Zobrazeno 1 - 10
of 33
pro vyhledávání: '"Longin, François"'
Autor:
Cotter, John, Longin, François
Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and UK equity indexes show that i
Externí odkaz:
http://arxiv.org/abs/1103.5655
Autor:
Cotter, John, Longin, François
Both in practice and in the academic literature, models for setting margin requirements in futures markets classically use daily closing price changes. However, as well documented by research on high-frequency data, financial markets have recently sh
Externí odkaz:
http://arxiv.org/abs/1103.5412
Autor:
Longin, François, Solnik, Bruno
Publikováno v:
The Journal of Finance, 2001 Apr 01. 56(2), 649-676.
Externí odkaz:
https://www.jstor.org/stable/222577
Autor:
Longin, Francois M.
Publikováno v:
The Review of Financial Studies, 1997 Oct 01. 10(3), 837-869.
Externí odkaz:
https://www.jstor.org/stable/2962205
Autor:
Longin, François M.
Publikováno v:
The Journal of Business, 1996 Jul 01. 69(3), 383-408.
Externí odkaz:
https://www.jstor.org/stable/2353373
Autor:
LONGIN, FRANÇOIS
Publikováno v:
The Journal of Risk Finance, 2000, Vol. 2, Issue 1, pp. 42-50.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/eb022945
Autor:
Longin, François
Publikováno v:
Annales d'Économie et de Statistique, 1998 Oct 01(52), 23-51.
Externí odkaz:
https://www.jstor.org/stable/20076150
Publikováno v:
In Economics Letters October 2018 171:10-13
Autor:
Longin, François, Pagliardi, Giovanni
Publikováno v:
In Economics Letters August 2016 145:252-254