Yannick Malevergne : Citation Profile


Are you Yannick Malevergne?

Université Paris 1 (Panthéon-Sorbonne)

11

H index

12

i10 index

485

Citations

RESEARCH PRODUCTION:

16

Articles

66

Papers

1

Books

10

Chapters

RESEARCH ACTIVITY:

   22 years (2001 - 2023). See details.
   Cites by year: 22
   Journals where Yannick Malevergne has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 12 (2.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma1286
   Updated: 2024-12-03    RAS profile: 2024-02-07    
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Relations with other researchers


Works with:

DA FONSECA, José (3)

Loubergé, Henri (2)

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

Is cited by:

Zhou, Wei-Xing (20)

Fry, John (9)

Panchenko, Valentyn (7)

Szafarz, Ariane (6)

van Dijk, Dick (5)

Lopez, Claude (4)

Riccaboni, Massimo (4)

Delatte, Anne-Laure (4)

Bee, Marco (4)

González-Val, Rafael (3)

Conlon, Thomas (3)

Cites to:

EECKHOUDT, LOUIS (36)

Fama, Eugene (15)

Dacorogna, Michel (15)

French, Kenneth (13)

REY, Beatrice (11)

Gabaix, Xavier (11)

Sharpe, William (10)

de Vries, Casper (7)

Gollier, Christian (7)

Shiller, Robert (6)

Olsen, Richard (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
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
Post-Print / HAL32
Papers / arXiv.org19
Swiss Finance Institute Research Paper Series / Swiss Finance Institute6
Working Papers / HAL5

Recent works citing Yannick Malevergne (2024 and 2023)


YearTitle of citing document
2023Portfolio 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.

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2023Nonparametric estimator of the tail dependence coefficient: balancing bias and variance. (2021). , Maxime ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2111.11128.

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2023Inferential Theory for Granular Instrumental Variables in High Dimensions. (2022). Lee, Tae Hwy ; Banafti, Saman. In: Papers. RePEc:arx:papers:2201.06605.

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2024Application 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.

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2023Precision measurement of the return distribution property of the Chinese stock market index. (2022). Zheng, Yanyan ; Liu, Peng. In: Papers. RePEc:arx:papers:2209.08521.

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2023Modeling 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.

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2023A parsimonious inverse Cox-Ingersoll-Ross process for financial price modeling. (2023). Sornette, Didier ; Lin, LI. In: Papers. RePEc:arx:papers:2302.11423.

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2023Multi-kernel property in high-frequency price dynamics under Hawkes model. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2302.11822.

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2023Bitcoin: A life in crises. (2023). Houli, Nicolas ; Tarassov, Jevgeni. In: Papers. RePEc:arx:papers:2304.09939.

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2024Revisiting 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.

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2024On 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.

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2023Financial 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.

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2023Sharpe 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.

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2023Conditional 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.

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2023ESG, 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.

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2023Modeling 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.

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2023GEV 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.

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2023Mental 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.

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2023Stability 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.

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2023Inferential Theory for Granular Instrumental Variables in High Dimensions. (2023). Lee, Tae-Hwy ; Banafti, Saman. In: Working Papers. RePEc:ucr:wpaper:202308.

