Follow
Yannick Malevergne
Title
Cited by
Cited by
Year
Extreme financial risks: From dependence to risk management
Y Malevergne, D Sornette
Springer Science & Business Media, 2006
4452006
Testing the Gaussian copula hypothesis for financial assets dependences
Y Malevergne, D Sornette
Quantitative finance 3 (4), 231, 2003
3802003
Theory of Zipf's law and beyond
AI Saichev, Y Malevergne, D Sornette
Springer Science & Business Media, 2009
2942009
Testing the Pareto against the lognormal distributions with the uniformly most powerful unbiased test applied to the distribution of cities
Y Malevergne, V Pisarenko, D Sornette
Physical Review E 83 (3), 036111, 2011
217*2011
Empirical distributions of stock returns: between the stretched exponential and the power law?
Y Malevergne, V Pisarenko, D Sornette
Quantitative Finance 5 (4), 379-401, 2005
2152005
What causes crashes?
D Sornette, Y Malevergne, JF Muzy
Risk Magazine 16 (2), 67-72, 2003
1162003
Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos
A Corcos, JP Eckmann, A Malaspinas, Y Malevergne, D Sornette
Quantitative Finance 2 (4), 264, 2002
892002
Zipf's law and maximum sustainable growth
Y Malevergne, A Saichev, D Sornette
Journal of Economic Dynamics and Control 37 (6), 1195-1212, 2013
82*2013
Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices
Y Malevergne, D Sornette
Physica A: Statistical Mechanics and its Applications 331 (3-4), 660-668, 2004
752004
Higher-moment portfolio theory (capitalizing on behavioral anomalies of stock markets)
Y Malevergne, D Sornette
Journal of Portfolio Management 31 (4), 49-55, 2005
652005
On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns
Y Malevergne, V Pisarenko, D Sornette
Applied Financial Economics 16 (3), 271-289, 2006
592006
Professor zipf goes to wall street
Y Malevergne, P Santa-Clara, D Sornette
National Bureau of Economic Research, 2009
582009
Theory of Zipf's law and beyond
A Saichev, D Sornette, Y Malevergne
Lecture Notes in Economics and Mathematical Systems 632, 1-170, 2010
52*2010
How to account for extreme co-movements between individual stocks and the market
Y Malevergne, D Sornette
Journal of Risk 6 (3), 71-116, 2004
52*2004
From rational bubbles to crashes
D Sornette, Y Malevergne
Physica A: Statistical Mechanics and its Applications 299 (1-2), 40-59, 2001
472001
Volatility fingerprints of large shocks: Endogeneous versus exogeneous
D Sornette, Y Malevergne, JF Muzy
The Application of Econophysics, 91-102, 2004
452004
Value-at-risk-efficient portfolios for a class of super-and sub-exponentially decaying assets return distributions
Y Malevergne, D Sornette
Quantitative Finance 4 (1), 17, 2003
402003
Multi-moments method for portfolio management: Generalized capital asset pricing model in homogeneous and heterogeneous markets
Y Malevergne, D Sornette
Multi-moment Asset Allocation and Pricing Models, 165-193, 2006
33*2006
Multivariate Weibull distributions for asset returns: I
Y Malevergne, D Sornette
Available at SSRN 714161, 2005
322005
High-order moments and cumulants of multivariate Weibull asset returns distributions: analytical theory and empirical tests: II
Y Malevergne, D Sornette
Available at SSRN 714185, 2005
262005
The system can't perform the operation now. Try again later.
Articles 1–20