Jon Danielsson : Citation Profile


Are you Jon Danielsson?

London School of Economics (LSE)

17

H index

25

i10 index

1042

Citations

RESEARCH PRODUCTION:

33

Articles

52

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1993 - 2016). See details.
   Cites by year: 45
   Journals where Jon Danielsson has often published
   Relations with other researchers
   Recent citing documents: 118.    Total self citations: 21 (1.98 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pda10
   Updated: 2018-12-08    RAS profile: 2017-05-04    
   Missing citations? Add them    Incorrect content? Let us know

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 (21)

Koopman, Siem Jan (18)

McAleer, Michael (17)

Gambacorta, Leonardo (15)

BORIO, Claudio (15)

cotter, john (14)

Ruiz, Esther (13)

Diebold, Francis (12)

Andersen, Torben (12)

Adrian, Tobias (10)

Hafner, Christian (10)

Cites to:

Engle, Robert (19)

Shin, Hyun Song (16)

Bollerslev, Tim (16)

de Vries, Casper (15)

Shleifer, Andrei (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
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 / HAL3
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (US)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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018A robust approach for minimization of risk measurement errors. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018A theory for combinations of risk measures. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

Full description at Econpapers || Download paper

2018A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach. (2018). Santos, T R. In: Papers. RePEc:arx:papers:1809.01489.

Full description at Econpapers || Download paper

2018Robustness in the Optimization of Risk Measures. (2018). Embrechts, Paul ; Wang, Ruodu ; Schied, Alexander. In: Papers. RePEc:arx:papers:1809.09268.

Full description at Econpapers || Download paper

2018Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Feng, YU ; Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph. In: Papers. RePEc:arx:papers:1810.09112.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Testing the systemic risk differences in banks. (2018). Jokivuolle, Esa ; Vioto, Davide ; Tunaru, Radu. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_013.

Full description at Econpapers || Download paper

2018Did the Basel process of capital regulation enhance the resiliency of European Banks?. (2018). Gehrig, Thomas ; Iannino, Maria Chiara . In: Research Discussion Papers. RePEc:bof:bofrdp:2018_016.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018The effect of accommodative monetary policy on the risk weights applied by domestic banks. (2018). Malovana, Simona ; Broz, Vaclav ; Kolcunova, Dominika. In: Occasional Publications - Chapters in Edited Volumes. RePEc:cnb:ocpubc:fsr1718/2.

Full description at Econpapers || Download paper

2018A Profit-to-Provisioning Approach to Setting the Countercyclical Capital Buffer: The Czech Example. (2018). Hodula, Martin ; Pfeifer, Lukas. In: Working Papers. RePEc:cnb:wpaper:2018/5.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017The two faces of interbank correlation. (2017). Wagner, Wolf ; Silva Buston, Consuelo ; Schaeck, Klaus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12363.

Full description at Econpapers || Download paper

2017Risk Management and Regulation. (2017). Adrian, Tobias. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12422.

Full description at Econpapers || Download paper

2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Testing extreme dependence in financial time series. (2018). Chaudhuri, Kausik ; Tan, Zheng ; Sen, Rituparna. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:378-394.

Full description at Econpapers || Download paper

2018Extremal quantile regressions for selection models and the black–white wage gap. (2018). Maurel, Arnaud ; D'Haultfoeuille, Xavier ; Zhang, Yichong ; Dhaultfuille, Xavier . In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:129-142.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. (2018). Wang, Jying-Nan ; Hsu, Yuan-Teng ; Du, Jiangze . In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:120-138.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Forecasting bank failures and stress testing: A machine learning approach. (2018). Gogas, Periklis ; Agrapetidou, Anna ; Papadimitriou, Theophilos. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:440-455.

Full description at Econpapers || Download paper

2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Point process models for extreme returns: Harnessing implied volatility. (2018). Herrera, Rodrigo ; Clements, Adam. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:161-175.

Full description at Econpapers || Download paper

2018Credit risk in European banks: The bright side of the internal ratings based approach. (2018). Cucinelli, Doriana ; Nieri, Laura ; marchese, malvina ; di Battista, Maria Luisa . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:213-229.

Full description at Econpapers || Download paper

2018A clustering approach and a rule of thumb for risk aggregation. (2018). Marta, F ; Puccetti, Giovanni ; Giammusso, Davide. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:236-248.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Optimal threshold for Pareto tail modelling in the presence of outliers. (2018). Mohd, Muhammad Aslam ; Ibrahim, Kamarulzaman ; Masseran, Nurulkamal . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:169-180.

