Jon Danielsson : Citation Profile


Are you Jon Danielsson?

London School of Economics (LSE)

19

H index

28

i10 index

1182

Citations

RESEARCH PRODUCTION:

35

Articles

65

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   25 years (1993 - 2018). See details.
   Cites by year: 47
   Journals where Jon Danielsson has often published
   Relations with other researchers
   Recent citing documents: 145.    Total self citations: 25 (2.07 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda10
   Updated: 2020-05-16    RAS profile: 2020-03-06    
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Relations with other researchers


Works with:

Maillet, Bertrand (4)

de Vries, Casper (3)

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 (18)

Farmer, J. (17)

cotter, john (16)

Gambacorta, Leonardo (15)

BORIO, Claudio (15)

Ruiz, Esther (14)

Diebold, Francis (12)

Andersen, Torben (12)

Altunbas, Yener (11)

Cites to:

Shin, Hyun Song (20)

Engle, Robert (19)

de Vries, Casper (19)

Bollerslev, Tim (18)

Shleifer, Andrei (15)

Zigrand, Jean-Pierre (13)

Hurlin, Christophe (10)

Summers, Lawrence (9)

Perignon, Christophe (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
The European Journal of Finance2
Journal of Econometrics2
Financial Stability Review2

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
Staff Working Papers / Bank of Canada2

Recent works citing Jon Danielsson (2019 and 2018)


YearTitle of citing document
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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2019On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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

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2020A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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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.

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2019Robustness in the Optimization of Risk Measures. (2019). Wang, Ruodu ; Schied, Alexander ; Embrechts, Paul. In: Papers. RePEc:arx:papers:1809.09268.

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

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2019Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss Functions. (2019). Feng, YU. In: Papers. RePEc:arx:papers:1903.00590.

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2019Price equations with symmetric supply/demand; implications for fat tails. (2019). Caginalp, Carey. In: Papers. RePEc:arx:papers:1904.00267.

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2019Does the leverage effect affect the return distribution?. (2019). Chen, Dangxing. In: Papers. RePEc:arx:papers:1909.08662.

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2019Extreme Downside Risk in Asset Returns. (2019). Ergun, Lerby. In: Staff Working Papers. RePEc:bca:bocawp:19-46.

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2018What Do We Know About the Effects of Macroprudential Policy?. (2018). Moessner, Richhild ; Galati, Gabriele. In: Economica. RePEc:bla:econom:v:85:y:2018:i:340:p:735-770.

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2018What is a market crash?. (2018). le Bris, David. In: Economic History Review. RePEc:bla:ehsrev:v:71:y:2018:i:2:p:480-505.

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2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES. (2018). Veiga, Helena ; Ruiz, Esther ; Gonalves, Joo Henrique . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:388-419.

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2019Back to the real economy: the effects of risk perception shocks on the term premium and bank lending. (2019). Yung, Julieta ; Bluwstein, Kristina. In: Bank of England working papers. RePEc:boe:boeewp:0806.

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

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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.

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2019An Lonn Dubh: A Framework for Macroprudential Stress Testing of Investment Funds. (2019). Fiedor, Paweł ; Katsoulis, Petros. In: Financial Stability Notes. RePEc:cbi:fsnote:2/fs/19.

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2019Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Clancy, Daragh ; Filiani, Pasquale ; Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:11/rt/19.

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

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2018Financial Cycles, Credit Bubbles and Stabilization Policies. (2018). Schuler, Tobias ; Corrado, Luisa. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7422.

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2019Uncertainty Shocks and Financial Crisis Indicators. (2019). Roth, Markus ; Hristov, Nikolay. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7839.

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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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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.

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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.

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2019Data cloning estimation for asymmetric stochastic volatility models. (2019). Veiga, Helena ; de Zea, Patricia ; Marin, Juan Miguel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28214.

