Anders Wilhelmsson : Citation Profile


Are you Anders Wilhelmsson?

Lunds Universitet

4

H index

2

i10 index

70

Citations

RESEARCH PRODUCTION:

11

Articles

8

Papers

RESEARCH ACTIVITY:

   15 years (2006 - 2021). See details.
   Cites by year: 4
   Journals where Anders Wilhelmsson has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 0 (0 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwi135
   Updated: 2022-05-14    RAS profile: 2021-12-23    
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Relations with other researchers


Works with:

Gehrig, Thomas (3)

Schwarz, Marco (3)

Schenk-Hoppé, Klaus (2)

FERROUHI, EL MEHDI (2)

Park, Andreas (2)

Johannesson, Magnus (2)

Talavera, Oleksandr (2)

Lopez-Lira, Alejandro (2)

Xiu, Dacheng (2)

Horenstein, Alex (2)

Harris, Jeffrey (2)

Rinne, Kalle (2)

Pastor, Lubos (2)

Verousis, Thanos (2)

Bohorquez Correa, Santiago (2)

Bos, Charles (2)

Gorbenko, Arseny (2)

Xia, Shuo (2)

Rakowski, David (2)

Hautsch, Nikolaus (2)

Scaillet, Olivier (2)

Frijns, Bart (2)

Theissen, Erik (2)

Colliard, Jean-Edouard (2)

Regis, Luca (2)

Hurlin, Christophe (2)

Zhou, Chen (2)

Lajaunie, Quentin (2)

van Kervel, Vincent (2)

Gerritsen, Dirk (2)

Dimpfl, Thomas (2)

Walther, Thomas (2)

Alexeev, Vitali (2)

Wolff, Christian (2)

Putnins, Talis (2)

CAPELLE-BLANCARD, Gunther (2)

Abudy, Menachem (2)

Jalkh, Naji (2)

Smales, Lee (2)

Ferrara, Gerardo (2)

Palan, Stefan (2)

Kassner, Bernhard (2)

Dumitrescu, Ariadna (2)

Sarno, Lucio (2)

Pelizzon, Loriana (2)

Lof, Matthijs (2)

Davies, Ryan (2)

Menkveld, Albert (2)

Foucault, Thierry (2)

Stefanova, Denitsa (2)

Ranaldo, Angelo (2)

Pasquariello, Paolo (2)

Nielsson, Ulf (2)

Holzmeister, Felix (2)

Moinas, Sophie (2)

Reitz, Stefan (2)

PASCUAL, ROBERTO (2)

Patton, Andrew (2)

Vilkov, Grigory (2)

Wong, Wing-Keung (2)

Liew, Chee (2)

Deev, Oleg (2)

Bouri, Elie (2)

Patel, Vinay (2)

Jurkatis, Simon (2)

Dreber, Anna (2)

Adrian, Tobias (2)

Caporin, Massimiliano (2)

Ait-Sahalia, Yacine (2)

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

Is cited by:

Gabrielsen, Alexandros (4)

Hanousek, Jan (4)

Kočenda, Evžen (4)

Liu, Zhuoshi (3)

Zagaglia, Paolo (3)

Novotny, Jan (2)

Urga, Giovanni (2)

Ruiz, Esther (2)

Hurlin, Christophe (2)

Fischer, Thomas (2)

Zhang, Xin (2)

Cites to:

Campbell, John (7)

Bollerslev, Tim (6)

Engle, Robert (6)

Perignon, Christophe (5)

Dreber, Anna (4)

Johannesson, Magnus (4)

Ho, Teck (4)

Hurlin, Christophe (3)

Prescott, Edward (3)

Bertoni, Marco (3)

Pugatch, Todd (3)

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
Working Papers / Lund University, Department of Economics3
Post-Print / HAL2

Recent works citing Anders Wilhelmsson (2021 and 2020)


YearTitle of citing document
2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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2021Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2021Market reactions to enterprise risk management adoption, incorporation by rating agencies, and ORSA Act passage. (2021). Xu, Jianren ; Eastman, Evan M. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:24:y:2021:i:2:p:151-180.

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2020More shareholders, higher liquidity? Evidence from an emerging stock market. (2020). Goh, Kim-Leng ; Lim, Kian-Ping ; Chia, Yee-Ee. In: Emerging Markets Review. RePEc:eee:ememar:v:44:y:2020:i:c:s1566014118305016.

