statistique, théorie et gestion de portefeuille - Docs at ISFA

Bibliographie 511
LILLO, F. ET R. N. MANTEGNA (2002) : “Omori law after a financial market crash”, Physical Review
Letters .
LINDSKOG, F. (2000) : “Modelling Dependence with Copulas”, Document de Travail, RiskLab.
LINDSKOG, F., A. MCNEIL ET U. SCHMOCK (2001) : “Kendall’s tau for elliptical distributions”, Document
de Travail, Risklab.
LINTNER, J. (1965) : “The valuation of risk assets and the selection of risky investments in stock portfolios
and capital budgets”, Review of Economics and Statistics 13, 13–37.
LINTNER, J. (1969) : “The aggregation of investors divers judgements and preferences in purely competitive
security markets”, Journal of Financial and Quantitative Analysis 4, 347–400.
LIU, Y., P. CIZEAU, M. MEYER, C. K. PENG ET H. E. STANLEY (1997) : “Correlations in economic
time series”, Physica A 245, 437–440.
LONGIN, F. M. (1996) : “The asymptotic distribution of extreme stock market returns”, Journal of
Business 96, 383–408.
LONGIN, F. M. (2000) : “From VaR to stress testing : the extreme value approach”, Journal of Banking
& Finance 24, 1097–1130.
LUX, T. (1995) : “Herd behaviour, bubbles and crashes”, Economic Journal 105, 881–896.
LUX, T. (1996) : “The stable Paretian hypothesis and the frequency of large returns : an examination of
major German stocks”, Applied Financial Economics 6, 463–475.
LUX, T. (1997) : “The limiting extremal behavior of speculative returns : an annalysis of intradaily data
from Frankfurt Stock exchange”, Document de Travail, University of Bonn.
LUX, T. (1998) : “The socio-economic dynamics of speculative markets : interacting agents, chaos, and
the fat tails of return distributions”, Journal of Economic Behavior and Organization 33, 143–165.
LUX, T. ET D. SORNETTE (2002) : “On rational bubbles and fat tails”, Journal of Money, Credit and
Banking 34, 589–610.
LUX, T. ET M. MARCHESI (1999) : “Scaling and criticality in a stochastic multi-agent model of a
financial market”, Nature 397, 498–500.
MALEVERGNE, Y. ET D. SORNETTE (2001a) : “Multi-dimensional rational bubbles and fat tails”, Quantitative
Finance 1, 533–541.
MALEVERGNE, Y. ET D. SORNETTE (2001b) : “Testing the Gaussian copula hypothesis for modelling
financial assets dependence”, Submitted to Quantitative Finance .
MALEVERGNE, Y. ET D. SORNETTE (2002a) : “Collective origin of the coexistence of apparent RMT
noise and factors in large sample correlation matrices”, Submitted to Physical Review Letters .
MALEVERGNE, Y. ET D. SORNETTE (2002b) : “Minimizing Extremes”, Risk 15, 129–132.
MALEVERGNE, Y. ET D. SORNETTE (2002c) : “Multi-moment methods for portfolio management :
Generalized capital asset pricing model in homogeneous and heterogeneous markets”, in Maillet,
B. et Jurzenko (eds.), Proceeding of the workshop on Multi-Moment Capital Pricing Models and
Related Topics, Springer.
MALEVERGNE, Y. ET D. SORNETTE (2002d) : “VaR efficient portofolios for super and sub exponentially
decaying assets’ returns distributions”, Document de Travail, University of Nice-Sophia Antipolis.
MALEVERGNE, Y., V. PISARENKO ET D. SORNETTE (2002) : “Distribution of returns : Exponential
versus power-like ?”, Document de Travail, University of Nice-Sophia Antipolis.
MANDELBROT, B. (1963) : “The variation of certain speculative prices”, Journal of Business 36, 392–
417.