Access Statistics for Yannick Malevergne

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread 0 0 0 0 0 1 9 18
A linear-rational multi-curve term structure model with stochastic spread 0 0 0 0 0 0 8 9
A model of financial bubbles and drawdowns with non-local behavioral self-referencing 0 0 0 1 0 0 8 12
A model of financial bubbles and drawdowns with non-local behavioral self-referencing 0 0 0 12 1 1 17 49
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 7 0 0 4 14
A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes 0 0 0 38 0 1 13 226
Alternative Risk Measures for Alternative Investments 0 0 0 0 0 0 8 22
Book review: "Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications" by D. Ardia (Springer) 0 0 0 0 0 0 4 5
Book review: "Why Stock Market Crash?" by D. Sornette (Princeton University Press) 0 0 0 0 0 1 9 17
Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices 0 0 0 15 0 1 4 55
Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices 0 0 0 0 0 0 1 3
Comprendre et Gérer les Risques Grands et Extrêmes 0 0 0 48 0 0 6 131
Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation 0 0 0 0 0 0 2 7
Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law? 0 0 2 83 1 2 14 300
Empirical Distributions of Stock Returns: Between the Stretched Exponential and the Power Law? 0 0 0 0 0 1 13 27
Extreme Financial Risks: From Dependence to Risk Management 0 0 0 0 0 0 10 39
Foreign Exchange Multivariate Multifractal Analysis 0 0 0 31 0 0 6 21
From Rational Bubbles to Crashes 0 0 0 43 0 2 8 128
From rational bubbles to crashes 0 0 0 0 0 0 11 17
General framework for a portfolio theory with non-Gaussian risks and non-linear correlations 0 0 0 20 0 0 8 72
Gibrat’s law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal 0 0 0 26 0 0 13 300
Hedging Extreme Co-Movements 0 0 0 20 0 0 9 66
Heterogeneous expectations and long range correlation of the volatility of asset returns 0 0 0 12 0 1 11 98
Heterogeneous expectations and long range correlation of the volatility of asset returns 0 0 0 9 0 0 6 72
How Analystss Ability Affects Forecast Timing Under Bias and Uncertainty? 0 0 0 0 0 1 10 14
How to account for extreme co-movements between individual stocks and the market 0 0 0 0 0 0 4 20
Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos 0 0 0 0 0 1 6 15
Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos 0 0 0 49 0 2 12 169
Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos 0 0 0 0 1 2 8 11
Investigating Extreme Dependences: Concepts and Tools 0 0 0 35 0 2 10 118
Investors' expectations, management fees and the underperformance of mutual funds 0 0 0 0 0 0 2 9
Investors’ Expectations, Management Fees and the Underperformance of Mutual Funds 0 0 0 18 0 1 9 38
Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry 0 0 0 35 0 0 8 187
Macroeconomic Dynamics of Assets, Leverage and Trust 0 0 0 0 0 0 5 8
Macroeconomic Dynamics of Assets, Leverage and Trust 0 0 0 28 0 0 8 54
Minimizing extremes 0 0 0 0 1 2 12 19
Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets 0 0 1 37 1 3 15 147
Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation 0 0 0 27 0 2 13 91
Multi-dimensional rational bubbles and fat tails 0 0 0 0 0 0 13 17
New Results for Additive and Multiplicative Risk Apportionment 0 0 0 31 0 2 12 53
New Results for Additive and Multiplicative Risk Apportionment 0 0 0 4 0 0 9 31
New Results for additive and multiplicative risk apportionment 0 0 0 0 1 1 9 20
On Cross-risk Vulnerability 0 0 0 29 1 1 12 95
On cross-risk vulnerability 0 0 0 0 0 0 10 19
On the Power of Generalized Extreme Value (GEV) and Generalized Pareto Distribution (GPD) Estimators for Empirical Distributions of Stock Returns 0 0 0 0 0 2 9 24
Preparing for the Worst: Incorporating Downside Risk in Stock Market Investments 0 0 0 0 0 0 2 7
Preserving preference rankings under non-financial background risk 0 0 0 0 0 0 8 14
Preserving preference rankings under non-financial background risk 0 0 0 17 0 0 11 77
Professor Zipf goes to Wall Street 0 0 0 80 0 0 18 246
Robust reverse engineering of crosssectional returns and improved portfolio allocation performance using the CAPM 0 0 1 8 0 0 9 62
Self-Consistent Asset Pricing Models 0 0 0 14 0 1 12 105
Self-consistent asset pricing models 0 0 0 0 0 0 6 20
Shuffling for understanding multifractality, application to asset price time series 0 0 0 1 0 0 15 21
Tail Dependence of Factor Models 0 0 0 19 0 1 12 74
Testing the Gaussian Copula Hypothesis for Financial Assets Dependences 0 0 0 1,388 0 0 12 3,399
Testing the Gaussian Copula Hypothesis for Financial Assets Dependences 0 0 0 42 0 0 14 198
Testing the Gaussian copula hypothesis for financial assets dependence 0 0 0 0 0 0 11 16
Testing the Gaussian copula hypothesis for financial assets dependences 0 0 0 25 0 1 14 138
The modified weibull distribution for asset returns: reply 0 0 0 0 1 2 8 16
Theory of Zipf's Law and Beyond 0 0 0 0 0 0 7 37
Theory of Zipf's Law and of General Power Law Distributions with Gibrat's law of Proportional Growth 0 0 0 46 0 0 13 187
VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions 0 0 0 21 0 1 6 83
Value-at-Risk-efficient portfolios for class of super- and sub-exponentially decaying assets return distributions 0 0 0 0 1 1 5 6
Volatility fingerprints of large shocks: Endogeneous versus exogeneous 0 0 0 22 0 2 7 77
Wealth and Income Inequalities ← → r > g 0 0 0 36 0 3 16 76
Zipf's law and maximum sustainable growth 0 0 0 0 0 0 8 22
Zipf's law and maximum sustainable growth 0 0 0 54 1 2 17 169
Total Working Papers 0 0 4 2,431 10 47 629 7,917

