Jon Danielsson : Citation Profile


Are you Jon Danielsson?

London School of Economics (LSE)

17

H index

23

i10 index

979

Citations

RESEARCH PRODUCTION:

33

Articles

52

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1993 - 2016). See details.
   Cites by year: 42
   Journals where Jon Danielsson has often published
   Relations with other researchers
   Recent citing documents: 82.    Total self citations: 21 (2.1 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pda10
   Updated: 2018-06-16    RAS profile: 2017-05-04    
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Relations with other researchers


Works with:

Maillet, Bertrand (5)

de Vries, Casper (2)

Zhou, Chen (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)

McAleer, Michael (16)

Koopman, Siem Jan (16)

BORIO, Claudio (15)

Gambacorta, Leonardo (15)

cotter, john (14)

Ruiz, Esther (13)

Andersen, Torben (12)

Diebold, Francis (12)

Hafner, Christian (10)

Altunbas, Yener (10)

Cites to:

Engle, Robert (19)

Shin, Hyun Song (16)

Bollerslev, Tim (16)

Shleifer, Andrei (15)

de Vries, Casper (15)

Zigrand, Jean-Pierre (13)

Hurlin, Christophe (10)

Summers, Lawrence (9)

Diebold, Francis (8)

Grossman, Sanford (8)

Brunnermeier, Markus (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
The European Journal of Finance2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute6
Post-Print / HAL3
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Jon Danielsson (2018 and 2017)


YearTitle of citing document
2017The Emergence of Macroprudential Bank Regulation: A Review. (2017). Mer, Katalin . In: Acta Oeconomica. RePEc:aka:aoecon:v:67:y:2017:i:3:p:289-309.

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2018INFLATION AND INFLATION UNCERTAINTY IN LATIN AMERICA: A TIME-VARYING STOCHASTIC VOLATILITY IN MEAN APPROACH. (2018). Ferreira, Diego ; Palma, Andreza Aparecida. In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:125.

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2017A Novel Approach to Quantification of Model Risk for Practitioners. (2017). Krajcovicova, Zuzana ; Vazquez, Carlos ; Perez-Velasco, Pedro Pablo . In: Papers. RePEc:arx:papers:1705.05572.

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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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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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2018When panic makes you blind: a chaotic route to systemic risk. (2018). Mazzarisi, Piero ; Marmi, Stefano ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1805.00785.

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2017Capital inflows, crisis and recovery in small open economies. (2017). Kinsella, Stephen ; Zoega, Gylfi ; Raza, Hamid. In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1709.

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2017International financial flows and the risk-taking channel. (2017). Natoli, Filippo ; Cova, Pietro . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1152_17.

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2017The Rise, Fall, and Resurrection of Iceland: A Postmortem Analysis of the 2008 Financial Crisis. (2017). Benediktsdottir, Sigriur ; Orarinsson, Eggert ; Eggertsson, Gauti Bergoruson. In: Brookings Papers on Economic Activity. RePEc:bin:bpeajo:v:48:y:2017:i:2017-02:p:191-308.

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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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2017Model Uncertainty Effect on Asset Prices. (2017). Tian, Weidong ; Jiang, Junya. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:205-233.

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2017Are Determinants of Portfolio Flows Always the Same? - South African Results from a Time Varying Parameter Var Model. (2017). Viegi, Nicola ; Kavli, Haakon . In: South African Journal of Economics. RePEc:bla:sajeco:v:85:y:2017:i:1:p:3-27.

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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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2018How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device. (2018). Cronin, David ; Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:4/rt/18.

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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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2018Financial Bubbles in Interbank Lending. (2018). Schuler, Tobias ; Corrado, Luisa. In: ifo Working Paper Series. RePEc:ces:ifowps:_260.

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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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2018An urgent call to get better prepared for unexpected events. (2018). Spaanderman, Jurgen. In: DNB Occasional Studies. RePEc:dnb:dnbocs:1602.

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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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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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2018Computing near-optimal Value-at-Risk portfolios using integer programming techniques. (2018). Babat, Onur ; Zuluaga, Luis F ; Vera, Juan C. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:304-315.

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

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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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2018A note on Guo and Xiaos (2016) results on monotonic functions of the Sharpe ratio. (2018). Auer, Benjamin R. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:289-290.

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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). Cocozza, Rosa ; Gianfrancesco, Igor ; Curcio, Domenico ; Cerrone, Rosaria . In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:126-138.

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2017The value of bank capital buffers in maintaining financial system resilience. (2017). Bui, Christina ; Wu, Eliza ; Scheule, Harald. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:23-40.

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2018Measuring systemic risk across financial market infrastructures. (2018). Li, Fu Chun ; Perez-Saiz, Hector. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:1-11.

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

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2018Macroprudential policy and bank risk. (2018). Gambacorta, Leonardo ; Binici, Mahir ; Altunbas, Yener. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:203-220.

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2018Systemic risk and bank size. (2018). Varotto, Simone ; Zhao, Lei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:82:y:2018:i:c:p:45-70.

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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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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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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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2017.

