11
H index
12
i10 index
485
Citations
Yannick Malevergne : Citation Profile
Université Paris 1 (Panthéon-Sorbonne) | RESEARCH PRODUCTION: 16 Articles 66 Papers 1 Books 10 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (2001 - 2023). 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:
| Cites to:
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Main data
Where Yannick Malevergne has published?
| Journals with more than one article published | # docs |
|---|---|
| Quantitative Finance | 6 |
| Physica A: Statistical Mechanics and its Applications | 3 |
| Journal of Economic Dynamics and Control | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 32 |
| Papers / arXiv.org | 19 |
| Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 6 |
| Working Papers / HAL | 5 |
Recent works citing Yannick Malevergne (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models. (2021). Hu, Dongdong ; He, Kai ; Abudurexiti, Nuerxiati ; Sun, Ruoyu ; Sayit, Hasanjan ; Rachev, Svetlozar T. In: Papers. RePEc:arx:papers:2111.04311. Full description at Econpapers || Download paper |
| 2023 | Nonparametric estimator of the tail dependence coefficient: balancing bias and variance. (2021). , Maxime ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2111.11128. Full description at Econpapers || Download paper |
| 2023 | Inferential Theory for Granular Instrumental Variables in High Dimensions. (2022). Lee, Tae Hwy ; Banafti, Saman. In: Papers. RePEc:arx:papers:2201.06605. Full description at Econpapers || Download paper |
| 2024 | Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939. Full description at Econpapers || Download paper |
| 2023 | Precision measurement of the return distribution property of the Chinese stock market index. (2022). Zheng, Yanyan ; Liu, Peng. In: Papers. RePEc:arx:papers:2209.08521. Full description at Econpapers || Download paper |
| 2023 | Modeling and Simulation of Financial Returns under Non-Gaussian Distributions. (2023). Nicrosini, Oreste ; Montagna, Guido ; Livan, Giacomo ; de Domenico, Federica. In: Papers. RePEc:arx:papers:2302.02769. Full description at Econpapers || Download paper |
| 2023 | A parsimonious inverse Cox-Ingersoll-Ross process for financial price modeling. (2023). Sornette, Didier ; Lin, LI. In: Papers. RePEc:arx:papers:2302.11423. Full description at Econpapers || Download paper |
| 2023 | Multi-kernel property in high-frequency price dynamics under Hawkes model. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2302.11822. Full description at Econpapers || Download paper |
| 2023 | Bitcoin: A life in crises. (2023). Houli, Nicolas ; Tarassov, Jevgeni. In: Papers. RePEc:arx:papers:2304.09939. Full description at Econpapers || Download paper |
| 2024 | Revisiting Stylized Facts for Modern Stock Markets. (2023). van Oort, Colin M ; Ratliff-Crain, Ethan ; Tivnan, Brian F ; Bagrow, James. In: Papers. RePEc:arx:papers:2311.07738. Full description at Econpapers || Download paper |
| 2024 | On the potential of quantum walks for modeling financial return distributions. (2024). Schoors, Koen ; Ryckebusch, Jan ; de Backer, Stijn. In: Papers. RePEc:arx:papers:2403.19502. Full description at Econpapers || Download paper |
| 2023 | Financial Risk-Taking under Health Risk. (2023). Drupp, Moritz ; Meya, Jasper N ; Bos, Bjorn ; Quaas, Martin F. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10387. Full description at Econpapers || Download paper |
| 2023 | Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models. (2023). Medeiros, Marcelo ; Caner, Mehmet. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:393-417. Full description at Econpapers || Download paper |
| 2023 | Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies. (2023). Vo, Xuan Vinh ; Zeitun, Rami ; Katsiampa, Paraskevi ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000838. Full description at Econpapers || Download paper |
| 2023 | ESG, risk, and (tail) dependence. (2023). Paterlini, Sandra ; Czado, Claudia ; Sahin, Ozge ; Bax, Karoline. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000297. Full description at Econpapers || Download paper |
| 2023 | Modeling and simulation of financial returns under non-Gaussian distributions. (2023). Nicrosini, Oreste ; Montagna, Guido ; Livan, Giacomo ; de Domenico, Federica. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:622:y:2023:i:c:s0378437123004417. Full description at Econpapers || Download paper |
| 2023 | GEV Analysis of Extreme Rainfall: Comparing Different Time Intervals to Analyse Model Response in Terms of Return Levels in the Study Area of Central Italy. (2023). Pambianchi, Gilberto ; Barbieri, Maurizio ; Aringoli, Domenico ; Pelagagge, Niccolo ; Rossi, Alessandro ; Gentilucci, Matteo. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:15:p:11656-:d:1204787. Full description at Econpapers || Download paper |
| 2023 | Mental health changes and the willingness to take risks. (2023). Steinorth, Petra ; Richter, Andreas ; Li, LU. In: The Geneva Risk and Insurance Review. RePEc:pal:genrir:v:48:y:2023:i:1:d:10.1057_s10713-021-00070-7. Full description at Econpapers || Download paper |
| 2023 | Stability and Bifurcations in Banks and Small Enterprises—A Three-Dimensional Continuous-Time Dynamical System. (2023). Venturi, Beatrice ; Desogus, Marco. In: MPRA Paper. RePEc:pra:mprapa:116598. Full description at Econpapers || Download paper |
| 2023 | Inferential Theory for Granular Instrumental Variables in High Dimensions. (2023). Lee, Tae-Hwy ; Banafti, Saman. In: Working Papers. RePEc:ucr:wpaper:202308. Full description at Econpapers || Download paper |
