Anders Wilhelmsson : Citation Profile


Are you Anders Wilhelmsson?

Lunds Universitet

4

H index

1

i10 index

37

Citations

RESEARCH PRODUCTION:

7

Articles

3

Papers

RESEARCH ACTIVITY:

   7 years (2006 - 2013). See details.
   Cites by year: 5
   Journals where Anders Wilhelmsson has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 0 (0 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwi135
   Updated: 2017-12-09    RAS profile: 2017-02-09    
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Relations with other researchers


Works with:

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

Is cited by:

Kočenda, Evžen (4)

Gabrielsen, Alexandros (4)

Hanousek, Jan (4)

Zagaglia, Paolo (3)

Liu, Zhuoshi (3)

Ruiz, Esther (2)

Novotny, Jan (2)

Maillet, Bertrand (2)

Hurlin, Christophe (2)

Danielsson, Jon (2)

Lucas, Andre (2)

Cites to:

Bollerslev, Tim (5)

Campbell, John (5)

Engle, Robert (4)

Prescott, Edward (3)

Mehra, Rajnish (3)

Martin, Ian (3)

Hirtle, Beverly (3)

Jagannathan, Ravi (2)

Bansal, Ravi (2)

Hansen, Bruce (2)

Hansen, Peter (2)

Main data


Where Anders Wilhelmsson has published?


Journals with more than one article published# docs
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Post-Print / HAL2

Recent works citing Anders Wilhelmsson (2017 and 2016)


YearTitle of citing document
2017Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes. (2017). Gong, Xiaoli ; Zhuang, Xintian . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:148-159.

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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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2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

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2016Score-driven exponentially weighted moving averages and Value-at-Risk forecasting. (2016). Lucas, Andre ; Zhang, Xin. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:293-302.

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2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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2016On the choice of GARCH parameters for efficient modelling of real stock price dynamics. (2016). Pokhilchuk, K A ; Savelev, S E. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:448:y:2016:i:c:p:248-253.

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2016Shluková analýza skoků na kapitálových trzích. (2016). Kočenda, Evžen ; Hanousek, Jan ; Novotn, Jan ; Koenda, Even . In: Politická ekonomie. RePEc:prg:jnlpol:v:2016:y:2016:i:2:id:1059:p:127-144.

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2017Heavy-tailed Distributions and Risk Management of Equity Market Tail Events. (2017). Guo, Zi-Yi. In: Journal of Risk & Control. RePEc:rmk:rmkjrc:v:4:y:2017:i:1:p:31-41.

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Works by Anders Wilhelmsson:


YearTitleTypeCited
2010Volatility Risk Premium, Risk Aversion, and the Cross-Section of Stock Returns In: The Financial Review.
[Full Text][Citation analysis]
article1
2009Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model In: Econometrics Journal.
[Full Text][Citation analysis]
article17
2011The pernicious effects of contaminated data in risk management In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article6
2010The pernicious effects of contaminated data in risk management.(2010) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
2011The Pernicious Effects of Contaminated Data in Risk Management.(2011) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
2013Risk premia: Exact solutions vs. log-linear approximations In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article0
2011Idiosyncratic Risk and Higher-Order Cumulants In: Working Papers.
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paper0
2006Garch forecasting performance under different distribution assumptions In: Journal of Forecasting.
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article9
2009Measuring Event Risk In: Journal of Financial Econometrics.
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article4
2013Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach In: Journal of Forecasting.
[Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1st 2017. Contact: CitEc Team