6 citations · 6 across the 2 of their papers we have counts for
3 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-ph2006★ 6 cited
Self-Consistent Asset Pricing Models
Y. Malevergne, D. Sornette
We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) co…
physics.soc-ph2003
VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions
Y. Malevergne, D. Sornette
Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their m…