Y. Malevergne (Univ. Nice

Identifiers

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Papers (7)

1. Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law? physics.soc-ph · 2003 · author #1
2. VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions physics.soc-ph · 2003 · author #1
3. Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices cond-mat.stat-mech · 2002 · author #1
4. Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets cond-mat.stat-mech · 2002 · author #1
5. Hedging Extreme Co-Movements cond-mat.stat-mech · 2002 · author #1
6. Investigating Extreme Dependences: Concepts and Tools cond-mat.stat-mech · 2002 · author #1
7. Tail Dependence of Factor Models cond-mat.stat-mech · 2002 · author #1

Mentions

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Frequent Coauthors

• UCLA) 6 shared papers
• Univ. Lyon) 5 shared papers
• D. Sornette (CNRS-Univ. Nice 4 shared papers
• D. Sornette (CNRS 2 shared papers
• Univ. Lyon I) 2 shared papers
• Univ. Nice 2 shared papers
• CNRS-Univ. Nice) 1 shared papers
• D. Sornette (UCLA 1 shared papers
• V.F. Pisarenko (Russian Acad. Sci.) 1 shared papers