Jon Danielsson : Citation Profile


Are you Jon Danielsson?

London School of Economics (LSE)

20

H index

32

i10 index

1509

Citations

RESEARCH PRODUCTION:

36

Articles

52

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   26 years (1993 - 2019). See details.
   Cites by year: 58
   Journals where Jon Danielsson has often published
   Relations with other researchers
   Recent citing documents: 172.    Total self citations: 26 (1.69 %)

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   Permalink: http://citec.repec.org/pda10
   Updated: 2022-06-25    RAS profile: 2021-06-05    
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Relations with other researchers


Works with:

de Vries, Casper (3)

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

Is cited by:

cotter, john (19)

Koopman, Siem Jan (19)

Asai, Manabu (19)

Ruiz, Esther (18)

Gambacorta, Leonardo (16)

Farmer, J. (16)

McAleer, Michael (16)

BORIO, Claudio (15)

Zoega, Gylfi (13)

Altunbas, Yener (11)

Darné, Olivier (11)

Cites to:

de Vries, Casper (23)

Engle, Robert (19)

Bollerslev, Tim (19)

Shin, Hyun Song (18)

Hurlin, Christophe (16)

Shleifer, Andrei (12)

Zigrand, Jean-Pierre (11)

Summers, Lawrence (9)

Brunnermeier, Markus (8)

Perignon, Christophe (8)

Burnside, Craig (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
FEDS Notes / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Jon Danielsson (2022 and 2021)


YearTitle of citing document
2021Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk. (2021). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:079.

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

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2021Robustness in the Optimization of Risk Measures. (2019). Wang, Ruodu ; Schied, Alexander ; Embrechts, Paul. In: Papers. RePEc:arx:papers:1809.09268.

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2021Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2020Decision-Making, Sub-Additive Recursive Matching Noise And Biases In Risk-Weighted Stock/Bond Index Calculation Methods In Incomplete Markets With Partially Observable Multi-Attribute Preferences. (2020). Nwogugu, Michael C. In: Papers. RePEc:arx:papers:2005.01708.

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2020Dynamic Coupling and Market Instability. (2020). Zaparanuks, Dmitrijs ; Court, Elias ; Clack, Christopher D. In: Papers. RePEc:arx:papers:2005.13621.

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2021Capital and Labor Income Pareto Exponents across Time and Space. (2020). Toda, Alexis Akira ; de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2006.03441.

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2020A Natural Actor-Critic Algorithm with Downside Risk Constraints. (2020). Spooner, Thomas ; Savani, Rahul. In: Papers. RePEc:arx:papers:2007.04203.

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2020The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold. (2020). Poorvasei, Hossein ; Arian, Hamidreza ; Zamani, Shiva ; Sharifi, Azin. In: Papers. RePEc:arx:papers:2011.06693.

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2020Portfolio Risk Measurement Using a Mixture Simulation Approach. (2020). Sharifi, Azin ; Sina, Seyed Mohammad ; Arian, Hamidreza. In: Papers. RePEc:arx:papers:2011.07994.

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2021Fat tails arise endogenously in asset prices from supply/demand, with or without jump processes. (2020). Caginalp, Gunduz. In: Papers. RePEc:arx:papers:2011.08275.

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2020TailCoR. (2020). Ley, Christophe ; Babi, Sladjana ; Veredas, David ; Ricci, Lorenzo. In: Papers. RePEc:arx:papers:2011.14817.

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2021Quantum Technology for Economists. (2021). Hull, Isaiah ; Sattath, OR ; Wendin, Goran ; Diamanti, Eleni. In: Papers. RePEc:arx:papers:2012.04473.

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2021Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2101.12693.

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2021A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2021An Information Filtering approach to stress testing: an application to FTSE markets. (2021). Aste, Tomaso ; Caccioli, Fabio ; Seabrook, Isobel. In: Papers. RePEc:arx:papers:2106.08778.

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2022Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262.

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2021Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946.

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2022New volatility evolution model after extreme events. (2022). Li, Sai-Ping ; Chen, Zhang-Hangjian ; Cai, Mei-Ling ; Ren, Fei ; Yang, Ming-Yuan ; Zhang, Wei ; Xiong, Xiong. In: Papers. RePEc:arx:papers:2201.03213.