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2019The risk-taking channel of international financial flows. (2019). Natoli, Filippo ; Cova, Pietro . In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_015.

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2019A multi-agent methodology to assess the effectiveness of alternative systemic risk adjusted capital requirements. (2019). Gurgone, A ; Iori, G. In: Working Papers. RePEc:cty:dpaper:19/05.

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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.

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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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2019Monetary policy, macroprudential policy, and financial stability. (2019). Repullo, Rafael ; Martinez-Miera, David. In: Working Paper Series. RePEc:ecb:ecbwps:20192297.

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2019Financial cycles, credit bubbles and stabilization policies. (2019). Corrado, Luisa ; Schuler, Tobias. In: Working Paper Series. RePEc:ecb:ecbwps:20192336.

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2019When panic makes you blind: A chaotic route to systemic risk. (2019). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:176-199.

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2019Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR. (2019). Gao, Jianjun ; Cui, Xiangyu ; Li, Duan ; Strub, Moris S. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301502.

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2019A way forward: The future of Irish and European union financial regulation. (2019). Larkin, Charles ; Corbet, Shaen ; Barrett, Sean ; Ahuja, Rishi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:64:y:2019:i:c:p:346-360.

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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.

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2019Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

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2019A brief survey on the choice of parameters for: “Kernel density estimation for time series data”. (2019). Oneill, Robert ; Semeyutin, Artur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304376.

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2019Towards a financial cycle for the U.S., 1973–2014. (2019). Jacobs, Jan ; An, J ; Bezemer, Dirk J ; Rozite, Kristiana . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305643.

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2019Price equations with symmetric supply/demand; implications for fat tails. (2019). Caginalp, Carey. In: Economics Letters. RePEc:eee:ecolet:v:176:y:2019:i:c:p:79-82.

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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.

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2019Mark to market value at risk. (2019). Chen, YU ; Zhang, Zhengjun ; Wang, Zhicheng. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:299-321.

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2018Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77.

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2019Does monetary policy influence banks’ risk weights under the internal ratings-based approach?. (2019). Malovana, Simona ; Bro, Vaclav ; Kolcunova, Dominika. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:2:10.

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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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2019A parsimonious parametric model for generating margin requirements for futures. (2019). Alexander, Carol ; Sumawong, Anannit ; Kaeck, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:1:p:31-43.

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2020Does risk aversion affect bank output loss? The case of the Eurozone. (2020). mamatzakis, emmanuel ; Ongena, Steven ; Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:1127-1145.

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2019One country, two systems? The heavy-tailedness of Chinese A- and H- share markets. (2019). Ibragimov, Rustam ; Chen, Zhimin. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:115-141.

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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.

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2019Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes. (2019). Heni, Boubaker ; Souhir, Ben Amor ; Lotfi, Belkacem. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:635-655.

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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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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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2018Capital inflows, crisis and recovery in small open economies. (2018). Kinsella, Stephen ; Raza, Hamid ; Zoega, Gylfi. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:273-282.

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2019Optimal margin requirement. (2019). Berlinger, Edina ; Illes, Ferenc ; Domotor, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318307165.

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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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2018Using expected shortfall for credit risk regulation. (2018). Osmundsen, Kjartan Kloster . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:80-93.

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2019Margin requirements and systemic liquidity risk. (2019). Bakoush, Mohamed ; Wolfe, Simon ; Gerding, Enrico H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:78-95.

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2019Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data. (2019). Stenfors, Alexis ; Susai, Masayuki. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:59:y:2019:i:c:p:36-57.

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2019Forward-looking asset correlations in the estimation of economic capital. (2019). Novales, Alfonso ; Fonollosa, Alexandre ; Chamizo, Alvaro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:264-288.

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2019Anti-cyclical versus risk-sensitive margin strategies in central clearing. (2019). Dömötör, Barbara ; Berlinger, Edina ; Illes, Ferenc ; Domotor, Barbara. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:117-131.

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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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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.

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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.

