François Longin
Publications by Year
Research Areas
Financial Risk and Volatility Modeling, Market Dynamics and Volatility, Financial Markets and Investment Strategies, Complex Systems and Time Series Analysis, Stochastic processes and financial applications
Most-Cited Works
- → Extreme Correlation of International Equity Markets(2001)2,560 cited
- → Is the correlation in international equity returns constant: 1960–1990?(1995)1,875 cited
- → From value at risk to stress testing: The extreme value approach(2000)505 cited
- → Optimal margin level in futures markets: Extreme price movements(1999)102 cited
- → The choice of the distribution of asset returns: How extreme value theory can help?(2004)99 cited
- → The Asymptotic Distribution of Extreme Stock Market Returns(1996)93 cited
- Correlation Structure of International Equity Markets During Extremely Volatile Periods(1998)
- → Beyond the VaR(2001)49 cited
- → Is Bitcoin the New Digital Gold? Evidence From Extreme Price Movements in Financial Markets(2018)48 cited
- 2001. “Correlation Structure of International Equity Markets During Extremely Volatile Periods(1998)