Jon Danielsson : Citation Profile


Are you Jon Danielsson?

London School of Economics (LSE)

17

H index

22

i10 index

911

Citations

RESEARCH PRODUCTION:

33

Articles

50

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1993 - 2016). See details.
   Cites by year: 39
   Journals where Jon Danielsson has often published
   Relations with other researchers
   Recent citing documents: 87.    Total self citations: 21 (2.25 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda10
   Updated: 2017-11-18    RAS profile: 2017-05-04    
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Relations with other researchers


Works with:

Maillet, Bertrand (4)

Zhou, Chen (2)

Payne, Richard (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jon Danielsson.

Is cited by:

Asai, Manabu (19)

Koopman, Siem Jan (16)

McAleer, Michael (16)

BORIO, Claudio (15)

Gambacorta, Leonardo (14)

cotter, john (14)

Ruiz, Esther (13)

Diebold, Francis (12)

Andersen, Torben (12)

Hafner, Christian (9)

Lucas, Andre (9)

Cites to:

Engle, Robert (19)

Shin, Hyun Song (16)

Bollerslev, Tim (16)

Shleifer, Andrei (15)

de Vries, Casper (14)

Zigrand, Jean-Pierre (13)

Hurlin, Christophe (10)

Summers, Lawrence (9)

Grossman, Sanford (8)

Diebold, Francis (8)

Morris, Stephen (7)

Main data


Where Jon Danielsson has published?


Journals with more than one article published# docs
Journal of Banking & Finance5
Journal of Financial Stability3
Financial Stability Review2
Journal of Econometrics2
The European Journal of Finance2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute6
Post-Print / HAL2

Recent works citing Jon Danielsson (2017 and 2016)


YearTitle of citing document
2016Shortfall Deviation Risk: An alternative to risk measurement. (2016). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio . In: Papers. RePEc:arx:papers:1501.02007.

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2016New class of distortion risk measures and their tail asymptotics with emphasis on VaR. (2016). Yin, Chuancun . In: Papers. RePEc:arx:papers:1503.08586.

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2017A risk measure that optimally balances capital determination errors. (2017). Righi, Marcelo Brutti . In: Papers. RePEc:arx:papers:1707.09829.

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2016Leverage and risk weighted capital requirements. (2016). Karmakar, Sudipto ; Gambacorta, Leonardo. In: BIS Working Papers. RePEc:bis:biswps:586.

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2017Market volatility, monetary policy and the term premium. (2017). Mohanty, Madhusudan ; Mallick, Sushanta ; Zampolli, Fabrizio . In: BIS Working Papers. RePEc:bis:biswps:606.

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2017Macroprudential policy and bank risk. (2017). Gambacorta, Leonardo ; Binici, Mahir ; Altunbas, Yener . In: BIS Working Papers. RePEc:bis:biswps:646.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2016How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?. (2016). Auer, Benjamin R ; Mogel, Benjamin . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6288.

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2017Financial Stability in Europe: Banking and Sovereign Risk. (2017). Kočenda, Evžen ; Bruha, Jan ; Kocenda, Even . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6453.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016Leverage and Risk Weighted Capital Requirements. (2016). Karmakar, Sudipto ; Gambacorta, Leonardo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11567.

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2016Macroeconomics and Consumption. (2016). muellbauer, john. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11588.

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2017Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?. (2017). Gehrig, Thomas ; Iannino, Maria Chiara . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11920.

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2017Macroprudential policy and bank risk. (2017). Gambacorta, Leonardo ; Binici, Mahir ; Altunbas, Yener . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12138.

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2016The limits of model-based regulation. (2016). Haselmann, Rainer ; Vig, Vikrant ; Behn, Markus . In: Working Paper Series. RePEc:ecb:ecbwps:20161928.

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2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach. (2016). Palm, Franz ; Laurent, Sébastien ; Lecourt, Christelle . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:383-400.

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2017Impact of value-at-risk models on market stability. (2017). Llacay, Barbara ; Peffer, Gilbert. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:223-256.

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2017Portfolio diversification and systemic risk in interbank networks. (2017). Tasca, Paolo ; Deghi, Andrea ; Battiston, Stefano. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:96-124.

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2016A novel jump diffusion model based on SGT distribution and its applications. (2016). Xu, Weijun ; Li, Hongyi ; Liu, Guifang . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:74-92.