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2019Tales from tails: On the empirical distributions of forecasting errors and their implication to risk. (2019). Assimakopoulos, Vassilios ; Nikolopoulos, Konstantinos ; Spiliotis, Evangelos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:687-698.

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2019Forecasting Bitcoin risk measures: A robust approach. (2019). Trucíos, Carlos ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:836-847.

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2019Hedging parameter risk. (2019). Schmelzle, Martin ; Rosch, Daniel ; Claussen, Arndt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:111-121.

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2019Systemic risk and competition revisited. (2019). Silva-Buston, Consuelo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:188-205.

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2019Model risk of expected shortfall. (2019). Zhang, Ning ; Lazar, Emese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:74-93.

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2019An equilibrium model of risk management spillover. (2019). Ye, Zhiqiang ; Qiu, Zhigang ; Jiang, Ying ; Huang, Shiyang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:107:y:2019:i:c:3.

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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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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.

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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.

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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.

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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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2019How effective are sovereign bond-backed securities as a spillover prevention device?. (2019). Dunne, Peter ; Cronin, David. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:96:y:2019:i:c:p:49-66.

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2018An update on speculation and financialization in commodity markets. (2018). Li, Bingxin ; Harris, Jeffrey H ; Boyd, Naomi E. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:10:y:2018:i:c:p:91-104.

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2019Price discovery or noise: The role of arbitrage and speculation in explaining crude oil price behaviour. (2019). Awan, Obaid A. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:16:y:2019:i:c:s2405851318300060.

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2019The nexus between the oil price and its volatility risk in a stochastic volatility in the mean model with time-varying parameters. (2019). Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:572-584.

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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.

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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.

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2019The volatility effect on precious metals price returns in a stochastic volatility in mean model with time-varying parameters. (2019). Ozdemir, Zeynel ; Balcilar, Mehmet. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119313445.

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2019Exploring financial sustainability of SMEs during periods of production growth: A simulation study. (2019). Gold, Stefan ; Schwab, Leila ; Reiner, Gerald. In: International Journal of Production Economics. RePEc:eee:proeco:v:212:y:2019:i:c:p:8-18.

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2019Measurement of the displaced commercial risk in Islamic Banks. (2019). Chayeh, Zeinab ; Viviani, Jean-Laurent ; Toumi, Kaouther. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:74:y:2019:i:c:p:18-31.

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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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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.

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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.

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

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2018Financial frictions and monetary policy conduct. (2018). Paries, Matthieu Darracq. In: Erudite Ph.D Dissertations. RePEc:eru:erudph:ph18-01.

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

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2019Covariance Prediction in Large Portfolio Allocation. (2019). , Andre ; Hotta, Luiz K ; Zevallos, Mauricio ; Trucios, Carlos . In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:2:p:19-:d:229754.

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2019Estimation of Effects of Recent Macroprudential Policies in a Sample of Advanced Open Economies. (2019). Sjberg, Jon Ivar ; Pedersen, Kari ; Nymoen, Ragnar. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2019:i:2:p:23-:d:229303.

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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.

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2019Practice Oriented and Monte Carlo Based Estimation of the Value-at-Risk for Operational Risk Measurement. (2019). Zitikis, Riardas ; Piacenza, Fabio ; Greselin, Francesca. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:50-:d:227534.

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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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2019Measurement of the displaced commercial risk in Islamic Banks. (2018). Chayeh, Zeinab ; Viviani, Jean-Laurent ; Toumi, Kaouther . In: Post-Print. RePEc:hal:journl:halshs-01806496.

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

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2020Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375.