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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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This paper has nother version. Agregated cites: 1
paper
2011Heterogeneous expectations and long-range correlation of the volatility of asset returns.(2011) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 1
article
2008Theory of Zipfs Law and of General Power Law Distributions with Gibrats law of Proportional Growth In: Papers.
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paper5
2010Zipfs law and maximum sustainable growth In: Papers.
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paper20
2013Zipfs law and maximum sustainable growth.(2013) In: Journal of Economic Dynamics and Control.
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This paper has nother version. Agregated cites: 20
article
2013Zipfs law and maximum sustainable growth.(2013) In: Post-Print.
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This paper has nother version. Agregated cites: 20
paper
2015Macroeconomic Dynamics of Assets, Leverage and Trust In: Papers.
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paper2
2016Macroeconomic Dynamics of Assets, Leverage and Trust.(2016) In: Post-Print.
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This paper has nother version. Agregated cites: 2
paper
2001Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation In: Papers.
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paper0
2001From Rational Bubbles to Crashes In: Papers.
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paper23
2001From rational bubbles to crashes.(2001) In: Physica A: Statistical Mechanics and its Applications.
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This paper has nother version. Agregated cites: 23
article
2001From rational bubbles to crashes.(2001) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 23
paper
2001General framework for a portfolio theory with non-Gaussian risks and non-linear correlations In: Papers.
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paper3
2001Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos In: Papers.
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paper26
2002Imitation and contrarian behavior : hyperbolic bubbles, crashes and chaos.(2002) In: Post-Print.
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This paper has nother version. Agregated cites: 26
paper
2002Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos.(2002) In: Post-Print.
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paper
2002Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos.(2002) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 26
article
2001Testing the Gaussian Copula Hypothesis for Financial Assets Dependences In: Papers.
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paper90
2003Testing the Gaussian copula hypothesis for financial assets dependences.(2003) In: Post-Print.
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This paper has nother version. Agregated cites: 90
paper
2003Testing the Gaussian copula hypothesis for financial assets dependence.(2003) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 90
paper
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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This paper has nother version. Agregated cites: 90
paper
2002Tail Dependence of Factor Models In: Papers.
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paper5
2002Investigating Extreme Dependences: Concepts and Tools In: Papers.
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paper3
2002Volatility fingerprints of large shocks: Endogeneous versus exogeneous In: Papers.
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paper6
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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paper4
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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paper9
2003Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law? In: Papers.
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paper8
2006Self-Consistent Asset Pricing Models In: Papers.
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paper2
2007Self-consistent asset pricing models.(2007) In: Physica A: Statistical Mechanics and its Applications.
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article
2007Self-consistent asset pricing models.(2007) In: Post-Print.
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paper
2007A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes In: Papers.
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paper1
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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article0
2009Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry In: Swiss Finance Institute Research Paper Series.
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paper1
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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paper17
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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paper5
2012Investors’ Expectations, Management Fees and the Underperformance of Mutual Funds In: Swiss Finance Institute Research Paper Series.
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paper1
2014Investors expectations, management fees and the underperformance of mutual funds.(2014) In: Post-Print.
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This paper has nother version. Agregated cites: 1
paper
2016Wealth and Income Inequalities ← → r > g In: Swiss Finance Institute Research Paper Series.
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paper0
2021A model of financial bubbles and drawdowns with non-local behavioral self-referencing In: Swiss Finance Institute Research Paper Series.
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paper0
2023A model of financial bubbles and drawdowns with non-local behavioral self-referencing.(2023) In: Working Papers.
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This paper has nother version. Agregated cites: 0
paper
2021A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy In: Journal of Economic Dynamics and Control.
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article3
2021A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy.(2021) In: Post-Print.
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This paper has nother version. Agregated cites: 3
paper
2009On cross-risk vulnerability In: Insurance: Mathematics and Economics.
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article7
2009On cross-risk vulnerability.(2009) In: Post-Print.
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paper
2009On Cross-risk Vulnerability.(2009) In: Post-Print.
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2020New Results for additive and multiplicative risk apportionment In: Journal of Mathematical Economics.
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2019New Results for Additive and Multiplicative Risk Apportionment.(2019) In: Working Papers.
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2020New Results for additive and multiplicative risk apportionment.(2020) In: Post-Print.
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2019New Results for Additive and Multiplicative Risk Apportionment.(2019) In: Working Papers.
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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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article12
2004Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices.(2004) In: Post-Print.
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This paper has nother version. Agregated cites: 12
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2003Comprendre et Gérer les Risques Grands et Extrêmes In: THEMA Working Papers.
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2006Extreme Financial Risks : From Dependence to Risk Management In: Post-Print.
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paper79
2010Theory of Zipfs Law and Beyond In: Post-Print.
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paper34
2010Theory of Zipfs Law and Beyond.(2010) In: Lecture Notes in Economics and Mathematical Systems.
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This paper has nother version. Agregated cites: 34
book
2005Preparing for the Worst : Incorporating Downside Risk in Stock Market Investments In: Post-Print.
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paper0
2006The modified weibull distribution for asset returns: reply In: Post-Print.
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2006The modified weibull distribution for asset returns: reply.(2006) In: Quantitative Finance.
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article
2006Alternative Risk Measures for Alternative Investments In: Post-Print.
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paper6
2005Empirical Distributions of Stock Returns : Between the Stretched Exponential and the Power Law? In: Post-Print.
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paper49
2005Empirical distributions of stock returns: between the stretched exponential and the power law?.(2005) In: Quantitative Finance.
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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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2006On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns.(2006) In: Applied Financial Economics.
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2010Preserving preference rankings under non-financial background risk In: Post-Print.
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2010Preserving preference rankings under non-financial background risk.(2010) In: Post-Print.
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2010Preserving preference rankings under non-financial background risk.(2010) In: Journal of the Operational Research Society.
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2009Book review: Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications by D. Ardia (Springer) In: Post-Print.
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paper0
2004Book review : Why Stock Market Crash? by D. Sornette (Princeton University Press) In: Post-Print.
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paper0
2004How to account for extreme co-movements between individual stocks and the market In: Post-Print.
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paper8
2004Value-at-Risk-efficient portfolios for class of super- and sub-exponentially decaying assets return distributions In: Post-Print.
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paper6
2002Minimizing extremes In: Post-Print.
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paper1
2001Multi-dimensional rational bubbles and fat tails In: Post-Print.
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paper10
2001Multi-dimensional rational bubbles and fat tails.(2001) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 10
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2019Shuffling for understanding multifractality, application to asset price time series In: Post-Print.
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2022Foreign Exchange Multivariate Multifractal Analysis In: Post-Print.
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2016Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation In: Post-Print.
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paper5
2023How Analystss Ability Affects Forecast Timing Under Bias and Uncertainty? In: Working Papers.
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paper0
2023A Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread In: Working Papers.
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2009Professor Zipf goes to Wall Street In: NBER Working Papers.
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2010Introduction In: Lecture Notes in Economics and Mathematical Systems.
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2010Future Directions and Conclusions In: Lecture Notes in Economics and Mathematical Systems.
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2010Continuous Gibrat’s Law and Gabaix’s Derivation of Zipf’s Law In: Lecture Notes in Economics and Mathematical Systems.
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2010Flow of Firm Creation In: Lecture Notes in Economics and Mathematical Systems.
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2010Useful Properties of Realizations of the Geometric Brownian Motion In: Lecture Notes in Economics and Mathematical Systems.
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2010Exit or “Death” of Firms In: Lecture Notes in Economics and Mathematical Systems.
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2010Deviations from Gibrat’s Law and Implications for Generalized Zipf’s Laws In: Lecture Notes in Economics and Mathematical Systems.
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2010Firm’s Sudden Deaths In: Lecture Notes in Economics and Mathematical Systems.
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2010Non-stationary Mean Birth Rate In: Lecture Notes in Economics and Mathematical Systems.
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2010Properties of the Realization Dependent Distribution of Firm Sizes In: Lecture Notes in Economics and Mathematical Systems.
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chapter0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team