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2022Extraction of deterministic components for high frequency stochastic process -- an application from CSI 300 index. (2022). Sengupta, Indranil ; Zhou, Yan ; Sun, Baiqing ; Hui, Xianfei. In: Papers. RePEc:arx:papers:2204.02891.

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2021The Influence of Uncertainty on Market Efficiency: Evidence from Selected European Financial Markets. (2021). Paskaleva, Mariya ; Stoykova, Ani. In: Economic Studies journal. RePEc:bas:econst:y:2021:i:8:p:175-198.

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2020Regulatory Banking Leverage: what do you know?. (2020). Kimura, Herbert ; da Rosa, Douglas. In: Working Papers Series. RePEc:bcb:wpaper:540.

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2021From SMP to PEPP: a further look at the risk endogeneity of the Central Bank. (2021). Scalia, Antonio ; Palazzo, Gerardo ; Gariano, Giulio ; Fruzzetti, Marco. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_011_21.

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2021Non-bank financial intermediaries and financial stability. (2021). Schrimpf, Andreas ; Shin, Hyun Song ; Aramonte, Sirio. In: BIS Working Papers. RePEc:bis:biswps:972.

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2020The discrete and differential impact of monetary policy. (2020). McCredie, Bronwyn. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2919-2937.

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2020Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets. (2020). Sarris, Alexandros ; Dotsis, George ; Triantafyllou, Athanasios. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:71:y:2020:i:3:p:631-651.

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2021Simulating risk measures via asymptotic expansions for relative errors. (2021). Kou, Steven ; Jiang, Wei. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:907-942.

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2022Systemic Financial Stress and Macroeconomic Amplifications in the United Kingdom. (2022). Duprey, Thibaut ; Hacioluhoke, Sinem ; Chiu, Chingwai ; Chatterjee, Somnath. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:2:p:380-400.

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2020Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization. (2020). STUPFLER, Gilles ; Girard, Stephane ; Gardes, Laurent. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:922-949.

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2021A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models. (2021). Murphy, David ; Vause, Nicholas. In: Bank of England working papers. RePEc:boe:boeewp:0950.

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2020Network-Based Measures of Systemic Risk in Korea. (2020). Lee, Jieun ; Choi, Jaewon. In: Working Papers. RePEc:bok:wpaper:2008.

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2021Are risk weights of banks in the Czech Republic procyclical? Evidence from wavelet analysis. (2021). Pfeifer, Luka ; Bro, Vaclav. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:10:y:2021:i:1:p:113-139.

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2021Integrated nested Laplace approximations for threshold stochastic volatility models. (2021). Rue, Havard ; Lopes, Maria Helena ; de Zea, P ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31804.

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2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983.

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2021ECB’s economy-wide climate stress test. (2021). Salleo, Carmelo ; Parisi, Laura ; Muoz, Manuel A ; Kouratzoglou, Charalampos ; Kaijser, Michiel ; Hennig, Tristan ; Emambakhsh, Tina ; Dunz, Nepomuk ; Alogoskoufis, Spyros. In: Occasional Paper Series. RePEc:ecb:ecbops:2021281.

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2021A risk management perspective on macroprudential policy. (2021). Kremer, Manfred ; Fahr, Stephan ; Chavleishvili, Sulkhan ; Schwaab, Bernd ; Manganelli, Simone. In: Working Paper Series. RePEc:ecb:ecbwps:20212556.

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2021Credit growth, the yield curve and financial crisis prediction: evidence from a machine learning approach. (2021). Bluwstein, Kristina ; Imek, Ozgur ; Kapadia, Sujit ; Joseph, Andreas ; Buckmann, Marcus. In: Working Paper Series. RePEc:ecb:ecbwps:20212614.

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2021Does economic uncertainty affect the soundness of banks? Evidence from emerging Asian economies. (2021). Jeon, Bang ; Chen, Minghua ; Yao, Yao ; Wu, JI. In: Journal of Asian Economics. RePEc:eee:asieco:v:77:y:2021:i:c:s1049007821001238.

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2022New volatility evolution model after extreme events. (2022). Ren, Fei ; Yang, Ming-Yuan ; Zhang, Wei ; Xiong, Xiong ; Li, Sai-Ping ; Chen, Zhang-Hangjian ; Cai, Mei-Ling. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:154:y:2022:i:c:s0960077921009620.

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2020A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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2020Stochastic dominance tests. (2020). Tsionas, Mike G ; Topaloglou, Nikolas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188920300191.