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2016GARCH models, tail indexes and error distributions: An empirical investigation. (2016). Sopov, Boril ; Horvath, Roman. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:1-15.

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2016Forecasting the term structure of volatility of crude oil price changes. (2016). Balaban, Ercan ; Lu, Shan . In: Economics Letters. RePEc:eee:ecolet:v:141:y:2016:i:c:p:116-118.

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2016Conditional Value-at-Risk: Semiparametric estimation and inference. (2016). Wang, Chuan-Sheng ; Zhao, Zhibiao . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:86-103.

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2017Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111.

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2017Mean-VaR portfolio optimization: A nonparametric approach. (2017). Lwin, Khin T ; MacCarthy, Bart L ; Qu, Rong . In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:2:p:751-766.

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2017An improved method for forecasting spare parts demand using extreme value theory. (2017). Dekker, Rommert ; Koning, Alex J ; Renjie, Rex Wang ; van Jaarsveld, Willem ; Zhu, Sha . In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:1:p:169-181.

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2016The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes. (2016). Bouri, Elie ; Awartani, Basel ; Maghyereh, Aktham I. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:78-93.

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2017Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Charles, Amelie ; Darne, Olivier . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

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2016Validation of default probability models: A stress testing approach. (2016). Arismendi Zambrano, Juan ; Tsukahara, Fabio Yasuhiro ; Sobreiro, Vinicius Amorim ; Kimura, Herbert . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:70-85.

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2017Value-at-Risk estimation with stochastic interest rate models for option-bond portfolios. (2017). Wang, Xiao Yu ; He, Jia ; Wu, Xiaoxia ; Jiang, Jingjing ; Xie, Dejun . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:10-20.

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2017Robust multivairiate extreme value at risk allocation. (2017). Belbachir, M ; Belhajjam, A ; el Ouardirhi, S. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:1-11.

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2016Does it help firms to secretly pay for stock promoters?. (2016). Massoud, Nadia ; Scholnick, Barry ; Ullah, Saif . In: Journal of Financial Stability. RePEc:eee:finsta:v:26:y:2016:i:c:p:45-61.

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2016Taming the Basel leverage cycle. (2016). Aymanns, Christoph ; Vincent, ; Farmer, Doyne J ; Caccioli, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:27:y:2016:i:c:p:263-277.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017Does prudential regulation contribute to effective measurement and management of interest rate risk? Evidence from Italian banks. (2017). Cerrone, Rosaria ; Gianfrancesco, Igor ; Curcio, Domenico ; Cocozza, Rosa . In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:126-138.

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2017Haezendonck–Goovaerts risk measure with a heavy tailed loss. (2017). Liu, Qing ; Wang, Xing ; Peng, Liang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:28-47.

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2016Liquidity risk contagion in the interbank market. (2016). Eross, Andrea ; Wolfe, Simon ; Urquhart, Andrew. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:45:y:2016:i:c:p:142-155.

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2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:958-969.

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2017Option pricing under time-varying risk-aversion with applications to risk forecasting. (2017). Kiesel, Rudiger ; Rahe, Florentin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:120-138.

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2017An analysis of the consistency of banks’ internal ratings. (2017). Koziol, Philipp ; Berg, Tobias . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:27-41.

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2017An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Brien, James O ; Szersze, Pawe J ; Obrien, James . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:215-234.

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2017Risk evaluations with robust approximate factor models. (2017). Chou, Ray Yeutien ; Yen, Yu-Min . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:244-264.

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2017Order flow and exchange rate comovement. (2017). Kleinbrod, Vincent M ; Li, Xiao-Ming . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:199-215.

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2016On the estimation of the functional Weibull tail-coefficient. (2016). Gardes, Laurent ; Girard, Stephane. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:146:y:2016:i:c:p:29-45.

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2017Timing liquidity in the foreign exchange market: Did hedge funds do it?. (2017). Luo, JI ; Li, Baibing ; Tee, Kai-Hong . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:40:y:2017:i:c:p:47-62.

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2016Regime switching model for financial data: Empirical risk analysis. (2016). Salhi, Khaled ; Lejay, Antoine ; Navet, Nicolas ; Deaconu, Madalina. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:461:y:2016:i:c:p:148-157.

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2016Systemic risk and heterogeneous leverage in banking networks. (2016). Saltoğlu, Burak ; Kuzubas, Tolga ; Saltolu, Burak ; Sever, Can . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:358-375.

