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François Longin
François Longin
Professor of Finance, ESSEC Business School
Verified email at essec.edu - Homepage
Title
Cited by
Cited by
Year
Correlation structure of international equity markets during extremely volatile periods
F Longin, B Solnik
3297*1999
Correlation structure of international equity markets during extremely volatile periods
F Longin, B Solnik
3297*1998
Extreme correlation of international equity markets
F Longin, B Solnik
The journal of finance 56 (2), 649-676, 2001
32902001
Is the correlation in international equity returns constant: 1960–1990?
F Longin, B Solnik
Journal of international money and finance 14 (1), 3-26, 1995
25231995
From value at risk to stress testing: The extreme value approach
FM Longin
Journal of Banking & Finance 24 (7), 1097-1130, 2000
8192000
The asymptotic distribution of extreme stock market returns
FM Longin
Journal of business, 383-408, 1996
7741996
The choice of the distribution of asset returns: How extreme value theory can help?
F Longin
Journal of Banking & Finance 29 (4), 1017-1035, 2005
1522005
Optimal margin level in futures markets: Extreme price movements
FM Longin
Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 1999
1411999
Beyond the var
FM Longin
The Journal of Derivatives 8 (4), 36-48, 2001
952001
The threshold effect in expected volatility: A model based on asymmetric information
FM Longin
The Review of Financial Studies 10 (3), 837-869, 1997
711997
VExtreme correlation of international equity mar'ketsV
F Longin, B Solnik
Journal of Finance 56 (2), 649, 2001
642001
Extreme events in finance: A handbook of extreme value theory and its applications
F Longin
John Wiley & Sons, 2016
592016
Is Bitcoin the new digital gold? Evidence from extreme price movements in financial markets
K Gkillas, F Longin
Evidence From Extreme Price Movements in Financial Markets (January 18, 2019), 2019
282019
Minimal returns and the breakdown of the price-volume relation
P Balduzzi, H Kallal, F Longin
Economics Letters 50 (2), 265-269, 1996
281996
Portfolio insurance and market crashes
F Longin
Journal of Asset Management 2 (2), 136-161, 2001
212001
Optimal Margin Levels in Futures Markets: A Parametric Extreme-Based Method
FM Longin
London Business School Institute of Finance and Accounting Working Paper 192, 1994
201994
Value at Risk: Une nouvelle approche fondée sur les valeurs extrêmes
F Longin
Annales d'économie et de statistique, 23-51, 1998
191998
Stock market crashes: Some quantitative results based on extreme value theory
F Longin
Derivatives Use, Trading and Regulation 7, 197-205, 2001
162001
Cryptocurrency market activity during extremely volatile periods
P Katsiampa, K Gkillas, F Longin
Available at SSRN 3220781, 2018
142018
Tail relation between return and volume in the US stock market: An analysis based on extreme value theory
F Longin, G Pagliardi
Economics Letters 145, 252-254, 2016
132016
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