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2021Optimal market-Making strategies under synchronised order arrivals with deep neural networks. (2021). Zheng, Harry ; Lee, Kyungsub ; Jang, Hyun Jin ; Choi, So Eun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s0165188921000336.

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2022Beautiful cycles: A theory and a model implying a curious role for interest. (2022). Gross, Marco. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002674.

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2020Measuring systemic risk in the U.S. Banking system. (2020). Sanz, Ivan Pastor ; Lopez-Iturriaga, Felix J ; Kolari, James W. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:646-658.

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2020Forecasting risk in the US Dollar exchange rate under volatility shifts. (2020). Malik, Farooq ; Anjum, Hassan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301546.

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2022The intermediating role of the Chinese renminbi in Asian currency markets: Evidence from partial wavelet coherence. (2022). Kinkyo, Takuji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001984.

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2022Predictability of tail risks of Canada and the U.S. Over a Century: The role of spillovers and oil tail Risks?. (2022). Salisu, Afees ; Pierdzioch, Christian ; GUPTA, RANGAN. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002163.

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2021ExpectHill estimation, extreme risk and heavy tails. (2021). Stupfler, Gilles ; Girard, Stephane ; Daouia, Abdelaati. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:97-117.

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2021Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores. (2021). Kazak, Ekaterina ; Heiler, Phillip. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:1083-1108.

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2021Simple estimators and inference for higher-order stochastic volatility models. (2021). Dufour, Jean-Marie ; Ahsan, Md Nazmul. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:181-197.

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2021Multivariate stochastic volatility using the HESSIAN method. (2021). Pelletier, Denis ; McCausland, William ; Miller, Shirley . In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:76-94.

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2022A nonparametric copula approach to conditional Value-at-Risk. (2022). Dunn, Richard ; Geenens, Gery. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:19-37.

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2021A profit-to-provisioning approach to setting the countercyclical capital buffer. (2021). Pfeifer, Lukáš ; Hodula, Martin. In: Economic Systems. RePEc:eee:ecosys:v:45:y:2021:i:1:s0939362521000017.

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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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2021Leverage and systemic risk pro-cyclicality in the Chinese financial system. (2021). Urga, Giovanni ; Pellini, Elisabetta ; Cincinelli, Peter. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002210.

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2020Historical volatility of advanced equity markets: The role of local and global crises. (2020). GUPTA, RANGAN ; Wohar, Mark E ; Goswami, Samrat. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303617.

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2020Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe. (2020). Demir, Ender ; Zaremba, Adam ; Aharon, David Y ; Kizys, Renatas. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612320306310.

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2021Economic uncertainty or financial uncertainty? An empirical analysis of bank risk-taking in Asian emerging markets. (2021). Liu, Xiaoyan ; Zheng, Dazhi ; Wu, JI. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303299.

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2021A two-stage general approach to aggregate multiple bank risks. (2021). Li, Jian Ping ; Wei, LU ; Zhu, Xiaoqian. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s154461232030533x.

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2021A model of delegation with a VaR constraint. (2021). Qiu, Zhigang ; Wang, Hefei ; Li, AO ; Jiang, Ying ; Guo, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317098.

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2022The measure of model risk in credit capital requirements. (2022). Baviera, Roberto. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001458.

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2021Measurement of common risks in tails: A panel quantile regression model for financial returns. (2021). Baruník, Jozef ; Ech, Frantiek ; Barunik, Jozef. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s1386418120300318.

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2021The SKEW index: Extracting what has been left. (2021). Tunaru, Radu ; Bevilacqua, Mattia. In: Journal of Financial Stability. RePEc:eee:finsta:v:53:y:2021:i:c:s1572308920301194.

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2021Measuring the systemic importance of banks. (2021). Sakellaris, Plutarchos ; Moratis, Georgios. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000383.

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2021Did the Basel Process of capital regulation enhance the resiliency of European banks?. (2021). Gehrig, Thomas ; Iannino, Maria Chiara. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s1572308921000644.

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2021Dynamic optimal portfolio choice under time-varying risk aversion. (2021). Esparcia, Carlos ; Diaz, Antonio. In: International Economics. RePEc:eee:inteco:v:166:y:2021:i:c:p:1-22.