Works by Yannick Malevergne:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | Heterogeneous expectations and long range correlation of the volatility of asset returns In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Heterogeneous expectations and long range correlation of the volatility of asset returns.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2011 | Heterogeneous expectations and long-range correlation of the volatility of asset returns.(2011) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2008 | Theory of Zipfs Law and of General Power Law Distributions with Gibrats law of Proportional Growth In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2010 | Zipfs law and maximum sustainable growth In: Papers. [Full Text][Citation analysis] | paper | 20 |
| 2013 | Zipfs law and maximum sustainable growth.(2013) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| 2013 | Zipfs law and maximum sustainable growth.(2013) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2015 | Macroeconomic Dynamics of Assets, Leverage and Trust In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Macroeconomic Dynamics of Assets, Leverage and Trust.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2001 | Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2001 | From Rational Bubbles to Crashes In: Papers. [Full Text][Citation analysis] | paper | 23 |
| 2001 | From rational bubbles to crashes.(2001) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
| 2001 | From rational bubbles to crashes.(2001) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2001 | General framework for a portfolio theory with non-Gaussian risks and non-linear correlations In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2001 | Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos In: Papers. [Full Text][Citation analysis] | paper | 26 |
| 2002 | Imitation and contrarian behavior : hyperbolic bubbles, crashes and chaos.(2002) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2002 | Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos.(2002) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2002 | Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos.(2002) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
| 2001 | Testing the Gaussian Copula Hypothesis for Financial Assets Dependences In: Papers. [Full Text][Citation analysis] | paper | 90 |
| 2003 | Testing the Gaussian copula hypothesis for financial assets dependences.(2003) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | paper | |
| 2003 | Testing the Gaussian copula hypothesis for financial assets dependence.(2003) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 90 | paper | |
| 2003 | Testing the Gaussian copula hypothesis for financial assets dependences.(2003) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | article | |
| 2001 | Testing the Gaussian Copula Hypothesis for Financial Assets Dependences.(2001) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | paper | |
| 2002 | Tail Dependence of Factor Models In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2002 | Investigating Extreme Dependences: Concepts and Tools In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2002 | Volatility fingerprints of large shocks: Endogeneous versus exogeneous In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2002 | Hedging Extreme Co-Movements In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2002 | Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2003 | VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2003 | Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law? In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2006 | Self-Consistent Asset Pricing Models In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2007 | Self-consistent asset pricing models.(2007) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2007 | Self-consistent asset pricing models.(2007) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2007 | A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2005 | Preparing for the Worst: Incorporating Downside Risk in Stock Market Investments. Hrishikesh D. Vinod and Derrick P. Reagle In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 0 |
| 2009 | Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Gibrat’s law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 17 |
| 2011 | Robust reverse engineering of crosssectional returns and improved portfolio allocation performance using the CAPM In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2012 | Investors’ Expectations, Management Fees and the Underperformance of Mutual Funds In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Investors expectations, management fees and the underperformance of mutual funds.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2016 | Wealth and Income Inequalities ↠→ r > g In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2021 | A model of financial bubbles and drawdowns with non-local behavioral self-referencing In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2023 | A model of financial bubbles and drawdowns with non-local behavioral self-referencing.(2023) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 3 |
| 2021 | A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2009 | On cross-risk vulnerability In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 7 |