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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.
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article24
1998Value-at-Risk and Extreme Returns.(1998) In: Tinbergen Institute Discussion Papers.
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paper
2012Endogenous Extreme Events and the Dual Role of Prices In: Annual Review of Economics.
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article4
2015Designating market maker behaviour in Limit Order Book markets In: Papers.
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paper1
2018Designating market maker behaviour in limit order book markets.(2018) In: Econometrics and Statistics.
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article
2018Designating market maker behaviour in limit order book markets.(2018) In: LSE Research Online Documents on Economics.
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paper
2018Challenges in Implementing Worst-Case Analysis In: Staff Working Papers.
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paper1
2019Tail Index Estimation: Quantile-Driven Threshold Selection In: Staff Working Papers.
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paper3
2016Tail index estimation: quantile driven threshold selection.(2016) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 3
paper
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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article30
1996Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code In: Studies in Nonlinear Dynamics & Econometrics.
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article0
1996Tail Index and Quantile Estimation with Very High Frequency Data In: CESifo Working Paper Series.
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paper16
2016Why risk is so hard to measure In: DNB Working Papers.
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paper5
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: 5
paper
2006Comparing downside risk measures for heavy tailed distributions In: Economics Letters.
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article16
2005Comparing downside risk measures for heavy tailed distribution.(2005) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 16
paper
2005Comparing Downside Risk Measures for Heavy Tailed Distributions.(2005) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 16
paper
2013Fat tails, VaR and subadditivity In: Journal of Econometrics.
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article29
1994Stochastic volatility in asset prices estimation with simulated maximum likelihood In: Journal of Econometrics.
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article134
1998Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models In: Journal of Empirical Finance.
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article38
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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article23
2014Model risk of risk models.(2014) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 23
paper
2016Model risk of risk models.(2016) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 23
paper
2014Model Risk of Risk Models.(2014) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 23
paper
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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article31
2002The emperor has no clothes: Limits to risk modelling In: Journal of Banking & Finance.
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article46
2000The Emperor has no Clothes: Limits to Risk Modelling.(2000) In: FMG Special Papers.
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This paper has another version. Agregated cites: 46
paper
2002Incentives for effective risk management In: Journal of Banking & Finance.
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article12
2001Incentives for Effective Risk Management.(2001) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 12
paper
2004The impact of risk regulation on price dynamics In: Journal of Banking & Finance.
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article86
2004The impact of risk regulation on price dynamics.(2004) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 86
paper
2006On time-scaling of risk and the square-root-of-time rule In: Journal of Banking & Finance.
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article40
2003On time-scaling of risk and the square–root–of–time rule.(2003) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 40
paper
2003On time-scaling of risk and the square–root–of–time rule.(2003) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 40
paper
2014Risk models-at-risk In: Journal of Banking & Finance.
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article22
2013Risk models–at–risk.(2013) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 22
paper
2014Risk models-at-risk.(2014) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 22
paper
2014Risk model-at-risk.(2014) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 22
paper
2014Risk Model-at-Risk.(2014) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 22
paper
2002Real trading patterns and prices in spot foreign exchange markets In: Journal of International Money and Finance.
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article86
1999Real Trading Patterns and Prices in Spot Foreign Exchange Markets.(1999) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 86
paper
2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation In: Journal of Multivariate Analysis.
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article51
2000Using a bootstrap method to choose the sample fraction in tail index estimation.(2000) In: Econometric Institute Research Papers.
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This paper has another version. Agregated cites: 51
paper
1997Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation.(1997) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 51
paper
2007On the impact of fundamentals, liquidity and coordination on market stability In: LSE Research Online Documents on Economics.
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paper2
2007On the Impact of Fundamentals, Liquidity and Coordination on Market Stability.(2007) In: FMG Discussion Papers.
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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.
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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.
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This paper has another version. Agregated cites: 2
paper
2006Equilibrium asset pricing with systemic risk In: LSE Research Online Documents on Economics.
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paper16
2008Equilibrium asset pricing with systemic risk.(2008) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 16