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2020Economic uncertainty and bank risk: Evidence from emerging economies. (2020). Jeon, Bang ; Chen, Minghua ; Yao, Yao ; Wu, JI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:68:y:2020:i:c:s1042443120301268.

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2021Spoofing and pinging in foreign exchange markets. (2021). Stenfors, Alexis ; Susai, Masayuki. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:70:y:2021:i:c:s1042443120301621.

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2021On the predictive power of network statistics for financial risk indicators. (2021). , Mike ; Zhang, Zhepei ; Song, Jianhua. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001347.

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2022Does bank competition matter for the effects of macroprudential policy on the procyclicality of lending?. (2022). Kowalska, Iwona ; Olszak, Magorzata. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s104244312100189x.

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2020Forecasting value at risk and expected shortfall with mixed data sampling. (2020). Le, Trung H. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1362-1379.

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2021Forecast encompassing tests for the expected shortfall. (2021). Schnaitmann, Julie ; Dimitriadis, Timo. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:604-621.

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2021The uncertainty in extreme risk forecasts from covariate-augmented volatility models. (2021). Hoga, Yannick. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:675-686.

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2020Home, safe home: Cross-country monitoring framework for vulnerabilities in the residential real estate sector. (2020). Lepers, Etienne ; Grothe, Magdalena ; Bengtsson, Elias. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302935.

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2020The anatomy of financial vulnerabilities and banking crises. (2020). Stebunovs, Viktors ; Posenau, Kelly E ; Lee, Seung Jung. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618300864.

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2021A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

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2021Unemployment and aggregate stock returns. (2021). Atanasov, Victoria. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:129:y:2021:i:c:s0378426621001187.

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2021The effect of COVID – 19 pandemic on global stock market volatility: Can economic strength help to manage the uncertainty?. (2021). Chowdhury, Anup ; Uddin, Moshfique ; Chaudhuri, Kausik ; Anderson, Keith. In: Journal of Business Research. RePEc:eee:jbrese:v:128:y:2021:i:c:p:31-44.

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2021Global factor premiums. (2021). Swinkels, Laurens ; van Vliet, Pim ; Baltussen, Guido. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1128-1154.

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2020The risk-taking channel of international financial flows. (2020). Natoli, Filippo ; Cova, Pietro. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:102:y:2020:i:c:s0261560619305406.

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2021Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule. (2021). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon J. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001418.

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2022Uncertainty shocks and systemic-risk indicators. (2022). Roth, Markus ; Hristov, Nikolay. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002242.

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2021Asymmetric tail dependence between stock market returns and implied volatility. (2021). Echaust, Krzysztof. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:23:y:2021:i:c:s1703494920300372.

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2021Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model. (2021). Arian, Hamidreza ; Sharifi, Azin ; Sina, Seyed Mohammad. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:190:y:2021:i:c:p:1056-1079.

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2021Financial earthquakes: SARS-CoV-2 news shock propagation in stock and sovereign bond markets. (2021). Pammolli, Fabio ; Flori, Andrea ; Pecora, Nicolo ; Spelta, Alessandro ; Pagnottoni, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:582:y:2021:i:c:s0378437121005136.

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2020How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence. (2020). Boughrara, Adel ; Dahmene, Meriam ; Slim, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:22-37.

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2021On the effect of full-fledged IT adoption on stock returns and their conditional volatility: Evidence from propensity score matching. (2021). Boughrara, Adel ; Dridi, Ichrak. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:179-194.

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2021Estimating the market risk of clean energy technologies companies using the expected shortfall approach. (2021). Pradhan, Ashis ; Tiwari, Aviral Kumar. In: Renewable Energy. RePEc:eee:renene:v:177:y:2021:i:c:p:95-100.

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2020Does the risk on banks’ balance sheets predict banking crises? New evidence for developing countries. (2020). de Haan, Jakob ; Jing, Zhongbo ; Fang, YI. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:254-268.

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2021Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China. (2021). Jin, Chenglu ; Bao, Weiwei ; Chen, Rongda. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:112-129.

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2021Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365.

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2022Evaluation of European Deposit Insurance Scheme funding based on risk analysis. (2022). Urea, Antonio Partal ; Ruiz, Rafael Moreno ; Martinez, Eduardo Trigo ; Fernandez-Aguado, Pilar Gomez. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:234-247.

