3 citations · 3 across the 2 of their papers we have counts for
2 papers
q-fin.ST2008
Heterogeneous expectations and long range correlation of the volatility of asset returns
Jerome Coulon, Yannick Malevergne
Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expect…
physics.soc-ph2007★ 3 cited
A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes
Y. Malevergne, D. Sornette
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated b…