Full description at Econpapers || Download paper

2018A return spillover network perspective analysis of Chinese financial institutions’ systemic importance. (2018). Huang, Wei-qiang ; Wang, Dan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:405-421.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018The dependence structure between Chinese and other major stock markets using extreme values and copulas. (2018). Hussain, Saiful Izzuan ; Li, Steven. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:421-437.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017.

Full description at Econpapers || Download paper

2018Icelandic Liberalism and Its Critics: A Rejoinder to Stefan Olafsson. (2018). Gissurarson, Hannes H. In: Econ Journal Watch. RePEc:ejw:journl:v:15:y:2018:i:3:p:322-350.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Forward-looking and Incentive-compatible Operational Risk Capital Framework. (2018). Migueis, Marco. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-87.

Full description at Econpapers || Download paper

2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Measurement of the displaced commercial risk in Islamic Banks. (2018). Toumi, Kaouther ; Chayeh, Zeinab ; Viviani, Jean-Laurent. In: Post-Print. RePEc:hal:journl:halshs-01806496.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Predicting risk with risk measures : an empirical study. (2018). Dacorogna, Michel ; Kratz, Marie ; Brautigam, Marcel . In: Working Papers. RePEc:hal:wpaper:hal-01791026.

Full description at Econpapers || Download paper

2018Backtesting Expected Shortfall via Multi-Quantile Regression. (2018). Couperier, Ophelie ; Leymarie, Jeremy . In: Working Papers. RePEc:hal:wpaper:halshs-01909375.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018A kockázatalapú bankszabályozás előretörése és visszaszorulása - az ösztönzési struktúrák szerepe. (2018). Mer, Katalin. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1797.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Spoofing and Pinging in Foreign Exchange Markets. (2018). Stenfors, Alexis ; Susai, Masayuki. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2018-05.

Full description at Econpapers || Download paper

2017 Precio internacional de los metales y riesgo de mercado en la Bolsa de Valores de Lima. (2017). Zevallos, Mauricio ; Abbara, Omar ; Del Carpio, Carlos ; Villarreal, Fernanda. In: Revista Economía. RePEc:pcp:pucrev:y:2017:i:79:p:87-104.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Jon Danielsson:


YearTitleTypeCited
2000Value-at-Risk and Extreme Returns In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article22
1998Value-at-Risk and Extreme Returns.(1998) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2012Endogenous Extreme Events and the Dual Role of Prices In: Annual Review of Economics.
[Full Text][Citation analysis]
article2
2015Designating market maker behaviour in Limit Order Book markets In: Papers.
[Full Text][Citation analysis]
paper0
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article2
2007Regulating hedge funds. In: Financial Stability Review.
[Full Text][Citation analysis]
article0
2009On the efficacy of financial regulations. In: Financial Stability Review.
[Full Text][Citation analysis]
article0
2011Lessons from a collapse of a financial system In: Economic Policy.
[Citation analysis]
article25
1996Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article0
2016Why risk is so hard to measure In: DNB Working Papers.
[Full Text][Citation analysis]
paper4
2015Why risk is so hard to measure.(2015) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2006Comparing downside risk measures for heavy tailed distributions In: Economics Letters.
[Full Text][Citation analysis]
article16
2005Comparing downside risk measures for heavy tailed distribution.(2005) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2005Comparing Downside Risk Measures for Heavy Tailed Distributions.(2005) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2013Fat tails, VaR and subadditivity In: Journal of Econometrics.
[Full Text][Citation analysis]
article23
1994Stochastic volatility in asset prices estimation with simulated maximum likelihood In: Journal of Econometrics.
[Full Text][Citation analysis]
article128
1998Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article37
2005Highwaymen or heroes: Should hedge funds be regulated?: A survey In: Journal of Financial Stability.
[Full Text][Citation analysis]
article5
2016Model risk of risk models In: Journal of Financial Stability.
[Full Text][Citation analysis]
article15
2014Model risk of risk models.(2014) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2014Model Risk of Risk Models.(2014) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2008Blame the models In: Journal of Financial Stability.
[Full Text][Citation analysis]
article8
2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
[Full Text][Citation analysis]
article24
2002The emperor has no clothes: Limits to risk modelling In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article41
2000The Emperor has no Clothes: Limits to Risk Modelling.(2000) In: FMG Special Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
2002Incentives for effective risk management In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article10
2001Incentives for Effective Risk Management.(2001) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2004The impact of risk regulation on price dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article79
2004The impact of risk regulation on price dynamics.(2004) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79
paper
2006On time-scaling of risk and the square-root-of-time rule In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article34
2003On time-scaling of risk and the square–root–of–time rule.(2003) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
paper
2003On time-scaling of risk and the square–root–of–time rule.(2003) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
paper
2014Risk models-at-risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article15
2013Risk models–at–risk.(2013) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2014Risk models-at-risk.(2014) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 15
paper
2014Risk model-at-risk.(2014) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 15
paper
2014Risk Model-at-Risk.(2014) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 15
paper
2002Real trading patterns and prices in spot foreign exchange markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article83
1999Real Trading Patterns and Prices in Spot Foreign Exchange Markets.(1999) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 83
paper
2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article48
2000Using a bootstrap method to choose the sample fraction in tail index estimation.(2000) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
paper
1997Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation.(1997) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
paper
2007On the impact of fundamentals, liquidity and coordination on market stability In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper2
2007On the Impact of Fundamentals, Liquidity and Coordination on Market Stability.(2007) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2011ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY.(2011) In: International Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2010On the impact of fundamentals, liquidity and coordination on market stability.(2010) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2006Equilibrium asset pricing with systemic risk In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper14
2008Equilibrium asset pricing with systemic risk.(2008) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2006Equilibrium Asset Pricing with Systemic Risk.(2006) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2008Equilibrium asset pricing with systemic risk.(2008) In: Economic Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
article
2006Consistent measures of risk In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper2
2006Consistent Measures of Risk.(2006) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2005Subadditivity re–examined: the case for value-at-risk In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper33
2005Subadditivity Re–Examined: the Case for Value-at-Risk.(2005) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
paper
2004Feedback trading In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper0
2004Highwaymen or heroes: should hedge funds be regulated? In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper2
2003Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper9
2003Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis.(2003) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2001What happens when you regulate risk?: evidence from a simple equilibrium model In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper16
2001What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model.(2001) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2011Balance sheet capacity and endogenous risk In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper28
2011Balance Sheet Capacity and Endogenous Risk.(2011) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
paper
2015Can we prove a bank guilty of creating systemic risk?: a minority report In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper7
2016Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report.(2016) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2016Learning from history: volatility and financial crises In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper1
2016Learning from History : Volatility and Financial Crises.(2016) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2016Tail index estimation: quantile driven threshold selection In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
paper1
1998The value of value at risk: statistical, financial, and regulatory considerations (summary) In: Economic Policy Review.
[Full Text][Citation analysis]
article0
1997Extreme Returns, Tail Estimation, and Value-at-Risk In: FMG Discussion Papers.
[Full Text][Citation analysis]
paper5
1998Beyond the Sample: Extreme Quantile and Probability Estimation In: FMG Discussion Papers.
[Full Text][Citation analysis]
paper29
1998Beyond the Sample: Extreme Quantile and Probability Estimation.(1998) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2001Asset Price Dynamics with Value-at-Risk Constrained Traders In: FMG Discussion Papers.
[Full Text][Citation analysis]
paper9
2004(IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated? In: FMG Discussion Papers.
[Full Text][Citation analysis]
paper0
2010Risk Appetite and Endogenous Risk In: FMG Discussion Papers.
[Full Text][Citation analysis]
paper26
1998The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor In: FMG Special Papers.
[Full Text][Citation analysis]
paper10
2001An Academic Response to Basel II In: FMG Special Papers.
[Full Text][Citation analysis]
paper114
2006Feedback trading This paper is also available at www.riskresearch.org In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article0
2000Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market In: Monetary and Economic Studies.
[Full Text][Citation analysis]
article15
1993Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article66
2008Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation In: Annals of Finance.
[Full Text][Citation analysis]
article7
2012Endogenous and Systemic Risk In: NBER Chapters.
[Full Text][Citation analysis]
chapter4
2003On the Feasibility of Risk Based Regulation In: CESifo Economic Studies.
[Full Text][Citation analysis]
article7
2012Liquidity determination in an order-driven market In: The European Journal of Finance.
[Full Text][Citation analysis]
article7
2012Exchange rate determination and inter-market order flow effects In: The European Journal of Finance.
[Full Text][Citation analysis]
article6
1998Abnormal Returns, Risk, and Options in Large Data Sets In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2001Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 2th 2018. Contact: CitEc Team