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A model of financial bubbles and drawdowns with non-local behavioral self-referencing 0 0 2 4 0 0 14 20
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy 0 0 0 1 0 0 10 21
Alternative risk measures for alternative investments 0 0 1 8 0 1 12 30
Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices 0 0 0 3 0 1 8 21
Empirical distributions of stock returns: between the stretched exponential and the power law? 0 0 2 32 3 3 17 111
From rational bubbles to crashes 0 0 0 11 0 2 9 45
Heterogeneous expectations and long-range correlation of the volatility of asset returns 0 0 0 5 1 1 6 34
How to account for extreme co-movements between individual stocks and the market 0 0 1 2 0 0 15 24
Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos 0 0 0 10 0 1 11 64
Multi-dimensional rational bubbles and fat tails 0 0 0 7 1 2 10 47
New Results for additive and multiplicative risk apportionment 0 0 0 0 0 0 13 32
On cross-risk vulnerability 0 0 0 13 0 1 9 89
On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns 0 0 0 174 0 1 16 712
Preparing for the Worst: Incorporating Downside Risk in Stock Market Investments. Hrishikesh D. Vinod and Derrick P. Reagle 0 0 0 35 0 1 8 113
Preserving preference rankings under non-financial background risk 0 0 0 0 0 0 9 17
Self-consistent asset pricing models 0 0 0 5 1 3 15 49
Testing the Gaussian copula hypothesis for financial assets dependences 0 0 0 14 2 2 18 85
The modified weibull distribution for asset returns: reply 0 0 1 43 0 1 11 134
Zipf's law and maximum sustainable growth 0 0 0 36 0 1 20 207
Total Journal Articles 0 0 7 403 8 21 231 1,855

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Extreme Financial Risks 0 0 0 0 0 0 9 9
Theory of Zipf's Law and Beyond 0 0 0 0 0 1 14 81
Total Books 0 0 0 0 0 1 23 90

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Continuous Gibrat’s Law and Gabaix’s Derivation of Zipf’s Law 0 0 0 0 0 0 3 10
Deviations from Gibrat’s Law and Implications for Generalized Zipf’s Laws 0 0 0 0 1 1 5 7
Exit or “Death” of Firms 0 0 0 0 1 1 5 9
Firm’s Sudden Deaths 0 0 0 0 0 1 6 10
Flow of Firm Creation 0 0 0 0 0 0 4 4
Future Directions and Conclusions 0 0 0 0 0 0 3 7
Introduction 0 0 0 0 0 0 3 6
Non-stationary Mean Birth Rate 0 0 0 0 1 1 6 10
Properties of the Realization Dependent Distribution of Firm Sizes 0 0 0 0 0 0 4 7
Useful Properties of Realizations of the Geometric Brownian Motion 0 1 1 1 0 1 8 12
Total Chapters 0 1 1 1 3 5 47 82

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Statistics updated 2026-10-11