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2017The evolution of risk and bailout strategy in banking systems. (2017). Brede, Markus ; McGroarty, Frank ; de Caux, Robert . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:109-118.

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2017Overnight returns of stock indexes: Evidence from ETFs and futures. (2017). Liu, Qingfu ; Tse, Yiuman . In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:440-451.

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2017An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98.

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2016Does stock exchange consolidation improve market liquidity? A study of stock exchange acquisition in Russia. (2016). Teplova, Tamara V ; Rodina, Victoria A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:375-390.

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2017Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH. (2017). Vortelinos, Dimitrios I. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:824-839.

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2017A non-iterative (trivial) method for posterior inference in stochastic volatility models. (2017). Tsionas, Mike. In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:83-87.

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2016Disaster and fortune risk in asset returns. (2016). Ergun, Lerby M. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:66194.

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2017.

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2016Identifying Drivers of Liquidity in the NBP Month-ahead Market. (2016). Russo, Marianna ; Urga, Giovanni ; de Menezes, Lilian . In: EcoMod2016. RePEc:ekd:009007:9570.

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2017A re-examination of growth and growth uncertainty relationship in a stochastic volatility in mean model with time-varying parameters. (2017). Ozdemir, Zeynel ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-32.pdf.

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2017The nexus between the oil price and its volatility in a stochastic volatility in mean model with time-varying parameters. (2017). Ozdemir, Zeynel ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-33.pdf.

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2016Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study. (2016). Eratalay, Mustafa. In: International Econometric Review (IER). RePEc:erh:journl:v:8:y:2016:i:2:p:19-52.

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2016Regolamentazione bancaria: serve un cambio di approccio. (2016). Ferri, Giovanni. In: ECONOMIA E DIRITTO DEL TERZIARIO. RePEc:fan:ededed:v:html10.3280/ed2016-003003.

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2017The Exchange Rate Effects of Macro News after the Global Financial Crisis. (2017). Yamamoto, Yohei ; Fatum, Rasmus ; Cheung, Yin-Wong. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:305.

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2016On the scale of financial intermediaries. (2016). Shin, Hyun Song ; Boyarchenko, Nina ; Adrian, Tobias. In: Staff Reports. RePEc:fip:fednsr:743.

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2016Global variance term premia and intermediary risk appetite. (2016). Vogt, Erik ; Van Tassel, Peter. In: Staff Reports. RePEc:fip:fednsr:789.

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2016Foreign exchange investment rules and endogenous currency crashes. (2016). Raffestin, Louis. In: Working Papers. RePEc:hal:wpaper:hal-01277113.

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2016Financial Soundness Indicator, Financial Cycle, Credit Cycle and Business Cycle£­Evidence from Taiwan. (2016). Chang, Yuan . In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:8:y:2016:i:4:p:166-182.

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2016The long history of financial boom-bust cycles in Iceland - Part II: Financial cycles. (2016). Pétursson, Thórarinn ; Ólafsson, Thorvardur ; Einarsson, Bjarni ; Petursson, Thorarinn G ; Olafsson, Thorvardur Tjorvi ; Gunnlaugsson, Kristofer . In: Economics. RePEc:ice:wpaper:wp72.

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2016Small open economies in the vast oceanof global high finance. (2016). Pétursson, Thórarinn ; Einarsson, Bjarni ; Petursson, Thorarinn G ; Olafsson, Thorvardur Tjorvi ; Gunnlaugsson, Kristofer . In: Economics. RePEc:ice:wpaper:wp73.

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2016Fedspeak: Who Moves U.S. Asset Prices?. (2016). Rosa, Carlo . In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2016:q:4:a:6.

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2017Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise. (2017). Pederzoli, Chiara ; Torricelli, Costanza . In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0294-z.

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2016Responding to Capital Flows in a Very Small Economy. (2016). Zoega, Gylfi . In: Atlantic Economic Journal. RePEc:kap:atlecj:v:44:y:2016:i:2:d:10.1007_s11293-016-9497-3.

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2016Endogenous transactions costs and institutions in the 2007/08 financial crisis. (2016). Lim, Jamus ; Tan, Terence . In: Journal of Regulatory Economics. RePEc:kap:regeco:v:49:y:2016:i:1:d:10.1007_s11149-015-9282-2.

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2016Measuring sovereign credit risk using a structural model approach. (2016). Lee, Han-Hsing ; Wang, Kehluh ; Shih, Kuanyu . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:47:y:2016:i:4:d:10.1007_s11156-015-0532-2.