| 2009 | On cross-risk vulnerability.(2009) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2009 | On Cross-risk Vulnerability.(2009) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2020 | New Results for additive and multiplicative risk apportionment In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 2 |
| 2019 | New Results for Additive and Multiplicative Risk Apportionment.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2020 | New Results for additive and multiplicative risk apportionment.(2020) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2019 | New Results for Additive and Multiplicative Risk Apportionment.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2004 | Collective 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. [Full Text][Citation analysis] | article | 12 |
| 2004 | Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices.(2004) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2003 | Comprendre et Gérer les Risques Grands et Extrêmes In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Extreme Financial Risks : From Dependence to Risk Management In: Post-Print. [Citation analysis] | paper | 79 |
| 2010 | Theory of Zipfs Law and Beyond In: Post-Print. [Citation analysis] | paper | 34 |
| 2010 | Theory of Zipfs Law and Beyond.(2010) In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] This paper has nother version. Agregated cites: 34 | book | |
| 2005 | Preparing for the Worst : Incorporating Downside Risk in Stock Market Investments In: Post-Print. [Citation analysis] | paper | 0 |
| 2006 | The modified weibull distribution for asset returns: reply In: Post-Print. [Citation analysis] | paper | 0 |
| 2006 | The modified weibull distribution for asset returns: reply.(2006) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2006 | Alternative Risk Measures for Alternative Investments In: Post-Print. [Citation analysis] | paper | 6 |
| 2005 | Empirical Distributions of Stock Returns : Between the Stretched Exponential and the Power Law? In: Post-Print. [Citation analysis] | paper | 49 |
| 2005 | Empirical distributions of stock returns: between the stretched exponential and the power law?.(2005) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | article | |
| 2006 | On the Power of Generalized Extreme Value (GEV) and Generalized Pareto Distribution (GPD) Estimators for Empirical Distributions of Stock Returns In: Post-Print. [Citation analysis] | paper | 14 |
| 2006 | On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns.(2006) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2010 | Preserving preference rankings under non-financial background risk In: Post-Print. [Citation analysis] | paper | 2 |
| 2010 | Preserving preference rankings under non-financial background risk.(2010) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2010 | Preserving preference rankings under non-financial background risk.(2010) In: Journal of the Operational Research Society. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2009 | Book review: Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications by D. Ardia (Springer) In: Post-Print. [Citation analysis] | paper | 0 |
| 2004 | Book review : Why Stock Market Crash? by D. Sornette (Princeton University Press) In: Post-Print. [Citation analysis] | paper | 0 |
| 2004 | How to account for extreme co-movements between individual stocks and the market In: Post-Print. [Citation analysis] | paper | 8 |
| 2004 | Value-at-Risk-efficient portfolios for class of super- and sub-exponentially decaying assets return distributions In: Post-Print. [Citation analysis] | paper | 6 |
| 2002 | Minimizing extremes In: Post-Print. [Citation analysis] | paper | 1 |
| 2001 | Multi-dimensional rational bubbles and fat tails In: Post-Print. [Citation analysis] | paper | 10 |
| 2001 | Multi-dimensional rational bubbles and fat tails.(2001) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2019 | Shuffling for understanding multifractality, application to asset price time series In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Foreign Exchange Multivariate Multifractal Analysis In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation In: Post-Print. [Citation analysis] | paper | 5 |
| 2023 | How Analystss Ability Affects Forecast Timing Under Bias and Uncertainty? In: Working Papers. [Citation analysis] | paper | 0 |
| 2023 | A Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread In: Working Papers. [Citation analysis] | paper | 0 |
| 2009 | Professor Zipf goes to Wall Street In: NBER Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2010 | Introduction In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 0 |
| 2010 | Future Directions and Conclusions In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 0 |
| 2010 | Continuous Gibrat’s Law and Gabaix’s Derivation of Zipf’s Law In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 0 |
| 2010 | Flow of Firm Creation In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 0 |
| 2010 | Useful Properties of Realizations of the Geometric Brownian Motion In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 0 |
| 2010 | Exit or “Death” of Firms In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 0 |
| 2010 | Deviations from Gibrat’s Law and Implications for Generalized Zipf’s Laws In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 0 |
| 2010 | Firm’s Sudden Deaths In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 0 |
| 2010 | Non-stationary Mean Birth Rate In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 0 |
| 2010 | Properties of the Realization Dependent Distribution of Firm Sizes In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team