Edit Profile (opens in new tab) Coqueret, Guillaume Co-Author Distance Author ID: coqueret.guillaume Published as: Coqueret, Guillaume External Links: ORCID Documents Indexed: 14 Publications since 2012, including 2 Books Co-Authors: 4 Co-Authors with 6 Joint Publications Co-Authors 8 single-authored 3 Guida, Tony 2 Tavin, Bertrand 1 Chevalier, Guillaume 1 Raffinot, Thomas all top 5 Serials 3 Quantitative Finance 2 Chapman & Hall/CRC Financial Mathematics Series 1 Journal of Mathematical Economics 1 Insurance Mathematics & Economics 1 Statistics & Probability Letters 1 Journal of Economic Dynamics & Control 1 Annals of Operations Research 1 European Journal of Operational Research 1 International Journal of Theoretical and Applied Finance 1 Communications in Applied Mathematics and Computational Science 1 Annals of Finance all top 5 Fields 12 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 Statistics (62-XX) 3 Probability theory and stochastic processes (60-XX) 3 Computer science (68-XX) 1 General and overarching topics; collections (00-XX) 1 Integral transforms, operational calculus (44-XX) 1 Numerical analysis (65-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 7 Publications have been cited 24 times in 24 Documents Cited by ▼ Year ▼ An investigation of model risk in a market with jumps and stochastic volatility. Zbl 1346.91263 Coqueret, Guillaume; Tavin, Bertrand 11 2016 Diversified minimum-variance portfolios. Zbl 1315.91057 Coqueret, Guillaume 6 2015 Second order risk aggregation with the Bernstein copula. Zbl 1304.62128 Coqueret, Guillaume 2 2014 On the supremum of the spectrally negative stable process with drift. Zbl 1356.60078 Coqueret, Guillaume 2 2015 Empirical properties of a heterogeneous agent model in large dimensions. Zbl 1401.91458 Coqueret, Guillaume 1 2017 Machine learning for factor investing. R version. Zbl 1471.91006 Coqueret, Guillaume; Guida, Tony 1 2021 Lookback option prices under a spectrally negative tempered-stable model. Zbl 1269.91085 Coqueret, Guillaume 1 2013 Machine learning for factor investing. R version. Zbl 1471.91006 Coqueret, Guillaume; Guida, Tony 1 2021 Empirical properties of a heterogeneous agent model in large dimensions. Zbl 1401.91458 Coqueret, Guillaume 1 2017 An investigation of model risk in a market with jumps and stochastic volatility. Zbl 1346.91263 Coqueret, Guillaume; Tavin, Bertrand 11 2016 Diversified minimum-variance portfolios. Zbl 1315.91057 Coqueret, Guillaume 6 2015 On the supremum of the spectrally negative stable process with drift. Zbl 1356.60078 Coqueret, Guillaume 2 2015 Second order risk aggregation with the Bernstein copula. Zbl 1304.62128 Coqueret, Guillaume 2 2014 Lookback option prices under a spectrally negative tempered-stable model. Zbl 1269.91085 Coqueret, Guillaume 1 2013 all cited Publications top 5 cited Publications all top 5 Cited by 39 Authors 5 Coqueret, Guillaume 2 Ballotta, Laura 2 Cui, Zhenyu 2 Heunis, Andrew J. 2 Rayée, Grégory 2 Sarabia, José María 2 Tavin, Bertrand 1 Agosto, Arianna 1 Bladt, Mogens 1 Chen, Jingnan 1 Chevalier, Guillaume 1 Cummins, Mark 1 Deelstra, Griselda 1 Dhingra, Vrinda 1 Flood, Mark D. 1 Gogolin, Fabian 1 Gómez-Déniz, Emilio 1 Gupta, Shiv Kumar 1 Huang, Nan-Jing 1 Ivanovs, Jevgeņijs 1 Jokhadze, Valeriane 1 Jordá, Vanesa 1 Käck, Andreas 1 Kearney, Fearghal 1 Kiely, Greg 1 Kwaśnicki, Mateusz 1 Lazar, Emese 1 Moretto, Enrico 1 Murphy, Bernard 1 Navarro, Jorge 1 Prieto, Faustino 1 Qi, Shuyuan 1 Raffinot, Thomas 1 Seeger, Norman J. 1 Sharma, Amita 1 Sowers, Richard B. 1 Yang, Ben-Zhang 1 Yue, Jia 1 Zhu, Dian all top 5 Cited in 13 Serials 7 European Journal of Operational Research 3 Quantitative Finance 3 Annals of Finance 2 International Journal of Theoretical and Applied Finance 1 Journal of Mathematical Economics 1 Statistics & Probability Letters 1 Journal of Economic Dynamics & Control 1 Annals of Operations Research 1 Stochastic Processes and their Applications 1 Electronic Journal of Probability 1 Probability in the Engineering and Informational Sciences 1 ASTIN Bulletin 1 Computational Management Science all top 5 Cited in 9 Fields 20 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 7 Probability theory and stochastic processes (60-XX) 7 Statistics (62-XX) 2 Systems theory; control (93-XX) 1 General and overarching topics; collections (00-XX) 1 Functions of a complex variable (30-XX) 1 Operator theory (47-XX) 1 Computer science (68-XX) 1 Operations research, mathematical programming (90-XX) Citations by Year