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2016Multinational banks: Supranational resolution regimes and the importance of capital regulation. (2016). Maier, Ulf . In: Discussion Papers in Economics. RePEc:lmu:muenec:29630.

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2016Macroeconomics and Consumption. (2016). muellbauer, john. In: Economics Series Working Papers. RePEc:oxf:wpaper:paper-811.

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2017Does Financial Tranquility Call for More Stringent Regulation?. (2017). Basak, Deepal ; Zhao, Yunhui ; Murray, Alexander . In: MPRA Paper. RePEc:pra:mprapa:81373.

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2016Leverage and Risk Weighted Capital Requirements. (2016). Karmakar, Sudipto ; Gambacorta, Leonardo. In: Working Papers. RePEc:ptu:wpaper:w201616.

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2017Global Variance Term Premia and Intermediary Risk Appetite. (2017). van Tassel, Peter . In: 2017 Meeting Papers. RePEc:red:sed017:149.

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2017Measuring Financial Cycle Length and Assessing Synchronization using Wavelets. (2017). Altr, Mois ; Barnea, Dinu ; Kubinschi, Matei . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2017:i:3:p:18-36.

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2016Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. (2016). Zhou, Chen ; Mercadier, Cecile ; Haan, Laurens . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-015-0287-6.

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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

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2017Single Stock Call Options as Lottery Tickets - Overpricing and Investor Sentiment. (2017). Stork, Philip ; Kräussl, Roman ; Kraussl, Roman ; Felix, Luiz . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160022.

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2017M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements. (2017). Tente, Natalia ; Slopek, Ulf ; von Westernhagen, Natalja . In: Discussion Papers. RePEc:zbw:bubdps:152017.

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2016The determinants of CDS spreads: Evidence from the model space. (2016). Pelster, Matthias ; Vilsmeier, Johannes . In: Discussion Papers. RePEc:zbw:bubdps:432016.

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2017Single stock call options as lottery tickets. (2017). Stork, Philip ; Kräussl, Roman ; Kraussl, Roman ; Felix, Luiz . In: CFS Working Paper Series. RePEc:zbw:cfswop:566.

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2016Systemic risk: Time-lags and persistence. (2016). Kubitza, Christian ; Grundl, Helmut. In: ICIR Working Paper Series. RePEc:zbw:icirwp:2016.

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2016A double-edged sword: High interest rates in capital control regimes. (2016). Zoega, Gylfi . In: Economics Discussion Papers. RePEc:zbw:ifwedp:20163.

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2016Incentive-based capital requirements. (2016). Eufinger, Christian ; Gill, Andrej . In: SAFE Working Paper Series. RePEc:zbw:safewp:9r.

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Works by Jon Danielsson:


YearTitleTypeCited
2000Value-at-Risk and Extreme Returns In: Annals of Economics and Statistics.
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article17
1998Value-at-Risk and Extreme Returns.(1998) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 17
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2012Endogenous Extreme Events and the Dual Role of Prices In: Annual Review of Economics.
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article1
2015Designating market maker behaviour in Limit Order Book markets In: Papers.
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1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
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article2
2007Regulating hedge funds. In: Financial Stability Review.
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article0
2009On the efficacy of financial regulations. In: Financial Stability Review.
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article0
2011Lessons from a collapse of a financial system In: Economic Policy.
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article17
1996Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2016Why risk is so hard to measure In: DNB Working Papers.
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paper1
2015Why risk is so hard to measure.(2015) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 1
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2006Comparing downside risk measures for heavy tailed distributions In: Economics Letters.
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article14
2005Comparing downside risk measures for heavy tailed distribution.(2005) In: LSE Research Online Documents on Economics.
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2005Comparing Downside Risk Measures for Heavy Tailed Distributions.(2005) In: FMG Discussion Papers.
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2013Fat tails, VaR and subadditivity In: Journal of Econometrics.
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article18
1994Stochastic volatility in asset prices estimation with simulated maximum likelihood In: Journal of Econometrics.
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article114
1998Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models In: Journal of Empirical Finance.
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article34
2005Highwaymen or heroes: Should hedge funds be regulated?: A survey In: Journal of Financial Stability.
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article5
2016Model risk of risk models In: Journal of Financial Stability.
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article6
2014Model risk of risk models.(2014) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 6
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2014Model Risk of Risk Models.(2014) In: Finance and Economics Discussion Series.
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