Francois M. Longin

ESSEC Business School - Finance Department

Avenue Bernard Hirsch

BP 105 Cergy Cedex, 95021

France

www.longin.fr

SCHOLARLY PAPERS

7

DOWNLOADS

673

SSRN CITATIONS
Rank 2,843

SSRN RANKINGS

Top 2,843

in Total Papers Citations

41

CROSSREF CITATIONS

434

Scholarly Papers (7)

1.

Implied Correlation from VaR

Number of pages: 16 Posted: 26 Jun 2007
John Cotter and Francois M. Longin
University College Dublin and ESSEC Business School - Finance Department
Downloads 303 (123,621)
Citation 5

Abstract:

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Implied Correlation, Model Risk, Normality, Value at Risk

2.

Extreme Correlation of International Equity Markets

Journal of Finance, Vol. LVI, No. 2, 2001
Number of pages: 24 Posted: 19 Feb 1999 Last Revised: 10 Mar 2017
Francois M. Longin and Bruno Solnik
ESSEC Business School - Finance Department and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 216 (173,396)
Citation 55

Abstract:

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international equity markets, volatility, correlation and extreme value theory

3.

Margin Setting with High-Frequency Data

Number of pages: 33 Posted: 27 Jun 2007
John Cotter and Francois M. Longin
University College Dublin and ESSEC Business School - Finance Department
Downloads 154 (233,692)
Citation 2

Abstract:

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clearinghouse, extreme value theory, futures markets, high-frequency data, intraday

4.

The Margin-Volatility Relationship: A Test Based on Extreme Price Movements

London Business School Institute of Finance and Accounting Working Paper 191
Posted: 11 May 2000
Francois M. Longin
ESSEC Business School - Finance Department

Abstract:

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5.

The Asymptotic Distribution of Extreme Stock Market Returns

Posted: 04 May 2000
Francois M. Longin
ESSEC Business School - Finance Department

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6.

Optimal Margin Levels in Futures Markets: A Parametric Extreme-Based Method

London Business School Institute of Finance and Accounting Working Paper 192
Posted: 10 Sep 1999
Francois M. Longin
ESSEC Business School - Finance Department

Abstract:

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7.

The Threshold Effect in Expected Volatility: A Model Based on Asymmetric Information

REVIEW OF FINANCIAL STUDIES, Vol. 10 No. 3
Posted: 30 Jul 1997
Francois M. Longin
ESSEC Business School - Finance Department

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