing the Gaussian copula hypothesis for financial assets dependences In: Post-Print.
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2010Theory of Zipfs Law and Beyond In: Post-Print.
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2006Extreme Financial Risks : From Dependence to Risk Management In: Post-Print.
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2010Theory of Zipfs Law and Beyond In: Post-Print.
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2005Preparing for the Worst : Incorporating Downside Risk in Stock Market Investments In: Post-Print.
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2006The modified weibull distribution for asset returns: reply In: Post-Print.
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2007Self-consistent asset pricing models In: Post-Print.
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2006Alternative Risk Measures for Alternative Investments In: Post-Print.
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2005Empirical Distributions of Stock Returns : Between the Stretched Exponential and the Power Law? In: Post-Print.
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2006On the Power of Generalized Extreme Value (GEV) and Generalized Pareto Distribution (GPD) Estimators for Empirical Distributions of Stock Returns In: Post-Print.
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2004Book review : Why Stock Market Crash? by D. Sornette (Princeton University Press) In: Post-Print.
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2004How to account for extreme co-movements between individual stocks and the market In: Post-Print.
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2002Minimizing extremes In: Post-Print.
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2014Investors expectations, management fees and the underperformance of mutual funds In: Post-Print.
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2009On Cross-risk Vulnerability In: Post-Print.
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2010Preserving preference rankings under non-financial background risk In: Post-Print.
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2009Professor Zipf goes to Wall Street In: NBER Working Papers.
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2010Preserving preference rankings under non-financial background risk In: Journal of the Operational Research Society.
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2010Theory of Zipfs Law and Beyond In: Lecture Notes in Economics and Mathematical Systems.
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2006On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns In: Applied Financial Economics.
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2001Multi-dimensional rational bubbles and fat tails In: Quantitative Finance.
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2005Empirical distributions of stock returns: between the stretched exponential and the power law? In: Quantitative Finance.
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2006The modified weibull distribution for asset returns: reply In: Quantitative Finance.
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