François Longin

ESSEC Business School

Professor

Avenue Bernard Hirsch

BP 105 Cergy Cedex, 95021

France

http://www.essec.edu/faculty/francois-longin

SCHOLARLY PAPERS

6

DOWNLOADS

455

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

Asymmetric Exceedance-Time Model: An Optimal Threshold Approach Based on Extreme Value Theory

Number of pages: 12 Posted: 09 Aug 2017 Last Revised: 07 Oct 2017
University of Patras - Business Administration, ESSEC Business School and University of Patras - Business Administration
Downloads 117 (239,152)

Abstract:

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Asymmetric Exceedance-Time Model, Extreme Value Theory, Temporal Variability of Extremes

2.

Cryptocurrency Market Activity During Extremely Volatile Periods

Number of pages: 33 Posted: 02 Aug 2018
Sheffield University Management School, University of Patras - Business Administration and ESSEC Business School
Downloads 114 (243,654)

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Bitcoin, Cryptocurrency, Trading Volume, Return-Volume Dependence, Extreme Returns

3.

Is Bitcoin the New Digital Gold? Evidence From Extreme Price Movements in Financial Markets

Number of pages: 57 Posted: 26 Sep 2018 Last Revised: 20 Jan 2019
Konstantinos Gkillas and François Longin
University of Patras - Business Administration and ESSEC Business School
Downloads 86 (294,065)
Citation 1

Abstract:

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bitcoin; diversification benefits; extreme correlation; extreme value theory; gold; portfolio risk management; tail dependence

4.

Tail Relation between Return and Volume in the US Stock Market: An Analysis Based on Extreme Value Theory

Number of pages: 18 Posted: 08 Jul 2016
François Longin and Giovanni Pagliardi
ESSEC Business School and BI Norwegian Business School
Downloads 78 (311,867)

Abstract:

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extreme value theory, peaks-over-threshold method, return-volume dependence, stock market volatility, extreme correlation

5.

Stock Market Reaction to Female CEO Nominations: Is the Market Gendered?

Number of pages: 41 Posted: 29 May 2019
François Longin and Estefania Santacreu-Vasut
ESSEC Business School and ESSEC Business School
Downloads 57 (368,264)
Citation 1

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CEO Nomination, Gender Diversity, Gender Stereotypes, Entitativity, Homophily, Leadership

6.

Extreme Dependencies in the European Banking Sector

Number of pages: 63 Posted: 09 Oct 2019
University of Patras - Business Administration, University of Patras - Business Administration, ESSEC Business School and University of Patras - Business Administration
Downloads 3 (634,519)

Abstract:

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extreme correlation, euro area systemic banks, European sovereign debt crisis, core-periphery