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2020Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models. (2020). Gözgör, Giray ; Liu, Wei ; Gozgor, Giray ; Marco, Chi Keung ; Semeyutin, Artur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301240.

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2021Covid-19 health policy intervention and volatility of Asian capital markets. (2021). Hunjra, Ahmed ; Hammami, Helmi ; Arunachalam, Murugesh ; Kijkasiwat, Ploypailin. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:169:y:2021:i:c:s0040162521002729.

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2021International entrepreneurship in the post Covid world. (2021). Zahra, Shaker A. In: Journal of World Business. RePEc:eee:worbus:v:56:y:2021:i:1:s1090951620300717.

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2021Artificial intelligence and systemic risk. (2021). Uthemann, Andreas ; MacRae, Robert ; Danielsson, Jon. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111601.

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2020Populism, Economic Policies and Central Banking. (2020). Binder, Carola ; Higashijima, Masaaki ; Agur, Itai ; Werner, Alejandro M ; Kokoszczynski, Ryszard ; Stanig, Piero ; Gnan, Ernest ; Spilimbergo, Antonio ; Gerlach, Stefan ; Passarelli, Francesco ; Favaretto, Federico ; Morelli, Massimo ; Garriga, Ana Carolina ; Minxhozi, Luljeta ; Colantone, Italo ; Masciandaro, Donato ; Borio, Claudio ; Magud, Nicolas Ernesto ; Bodea, Cristina ; Mackiewicz-Lyziak, Joanna . In: SUERF Studies. RePEc:erf:erfstu:99.

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2022The Interrelationship Among Efficiency and Concentration of Banking System and its Stability: Evidence from Poland. (2022). Mikita, Malgorzata. In: European Research Studies Journal. RePEc:ers:journl:v:xxv:y:2022:i:1:p:670-689.

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2021Sovereign Risk and Financial Risk. (2021). Zakrajšek, Egon ; Wei, Bin ; Zakrajek, Egon ; Yue, Vivian Z ; Gilchrist, Simon. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:93483.

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2020What is Certain about Uncertainty?. (2020). Sarisoy, Cisil ; Rodriguez, Marius ; Rogers, John ; Ma, Sai ; Jahan-Parvar, Mohammad ; Grishchenko, Olesya ; Datta, Deepa ; Cascaldi-Garcia, Danilo ; del Giudice, Marius ; Loria, Francesca ; Londono, Juan M ; Revil, Thiago ; Zer, Ilknur. In: International Finance Discussion Papers. RePEc:fip:fedgif:1294.