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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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2018The volatility effect on precious metals prices in a stochastic volatility in mean model with time-varying parameters. (2018). Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: Working Papers. RePEc:emu:wpaper:15-34.pdf.

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2018On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474.

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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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2017Forward-looking and Incentive-compatible Operational Risk Capital Framework. (2017). Migueis, Marco. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-87.

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2017Market Risk, Non-parametric Methods: Hong-Kong Case. (2017). Pareja Vasseur, Julian ; Valencia, Santiago Zapata ; Ceron, Juan Giraldo. In: Economía Coyuntural,Revista de temas de perspectivas y coyuntura. RePEc:grm:ecoyun:201716.

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2018On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2018). de Peretti, Christian ; Sabkha, Saker . In: Working Papers. RePEc:hal:wpaper:hal-01710398.

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2017Using Expected Shortfall for Credit Risk Regulation. (2017). Osmundsen, Kjartan Kloster . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2017_004.

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

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2017Nordic Lessons from Exchange Rate Regimes. (2017). Zoega, Gylfi. In: Atlantic Economic Journal. RePEc:kap:atlecj:v:45:y:2017:i:4:d:10.1007_s11293-017-9555-5.

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2018Financial statements based bank risk aggregation. (2018). Li, Jianping ; Wu, Dengsheng ; Zhu, Xiaoqian ; Lee, Cheng-Few ; Wei, LU. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0642-0.

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2018How accurate are modern Value-at-Risk estimators derived from extreme value theory?. (2018). Mogel, Benjamin ; Auer, Benjamin R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0652-y.

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2017Identification of Structural Vector Autoregressions by Stochastic Volatility. (2017). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1711.

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2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1803.

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2017A likviditás és a permanens árhatás szerepe a portfólióértékelésben. (2017). Hever, Judit. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1702.

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2017The Rise, the Fall, and the Resurrection of Iceland. (2017). Eggertsson, Gauti ; Orarinsson, Eggert ; Benediktsdottir, Sigriur. In: NBER Working Papers. RePEc:nbr:nberwo:24005.

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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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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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2018Financial Bubbles in Interbank Lending. (2018). Schuler, Tobias ; Corrado, Luisa. In: CEIS Research Paper. RePEc:rtv:ceisrp:427.

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2017Minimizing value-at-risk in single-machine scheduling. (2017). Atakan, Semih ; Noyan, Nilay ; Bulbul, Kerem. In: Annals of Operations Research. RePEc:spr:annopr:v:248:y:2017:i:1:d:10.1007_s10479-016-2251-z.

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2017Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

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2018The sovereign money initiative in Switzerland: an economic assessment. (2018). Bacchetta, Philippe. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:154:y:2018:i:1:d:10.1186_s41937-017-0010-y.

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2018Test for the existence of finite moments via bootstrap. (2018). Ng, Wai Leong ; Yau, Chun Yip. In: Journal of Nonparametric Statistics. RePEc:taf:gnstxx:v:30:y:2018:i:1:p:28-48.

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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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2018Single Stock Call Options as Lottery Tickets - Overpricing and Investor Sentiment. (2018). Stork, Philip ; Kräussl, Roman ; Kraussl, Roman ; Felix, Luiz . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160022.

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2018Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction. (2018). Li, Mengheng ; Koopman, Siem Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180027.

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2017LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS. (2017). Wagalath, Lakshithe. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500017.

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2017GLOBAL FINANCIAL INTEGRATION AND CENTRAL BANK POLICIES IN SMALL, OPEN ECONOMIES. (2017). Gudmundsson, Mar . In: The Singapore Economic Review (SER). RePEc:wsi:serxxx:v:62:y:2017:i:01:n:s0217590817400069.

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

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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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article20
1998Value-at-Risk and Extreme Returns.(1998) In: Tinbergen Institute Discussion Papers.
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2012Endogenous Extreme Events and the Dual Role of Prices In: Annual Review of Economics.
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article2
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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2009On the efficacy of financial regulations. In: Financial Stability Review.
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2011Lessons from a collapse of a financial system In: Economic Policy.
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article23
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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2015Why risk is so hard to measure.(2015) In: LSE Research Online Documents on Economics.
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2006Comparing downside risk measures for heavy tailed distributions In: Economics Letters.
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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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article23
1994Stochastic volatility in asset prices estimation with simulated maximum likelihood In: Journal of Econometrics.
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article118
1998Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models In: Journal of Empirical Finance.
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article37
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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2014Model Risk of Risk Models.(2014) In: Finance and Economics Discussion Series.
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2008Blame the models In: Journal of Financial Stability.
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article8
2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
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article23
2002The emperor has no clothes: Limits to risk modelling In: Journal of Banking & Finance.
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article38
2000The Emperor has no Clothes: Limits to Risk Modelling.(2000) In: FMG Special Papers.
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2002Incentives for effective risk management In: Journal of Banking & Finance.
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2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation In: Journal of Multivariate Analysis.
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2001What happens when you regulate risk?: evidence from a simple equilibrium model In: LSE Research Online Documents on Economics.
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2001Asset Price Dynamics with Value-at-Risk Constrained Traders In: FMG Discussion Papers.
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