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Rémy Chicheportiche · Study

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Rémy Chicheportiche

5 works· latest 2015· 2 institutionscluster: provisional

h-index5

i105

Citations194

Works here5

10

14

15

Most cited in this library

THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL2010 · 59 citations
The fine-structure of volatility feedback I: Multi-scale self-reflexivity2014 · 49 citations
Some Applications of First-Passage Ideas to Finance2014 · 33 citations
The fine structure of volatility feedback II: Overnight and intra-day effects2014 · 30 citations
A nested factor model for non-linear dependencies in stock returns2015 · 23 citations

Works

5 shown

A nested factor model for non-linear dependencies in stock returns

Quantitative Finance·2015·2 authors·Open access

23citations

The fine-structure of volatility feedback I: Multi-scale self-reflexivity

Physica A Statistical Mechanics and its Applications·2014·2 authors·Open access

49citations

Some Applications of First-Passage Ideas to Finance

WORLD SCIENTIFIC eBooks·2014·2 authors·chapter

33citations

The fine structure of volatility feedback II: Overnight and intra-day effects

Physica A Statistical Mechanics and its Applications·2014·3 authors·Open access

30citations

THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL

International Journal of Theoretical and Applied Finance·2010·2 authors·Open access

59citations