Yannick Malevergne

Available identifiers

Publication	Date of Publication	Type
A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy	2021-11-16	Paper
New results for additive and multiplicative risk apportionment	2020-09-17	Paper
Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions	2019-01-15	Paper
Multi-dimensional rational bubbles and fat tails	2019-01-14	Paper
Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos	2019-01-14	Paper
Testing the Gaussian copula hypothesis for financial assets dependences	2019-01-14	Paper
Zipf's law and maximum sustainable growth	2018-11-01	Paper
Macroeconomic Dynamics of Assets, Leverage and Trust	2016-09-29	Paper
On cross-risk vulnerability	2012-02-10	Paper
Preserving preference rankings under non-financial background risk	2010-09-24	Paper
Theory of Zipf's law and beyond	2009-11-30	Paper
The modified weibull distribution for asset returns: reply	2007-05-09	Paper
Extreme Financial Risks	2006-04-06	Paper
Empirical distributions of stock returns: between the stretched exponential and the power law?	2006-03-08	Paper
From rational bubbles to crashes	2001-10-23	Paper

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