Jon Danielsson : Citation Profile


Are you Jon Danielsson?

London School of Economics (LSE)

18

H index

26

i10 index

1107

Citations

RESEARCH PRODUCTION:

35

Articles

64

Papers

1

Chapters

RESEARCH ACTIVITY:

   25 years (1993 - 2018). See details.
   Cites by year: 44
   Journals where Jon Danielsson has often published
   Relations with other researchers
   Recent citing documents: 151.    Total self citations: 24 (2.12 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda10
   Updated: 2019-06-16    RAS profile: 2019-05-07    
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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 (21)

McAleer, Michael (18)

Koopman, Siem Jan (18)

Farmer, J. (17)

cotter, john (16)

BORIO, Claudio (15)

Gambacorta, Leonardo (15)

Ruiz, Esther (14)

Andersen, Torben (12)

Diebold, Francis (12)

Altunbas, Yener (11)

Cites to:

Shin, Hyun Song (20)

Bollerslev, Tim (19)

Engle, Robert (19)

Shleifer, Andrei (15)

de Vries, Casper (15)

Zigrand, Jean-Pierre (13)

Hurlin, Christophe (10)

Summers, Lawrence (9)

Diebold, Francis (8)

Brunnermeier, Markus (8)

Kyle, Albert (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
Financial Stability Review2
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 (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.

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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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2018A robust approach for minimization of risk measurement errors. (2018). 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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2019A theory for combinations of risk measures. (2018). 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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2018Robustness in the Optimization of Risk Measures. (2018). Embrechts, Paul ; Wang, Ruodu ; Schied, Alexander. 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). Feng, YU ; Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph. 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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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). 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.

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

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

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

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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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2019A multi-agent methodology to assess the effectiveness of alternative systemic risk adjusted capital requirements. (2019). Iori, G ; Gurgone, A. 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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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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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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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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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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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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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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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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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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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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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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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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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). Wu, Eliza ; Scheule, Harald ; Bui, Christina. 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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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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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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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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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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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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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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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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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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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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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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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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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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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). Ozdemir, Zeynel ; Balcilar, Mehmet. 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 Institute Working Papers. RePEc:fip:feddgw:305.

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

Works by Jon Danielsson:


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2000Value-at-Risk and Extreme Returns In: Annals of Economics and Statistics.
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2012Endogenous Extreme Events and the Dual Role of Prices In: Annual Review of Economics.
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2018Designating market maker behaviour in limit order book markets.(2018) In: LSE Research Online Documents on Economics.
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2018Challenges in Implementing Worst-Case Analysis In: Staff Working Papers.
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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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1996Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code In: Studies in Nonlinear Dynamics & Econometrics.
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1996Tail Index and Quantile Estimation with Very High Frequency Data In: CESifo Working Paper Series.
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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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1998Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models In: Journal of Empirical Finance.
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2005Highwaymen or heroes: Should hedge funds be regulated?: A survey In: Journal of Financial Stability.
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2016Model risk of risk models In: Journal of Financial Stability.
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2016Model risk of risk models.(2016) 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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2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
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2002The emperor has no clothes: Limits to risk modelling In: Journal of Banking & Finance.
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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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2001Incentives for Effective Risk Management.(2001) In: Tinbergen Institute Discussion Papers.
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2004The impact of risk regulation on price dynamics.(2004) In: LSE Research Online Documents on Economics.
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2006On time-scaling of risk and the square-root-of-time rule In: Journal of Banking & Finance.
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2003On time-scaling of risk and the square–root–of–time rule.(2003) In: FMG Discussion Papers.
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2002Real trading patterns and prices in spot foreign exchange markets In: Journal of International Money and Finance.
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1999Real Trading Patterns and Prices in Spot Foreign Exchange Markets.(1999) In: FMG Discussion Papers.
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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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2000Using a bootstrap method to choose the sample fraction in tail index estimation.(2000) In: Econometric Institute Research Papers.
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1997Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation.(1997) In: Tinbergen Institute Discussion Papers.
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2007On the impact of fundamentals, liquidity and coordination on market stability In: LSE Research Online Documents on Economics.
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2007On the Impact of Fundamentals, Liquidity and Coordination on Market Stability.(2007) In: FMG Discussion Papers.
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2011ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY.(2011) In: International Economic Review.
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2010On the impact of fundamentals, liquidity and coordination on market stability.(2010) In: Economics Working Papers.
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2006Equilibrium asset pricing with systemic risk In: LSE Research Online Documents on Economics.
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2008Equilibrium asset pricing with systemic risk.(2008) In: LSE Research Online Documents on Economics.
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2006Equilibrium Asset Pricing with Systemic Risk.(2006) In: FMG Discussion Papers.
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2008Equilibrium asset pricing with systemic risk.(2008) In: Economic Theory.
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2006Consistent measures of risk In: LSE Research Online Documents on Economics.
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2006Consistent Measures of Risk.(2006) In: FMG Discussion Papers.
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2005Subadditivity re–examined: the case for value-at-risk In: LSE Research Online Documents on Economics.
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2005Subadditivity Re–Examined: the Case for Value-at-Risk.(2005) In: FMG Discussion Papers.
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2004Feedback trading In: LSE Research Online Documents on Economics.
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2004Highwaymen or heroes: should hedge funds be regulated? In: LSE Research Online Documents on Economics.
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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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2003Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis.(2003) In: FMG Discussion Papers.
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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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2001What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model.(2001) In: FMG Discussion Papers.
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2011Balance sheet capacity and endogenous risk In: LSE Research Online Documents on Economics.
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2011Balance Sheet Capacity and Endogenous Risk.(2011) In: FMG Discussion Papers.
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2013Political challenges of the macroprudential agenda In: LSE Research Online Documents on Economics.
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2015Can we prove a bank guilty of creating systemic risk?: a minority report In: LSE Research Online Documents on Economics.
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2016Can we prove a bank guilty of creating systemic risk? A minority report.(2016) In: LSE Research Online Documents on Economics.
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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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2016Learning from history: volatility and financial crises In: LSE Research Online Documents on Economics.
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2016Learning from History : Volatility and Financial Crises.(2016) In: Finance and Economics Discussion Series.
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2018Learning from History: Volatility and Financial Crises.(2018) In: Review of Financial Studies.
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2016Tail index estimation: quantile driven threshold selection In: LSE Research Online Documents on Economics.
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2016The fatal flaw in macropru: it ignores political risk In: LSE Research Online Documents on Economics.
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2016Why macropru can end up being procyclical In: LSE Research Online Documents on Economics.
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2017Brexit and systemic risk In: LSE Research Online Documents on Economics.
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2018Low Risk as a Predictor of Financial Crises In: FEDS Notes.
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1998The value of value at risk: statistical, financial, and regulatory considerations (summary) In: Economic Policy Review.
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1997Extreme Returns, Tail Estimation, and Value-at-Risk In: FMG Discussion Papers.
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1998Beyond the Sample: Extreme Quantile and Probability Estimation In: FMG Discussion Papers.
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1998Beyond the Sample: Extreme Quantile and Probability Estimation.(1998) In: Tinbergen Institute Discussion Papers.
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2001Asset Price Dynamics with Value-at-Risk Constrained Traders In: FMG Discussion Papers.
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2004(IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated? In: FMG Discussion Papers.
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2010Risk Appetite and Endogenous Risk In: FMG Discussion Papers.
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1998The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor In: FMG Special Papers.
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2001An Academic Response to Basel II In: FMG Special Papers.
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2006Feedback trading This paper is also available at www.riskresearch.org In: International Journal of Finance & Economics.
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2000Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market In: Monetary and Economic Studies.
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2018Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks In: IMF Working Papers.
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1993Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models. In: Journal of Applied Econometrics.
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2008Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation In: Annals of Finance.
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2012Regime switches in the volatility and correlation of financial institutions In: Working Paper Research.
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2012Endogenous and Systemic Risk In: NBER Chapters.
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2003On the Feasibility of Risk Based Regulation In: CESifo Economic Studies.
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2012Liquidity determination in an order-driven market In: The European Journal of Finance.
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2012Exchange rate determination and inter-market order flow effects In: The European Journal of Finance.
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1998Abnormal Returns, Risk, and Options in Large Data Sets In: Tinbergen Institute Discussion Papers.
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2001Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation In: Tinbergen Institute Discussion Papers.
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