paper
2006Equilibrium Asset Pricing with Systemic Risk.(2006) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 16
paper
2008Equilibrium asset pricing with systemic risk.(2008) In: Economic Theory.
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This paper has another version. Agregated cites: 16
article
2006Consistent measures of risk In: LSE Research Online Documents on Economics.
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paper2
2006Consistent Measures of Risk.(2006) In: FMG Discussion Papers.
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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.
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paper34
2005Subadditivity Re–Examined: the Case for Value-at-Risk.(2005) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 34
paper
2004Feedback trading In: LSE Research Online Documents on Economics.
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paper0
2004Highwaymen or heroes: should hedge funds be regulated? In: LSE Research Online Documents on Economics.
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paper2
2003Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis In: LSE Research Online Documents on Economics.
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paper10
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: 10
paper
2001What happens when you regulate risk?: evidence from a simple equilibrium model In: LSE Research Online Documents on Economics.
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paper16
2001What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model.(2001) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 16
paper
2011Balance sheet capacity and endogenous risk In: LSE Research Online Documents on Economics.
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paper33
2011Balance Sheet Capacity and Endogenous Risk.(2011) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 33
paper
2013Political challenges of the macroprudential agenda In: LSE Research Online Documents on Economics.
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paper1
2015Can we prove a bank guilty of creating systemic risk? A minority report In: LSE Research Online Documents on Economics.
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paper8
2016Can we prove a bank guilty of creating systemic risk? A minority report.(2016) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2016Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report.(2016) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 8
article
2016Learning from history: volatility and financial crises In: LSE Research Online Documents on Economics.
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paper12
2016Learning from History : Volatility and Financial Crises.(2016) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 12
paper
2018Learning from History: Volatility and Financial Crises.(2018) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 12
article
2016The fatal flaw in macropru: it ignores political risk In: LSE Research Online Documents on Economics.
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paper0
2016Why macropru can end up being procyclical In: LSE Research Online Documents on Economics.
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paper0
2017Brexit and systemic risk In: LSE Research Online Documents on Economics.
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paper0
2017Brexit and the implications for financial services In: SUERF Studies.
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2018Low Risk as a Predictor of Financial Crises In: FEDS Notes.
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paper0
1998The value of value at risk: statistical, financial, and regulatory considerations (summary) In: Economic Policy Review.
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article0
1997Extreme Returns, Tail Estimation, and Value-at-Risk In: FMG Discussion Papers.
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paper5
1998Beyond the Sample: Extreme Quantile and Probability Estimation In: FMG Discussion Papers.
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paper30
1998Beyond the Sample: Extreme Quantile and Probability Estimation.(1998) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 30
paper
2001Asset Price Dynamics with Value-at-Risk Constrained Traders In: FMG Discussion Papers.
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paper9
2004(IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated? In: FMG Discussion Papers.
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paper0
2010Risk Appetite and Endogenous Risk In: FMG Discussion Papers.
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paper26
1998The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor In: FMG Special Papers.
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paper10
2001An Academic Response to Basel II In: FMG Special Papers.
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paper121
2006Feedback trading This paper is also available at www.riskresearch.org In: International Journal of Finance & Economics.
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article3
2000Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market In: Monetary and Economic Studies.
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article14
2018Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks In: IMF Working Papers.
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paper2
1993Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models. In: Journal of Applied Econometrics.
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article70
2008Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation In: Annals of Finance.
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article7
2012Regime switches in the volatility and correlation of financial institutions In: Working Paper Research.
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paper5
2012Endogenous and Systemic Risk In: NBER Chapters.
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chapter7
2003On the Feasibility of Risk Based Regulation In: CESifo Economic Studies.
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article7
2012Liquidity determination in an order-driven market In: The European Journal of Finance.
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article9
2012Exchange rate determination and inter-market order flow effects In: The European Journal of Finance.
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article7
1998Abnormal Returns, Risk, and Options in Large Data Sets In: Tinbergen Institute Discussion Papers.
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paper0
2001Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation In: Tinbergen Institute Discussion Papers.
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