Hugues Langlois

HEC Paris - Finance Department

France

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 12,139

SSRN RANKINGS

Top 12,139

in Total Papers Downloads

4,799

SSRN CITATIONS
Rank 14,290

SSRN RANKINGS

Top 14,290

in Total Papers Citations

55

CROSSREF CITATIONS

25

Scholarly Papers (10)

1.

The Joint Dynamics of Equity Market Factors

Journal of Financial and Quantitative Analysis (JFQA), 2013, Vol. 48, No. 5, pp. 1371–1404
Number of pages: 59 Posted: 10 Sep 2011 Last Revised: 17 Mar 2014
Peter Christoffersen and Hugues Langlois
University of Toronto - Rotman School of Management and HEC Paris - Finance Department
Downloads 908 (30,962)
Citation 10

Abstract:

Loading...

Factors, threshold correlation, copulas, portfolio optimization, asymmetry.

2.

Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach

Review of Financial Studies, 2012, Vol. 25, No. 12, pp. 3711-3751.
Number of pages: 53 Posted: 24 May 2012 Last Revised: 20 Jan 2013
University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management, University of Houston - C.T. Bauer College of Business and HEC Paris - Finance Department
Downloads 873 (32,711)
Citation 36

Abstract:

Loading...

Asset allocation, dynamic dependence, dynamic copula, asymmetric dependence

3.

Factors and Risk Premia in Individual International Stock Returns

Swiss Finance Institute Research Paper No. 18-04, HEC Paris Research Paper No. FIN-2018-1250, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, Forthcoming in Journal of Financial Economics
Number of pages: 87 Posted: 07 Feb 2020 Last Revised: 18 Aug 2020
Ines Chaieb, Hugues Langlois and O. Scaillet
University of Geneva - Geneva Finance Research Institute (GFRI), HEC Paris - Finance Department and University of Geneva GSEM and GFRI
Downloads 806 (36,400)
Citation 9

Abstract:

Loading...

approximate factor model, emerging markets, international asset pricing, large panel, market integration, time-varying risk premium

4.

Dynamic Dependence and Diversification in Corporate Credit

Rotman School of Management Working Paper No. 2314027, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 47 Posted: 22 Aug 2013 Last Revised: 07 Jul 2016
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, Universite du Luxembourg - Luxembourg School of Finance and HEC Paris - Finance Department
Downloads 514 (65,617)
Citation 17

Abstract:

Loading...

Credit risk, default risk, CDS, dynamic dependence, copula

5.

Measuring Skewness Premia

HEC Paris Research Paper No. FIN-2018-1256, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 65 Posted: 20 Mar 2018 Last Revised: 25 Jan 2019
Hugues Langlois
HEC Paris - Finance Department
Downloads 458 (75,676)
Citation 10

Abstract:

Loading...

Systematic skewness, coskewness, idiosyncratic skewness, large panel regression, forecasting

6.

Accounting Information Releases and CDS Spreads

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 48 Posted: 29 Jun 2011 Last Revised: 17 Mar 2012
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, HEC Paris - Finance Department and University of Toronto - Rotman School of Management
Downloads 360 (100,107)
Citation 6

Abstract:

Loading...

Accounting information; CDS; jumps; market integration

7.

How is Liquidity Priced in Global Markets?

Swiss Finance Institute Research Paper No. 18-05, Paris December 2018 Finance Meeting EUROFIDAI - AFFI, HEC Paris Research Paper No. FIN-2018-1254, Forthcoming in Review of Financial Studies
Number of pages: 67 Posted: 18 Jan 2018 Last Revised: 14 Aug 2020
Ines Chaieb, Vihang R. Errunza and Hugues Langlois
University of Geneva - Geneva Finance Research Institute (GFRI), McGill University - Desautels Faculty of Management and HEC Paris - Finance Department
Downloads 310 (118,009)
Citation 1

Abstract:

Loading...

International asset pricing, liquidity level, liquidity risk, transaction cost, emerging markets, market integration.

8.

Optimal Hedging of American Options in Discrete Time

Number of pages: 27 Posted: 23 Dec 2010 Last Revised: 21 Sep 2011
Department of Decision Sciences, HEC Montreal, HEC Paris - Finance Department, Fiera Capital and HEC Montreal - Department of Finance
Downloads 237 (155,373)
Citation 2

Abstract:

Loading...

Hedging, European Option, American Option, Risk

9.

A New Benchmark for Dynamic Mean-Variance Portfolio Allocations

HEC Paris Research Paper No. FIN-2020-1368
Number of pages: 48 Posted: 26 Mar 2020 Last Revised: 07 Jul 2020
Hugues Langlois
HEC Paris - Finance Department
Downloads 168 (212,661)

Abstract:

Loading...

Portfolio Choice, Mean-Variance, Asset Allocation, Estimation Risk

10.

Asset Pricing with Return Asymmetries: Theory and Tests

Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 04 Dec 2013
Hugues Langlois
HEC Paris - Finance Department
Downloads 165 (215,886)
Citation 8

Abstract:

Loading...

Asymmetry, coskewness, idiosyncratic skewness