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2021Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting. (2021). Lee, Chien-Chiang ; Liu, Min. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004874.

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2020Forecasting VaR using realized EGARCH model with skewness and kurtosis. (2020). Zhang, Huanming ; Xia, Michelle ; Wu, Xinyu. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318308067.

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2020Unequal returns: Using the Atkinson index to measure financial risk. (2020). Fischer, Thomas ; Lundtofte, Frederik. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620300868.

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2021Is volatility spillover enough for investor decisions? A new viewpoint from higher moments. (2021). Hamori, Shigeyuki ; He, Xie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:116:y:2021:i:c:s0261560621000632.

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2020Setting the margins of Hang Seng Index Futures on different positions using an APARCH-GPD Model based on extreme value theory. (2020). Yu, Wenqiang ; Chen, Yan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:544:y:2020:i:c:s0378437119318023.

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2021A VaR-Based Methodology for Assessing Carbon Price Risk across European Union Economic Sectors. (2021). Dumitrescu, Sofia Adriana ; Belascu, Lucian ; Popovici, Oana Cristina ; Horobet, Alexandra ; Bulai, Vlad-Cosmin. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:24:p:8424-:d:701935.

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2020Enterprise Risk Management: A Literature Review and Agenda for Future Research. (2020). Afloarei, Anca Elena ; Anton, Sorin Gabriel. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:281-:d:445055.

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2021Equity premium puzzle or faulty economic modelling?. (2021). Rachev, Svetlozar T ; Fabozzi, Frank J ; Stoyanov, Stoyan V ; Shirvani, Abootaleb. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:4:d:10.1007_s11156-020-00928-3.

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2022Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:1:d:10.1057_s41283-021-00084-5.

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2022Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process. (2022). Pianese, Augusto ; Bianchi, Sergio ; Frezza, Massimiliano. In: Computational Management Science. RePEc:spr:comgts:v:19:y:2022:i:1:d:10.1007_s10287-021-00412-w.

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2020From FDI network topology to macroeconomic instability. (2020). Ricchiuti, Giorgio ; Masi, Giulia. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00275-0.

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2020Forecasting stock volatility in the presence of extreme shocks: Short‐term and long‐term effects. (2020). Wang, LU ; Liu, Guoshan ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:5:p:797-810.

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2021Dynamic VaR forecasts using conditional Pearson type IV distribution. (2021). Kuang, Wei . In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:3:p:500-511.

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2021An empirical study on the role of trading volume and data frequency in volatility forecasting. (2021). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:792-816.

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2020Incorporating time‐varying jump intensities in the mean‐variance portfolio decisions. (2020). Wu, Chongfeng ; Zhou, Chunyang ; Xu, Weidong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:460-478.

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2020Risky Financial Assets in Financial Integration and the Impacts of Derivatives on Banking Returns. (2020). Diner, Hasan ; Alhan, Mehmet Ali ; Pinarbai, Fatih ; Yuksel, Serhat. In: World Scientific Book Chapters. RePEc:wsi:wschap:9789811210242_0006.

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Works by Anders Wilhelmsson:


YearTitleTypeCited
2018The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence In: Financial Management.
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article1
2010Volatility Risk Premium, Risk Aversion, and the Cross?Section of Stock Returns In: The Financial Review.
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article1
2018Enterprise Risk Management and Default Risk: Evidence from the Banking Industry In: Journal of Risk & Insurance.
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article4
2009Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model In: Econometrics Journal.
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article28
2021Tax avoidance and state ownership — The case of Sweden In: Economics Letters.
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article0
2011The pernicious effects of contaminated data in risk management In: Journal of Banking & Finance.
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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.
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article4
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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paper0
2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2011Idiosyncratic Risk and Higher-Order Cumulants In: Working Papers.
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paper0
2019Systemic Risk and Centrality Revisited: The Role of Interactions In: Working Papers.
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paper1
2020Macro news and long-run volatility expectations In: Knut Wicksell Working Paper Series.
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paper0
2006Garch forecasting performance under different distribution assumptions In: Journal of Forecasting.
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article17
2009Measuring Event Risk In: Journal of Financial Econometrics.
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article6
2017Tax Planning in Partner-owned Close Corporations In: Nordic Tax Journal.
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article0
2013Density Forecasting with Time?Varying Higher Moments: A Model Confidence Set Approach In: Journal of Forecasting.
[Citation analysis]
article2

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