Hugues Langlois

HEC Paris - Finance Department

France

SCHOLARLY PAPERS

10

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Top 12,543

in Total Papers Downloads

3,990

SSRN CITATIONS
Rank 15,535

SSRN RANKINGS

Top 15,535

in Total Papers Citations

36

CROSSREF CITATIONS

23

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 876 (27,765)
Citation 9

Abstract:

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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 839 (29,497)
Citation 31

Abstract:

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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, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, HEC Paris Research Paper No. FIN-2018-1250
Number of pages: 71 Posted: 07 Feb 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 511 (57,037)
Citation 2

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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 492 (59,821)
Citation 15

Abstract:

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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 371 (83,849)
Citation 1

Abstract:

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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 341 (92,327)
Citation 5

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Accounting information; CDS; jumps; market integration

7.

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 227 (141,718)
Citation 2

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Hedging, European Option, American Option, Risk

8.

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 151 (204,399)
Citation 6

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Asymmetry, coskewness, idiosyncratic skewness

9.

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
Number of pages: 68 Posted: 18 Jan 2018 Last Revised: 26 Feb 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 147 (208,997)

Abstract:

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

10.

A New Benchmark for Dynamic Mean-Variance Portfolio Allocations

Number of pages: 48 Posted: 26 Mar 2020 Last Revised: 03 Apr 2020
Hugues Langlois
HEC Paris - Finance Department
Downloads 35 (466,553)

Abstract:

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