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
3172*1999
Correlation structure of international equity markets during extremely volatile periods
F Longin, B Solnik
3172*1998
Extreme correlation of international equity markets
F Longin, B Solnik
The journal of finance 56 (2), 649-676, 2001
31662001
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
24561995
From value at risk to stress testing: The extreme value approach
FM Longin
Journal of Banking & Finance 24 (7), 1097-1130, 2000
7952000
The asymptotic distribution of extreme stock market returns
FM Longin
Journal of business, 383-408, 1996
7411996
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
1422005
Optimal margin level in futures markets: Extreme price movements
FM Longin
Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 1999
1321999
Portfolio Insurance: The Extreme Value Approach Applied to the CPPI Method
P Bertrand, JL Prigent
Extreme Events in Finance: A Handbook of Extreme Value Theory and Its …, 2016
1002016
Beyond the var
FM Longin
The Journal of Derivatives 8 (4), 36-48, 2001
882001
The threshold effect in expected volatility: A model based on asymmetric information
FM Longin
The Review of Financial Studies 10 (3), 837-869, 1997
651997
Extreme events in finance: A handbook of extreme value theory and its applications
F Longin
John Wiley & Sons, 2016
412016
Minimal returns and the breakdown of the price-volume relation
P Balduzzi, H Kallal, F Longin
Economics Letters 50 (2), 265-269, 1996
261996
Portfolio insurance and market crashes
F Longin
Journal of Asset Management 2 (2), 136-161, 2001
202001
Value at Risk: Une nouvelle approche fondée sur les valeurs extrêmes
F Longin
Annales d'économie et de statistique, 23-51, 1998
191998
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
191994
Is Bitcoin the new digital gold? Evidence from extreme price movements in financial markets
K Gkillas, F Longin
SSRN. Available at https://papers. ssrn. com/sol3/papers. cfm, 2018
162018
Stock market crashes: Some quantitative results based on extreme value theory
F Longin
Derivatives Use, Trading and Regulation 7, 197-205, 2001
162001
Estimation methods for value at risk
S Nadarajah, S Chan
Extreme Events in Finance: A Handbook of Extreme Value Theory and its …, 2016
152016
Application de la théorie des valeurs extrêmes aux marchés financiers
JF Boulier, R Dalaud, F Longin
131998
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