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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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article103
1998Value-at-Risk and Extreme Returns.(1998) In: Tinbergen Institute Discussion Papers.
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2012Endogenous Extreme Events and the Dual Role of Prices In: Annual Review of Economics.
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2015Designating market maker behaviour in Limit Order Book markets In: Papers.
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paper2
2018Designating market maker behaviour in limit order book markets.(2018) In: Econometrics and Statistics.
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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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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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paper10
2016Tail index estimation: quantile driven threshold selection.(2016) In: LSE Research Online Documents on Economics.
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paper
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
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article3
2007Regulating hedge funds. In: Financial Stability Review.
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article4
2009On the efficacy of financial regulations. In: Financial Stability Review.
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article0
In: .
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article9
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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paper18
2015Why risk is so hard to measure.(2015) In: LSE Research Online Documents on Economics.
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paper
2006Comparing downside risk measures for heavy tailed distributions In: Economics Letters.
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article17
2005Comparing downside risk measures for heavy tailed distribution.(2005) In: LSE Research Online Documents on Economics.
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paper
2013Fat tails, VaR and subadditivity In: Journal of Econometrics.
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article49
1994Stochastic volatility in asset prices estimation with simulated maximum likelihood In: Journal of Econometrics.
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article164
1998Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models In: Journal of Empirical Finance.
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article39
2005Highwaymen or heroes: Should hedge funds be regulated?: A survey In: Journal of Financial Stability.
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article7
2016Model risk of risk models In: Journal of Financial Stability.
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article49
2014Model risk of risk models.(2014) In: LSE Research Online Documents on Economics.
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paper
2016Model risk of risk models.(2016) In: LSE Research Online Documents on Economics.
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paper
2014Model Risk of Risk Models.(2014) In: Finance and Economics Discussion Series.
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paper
2008Blame the models In: Journal of Financial Stability.
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article17
2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
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article41
2002The emperor has no clothes: Limits to risk modelling In: Journal of Banking & Finance.
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article53
2000The Emperor has no Clothes: Limits to Risk Modelling.(2000) In: FMG Special Papers.
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paper
2002Incentives for effective risk management In: Journal of Banking & Finance.
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article15
2001Incentives for Effective Risk Management.(2001) In: Tinbergen Institute Discussion Papers.
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paper
2004The impact of risk regulation on price dynamics In: Journal of Banking & Finance.
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article95
2004The impact of risk regulation on price dynamics.(2004) In: LSE Research Online Documents on Economics.
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paper
2006On time-scaling of risk and the square-root-of-time rule In: Journal of Banking & Finance.
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article47
2003On time-scaling of risk and the square–root–of–time rule.(2003) In: LSE Research Online Documents on Economics.
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paper
2014Risk models-at-risk In: Journal of Banking & Finance.
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article30
2013Risk models–at–risk.(2013) In: LSE Research Online Documents on Economics.
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paper
2014Risk models-at-risk.(2014) In: Post-Print.
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2014Risk Model-at-Risk.(2014) In: Post-Print.
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2014Risk models-at-risk.(2014) In: Post-Print.
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This paper has another version. Agregated cites: 30
paper
2002Real trading patterns and prices in spot foreign exchange markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article85
2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article63
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: 63
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: 63
paper
2007On the impact of fundamentals, liquidity and coordination on market stability In: LSE Research Online Documents on Economics.
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paper2
2011ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY.(2011) In: International Economic Review.
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article
2010On the impact of fundamentals, liquidity and coordination on market stability.(2010) In: Economics Working Papers.
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paper
2006Equilibrium asset pricing with systemic risk In: LSE Research Online Documents on Economics.
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paper20
2008Equilibrium asset pricing with systemic risk.(2008) In: LSE Research Online Documents on Economics.
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paper
2008Equilibrium asset pricing with systemic risk.(2008) In: Economic Theory.
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article
2006Consistent measures of risk In: LSE Research Online Documents on Economics.
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paper2
2005Subadditivity re–examined: the case for value-at-risk In: LSE Research Online Documents on Economics.
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paper18
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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paper9
2001What happens when you regulate risk?: evidence from a simple equilibrium model In: LSE Research Online Documents on Economics.
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paper5
2011Balance sheet capacity and endogenous risk In: LSE Research Online Documents on Economics.
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paper45
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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paper16
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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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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article
2016Learning from history: volatility and financial crises In: LSE Research Online Documents on Economics.
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paper58
2018Learning from history: volatility and financial crises.(2018) In: LSE Research Online Documents on Economics.
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paper
2016Learning from History : Volatility and Financial Crises.(2016) In: Finance and Economics Discussion Series.
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paper
2018Learning from History: Volatility and Financial Crises.(2018) In: Review of Financial Studies.
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article
2016The fatal flaw in macropru: it ignores political risk In: LSE Research Online Documents on Economics.
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paper1
2016Why macropru can end up being procyclical In: LSE Research Online Documents on Economics.
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paper1
2017Brexit and systemic risk In: LSE Research Online Documents on Economics.
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paper1
2017Brexit and the implications for financial services In: SUERF Studies.
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book3
2018Low Risk as a Predictor of Financial Crises In: FEDS Notes.
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paper0
2022How global risk perceptions affect economic growth 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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article0
1998The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor In: FMG Special Papers.
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paper9
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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paper13
1993Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models. In: Journal of Applied Econometrics.
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article85
2008Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation In: Annals of Finance.
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article8
2012Regime switches in the volatility and correlation of financial institutions In: Working Paper Research.
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paper6
2012Endogenous and Systemic Risk In: NBER Chapters.
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chapter20
2003On the Feasibility of Risk Based Regulation In: CESifo Economic Studies.
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article9
2011Lessons from a collapse of a financial system In: Economic Policy.
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article36
2012Liquidity determination in an order-driven market In: The European Journal of Finance.
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article11
2012Exchange rate determination and inter-market order flow effects In: The European Journal of Finance.
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article12
1998Beyond the Sample: Extreme Quantile and Probability Estimation In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper10
1998Abnormal Returns, Risk, and Options in Large Data Sets In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper2
2001Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper1
2007Currency Crises, (Hidden) Linkages and Volume In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team