François Longin
François Longin
Professor of Finance, ESSEC Business School
Подтвержден адрес электронной почты в домене essec.edu - Главная страница
НазваниеПроцитированоГод
Extreme correlation of international equity markets
F Longin, B Solnik
The journal of finance 56 (2), 649-676, 2001
27842001
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
22361995
From value at risk to stress testing: The extreme value approach
FM Longin
Journal of Banking & Finance 24 (7), 1097-1130, 2000
7252000
The asymptotic distribution of extreme stock market returns
FM Longin
Journal of business, 383-408, 1996
7021996
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
1372005
Optimal margin level in futures markets: Extreme price movements
FM Longin
Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 1999
1201999
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
972016
Beyond the var
FM Longin
The Journal of Derivatives 8 (4), 36-48, 2001
842001
Correlation structure of international equity markets during extremely volatile periods
F Longin, B Solnik
801999
The threshold effect in expected volatility: A model based on asymmetric information
FM Longin
The Review of Financial Studies 10 (3), 837-869, 1997
571997
Correlation structure of international equity markets during extremely volatile periods
F Longin, B Solnik
421998
Extreme events in finance: A handbook of extreme value theory and its applications
F Longin
John Wiley & Sons, 2016
242016
Minimal returns and the breakdown of the price-volume relation
P Balduzzi, H Kallal, F Longin
Economics Letters 50 (2), 265-269, 1996
231996
Portfolio insurance and market crashes
F Longin
Journal of Asset Management 2 (2), 136-161, 2001
202001
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
181994
Value at Risk: Une nouvelle approche fondée sur les valeurs extrêmes
F Longin
Annales d'économie et de statistique, 23-51, 1998
171998
Stock market crashes: Some quantitative results based on extreme value theory
F Longin
Derivatives Use, Trading and Regulation 7, 197-205, 2001
142001
Estimation methods for value at risk
S Nadarajah, S Chan
Extreme Events in Finance, 283-356, 2016
122016
Application de la théorie des valeurs extrêmes aux marchés financiers
JF Boulier, R Dalaud, F Longin
121998
Implied correlation from VaR
J Cotter, FM Longin
Available at SSRN 996080, 2007
102007
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