Jon Danielsson : Citation Profile


Are you Jon Danielsson?

London School of Economics (LSE)

20

H index

31

i10 index

1464

Citations

RESEARCH PRODUCTION:

36

Articles

49

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   29 years (1993 - 2022). See details.
   Cites by year: 50
   Journals where Jon Danielsson has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 25 (1.68 %)

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   Permalink: http://citec.repec.org/pda10
   Updated: 2024-01-16    RAS profile: 2021-06-05    
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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 Jon Danielsson.

Is cited by:

Koopman, Siem Jan (19)

cotter, john (19)

Asai, Manabu (19)

Ruiz, Esther (18)

BORIO, Claudio (14)

Gambacorta, Leonardo (14)

Zoega, Gylfi (13)

Farmer, J. (12)

Darné, Olivier (11)

Andersen, Torben (11)

Pagano, Marco (11)

Cites to:

de Vries, Casper (25)

Engle, Robert (22)

Bollerslev, Tim (22)

Shin, Hyun Song (19)

Hurlin, Christophe (16)

Shleifer, Andrei (12)

Zigrand, Jean-Pierre (11)

Brunnermeier, Markus (9)

Summers, Lawrence (9)

Jansen, Dennis (8)

Hartmann, Philipp (8)

Main data


Where Jon Danielsson has published?


Journals with more than one article published# docs
Journal of Banking & Finance5
Journal of Financial Stability3
Financial Stability Review2
Journal of Econometrics2
The European Journal of Finance2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute6
Post-Print / HAL3
FEDS Notes / Board of Governors of the Federal Reserve System (U.S.)2
Staff Working Papers / Bank of Canada2
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Jon Danielsson (2024 and 2023)


YearTitle of citing document
2023FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera.

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2023A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2023Extraction 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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2023Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets. (2023). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2303.11030.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2023Capital Controls, Corporate Debt and Real Effects: Evidence from Boom and Crisis Times. (2023). López, Martha ; Peydro, Jose-Luis ; Fabiani, Andrea ; Soto, Paul E. In: Borradores de Economia. RePEc:bdr:borrec:1244.

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2023Asset pricing with a financial sector. (2023). Xu, Chenjie ; Li, Kai. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:1:p:67-95.

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2023Market Volatility, Monetary Policy and the Term Premium. (2023). Zampolli, Fabrizio ; Mohanty, Madhusudan ; Mallick, Sushanta ; Kumar, Abhishek. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:208-237.

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2023The Application of Multiple-Output Quantile Regression on the US Financial Cycle. (2023). Franta, Michal. In: Working Papers. RePEc:cnb:wpaper:2023/2.

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2023The more the merrier? Macroprudential instrument interactions and effective policy implementation. (2023). Saldias, Martin ; Tereanu, Eugen ; Vauhkonen, Jukka ; Prapiestis, Algirdas ; Tuomikoski, Kristiina ; Pirovano, Mara ; Silva, Fatima ; Lima, Diana ; Serra, Diogo ; Kouratzoglou, Charalampos ; Sangare, Ibrahima ; Jurca, Pavol ; Lennartsdotter, Petra ; Hallissey, Niamh ; Granlund, Peik ; lo Duca, Marco ; Giedrait, Edita ; Bartal, Mehdi. In: Occasional Paper Series. RePEc:ecb:ecbops:2023310.

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2023A literature review on extreme price movements with reversal. (2023). Steffen, Viktoria. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000205.

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2023Scientific progress in information theory quantifiers. (2023). , Abrao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:170:y:2023:i:c:s0960077923001613.

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2023Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027.

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2023Flexible inflation targeting and stock market volatility: Evidence from emerging market economies. (2023). Boughrara, Adel ; Dridi, Ichrak. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002328.

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2023The impact of COVID-19 on the tourism and hospitality Industry: Evidence from international stock markets. (2023). Yang, Feng ; Liao, Stephen Shaoyi ; Cheng, Xian ; Liu, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002108.

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2023Preventing financial disasters: Macroprudential policy and financial crises. (2023). Fernandez-Gallardo, Alvaro. In: European Economic Review. RePEc:eee:eecrev:v:151:y:2023:i:c:s0014292122002306.

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2023Central bank swap arrangements and exchange rate volatility: Evidence from China. (2023). Li, Yang ; Liu, Zhuqing ; Yu, Ziliang. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000493.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2023Are cryptocurrencies a safe haven for stock investors? A regime-switching approach. (2023). Miu, Peter ; Li, Leon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:367-385.

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2023Estimating and testing skewness in a stochastic volatility model. (2023). Ho, Kyu ; Lee, Cheol Woo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:445-467.

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2023Unemployment beta and the cross-section of stock returns: Evidence from Australia. (2023). Huynh, Nhan. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000388.

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2023Nonlinear market liquidity: An empirical examination. (2023). Uribe, Jorge ; Chuliá, Helena ; Mosquera-Lopez, Stephania ; Chulia, Helena. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000480.

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2023Subjectivity in conventional tail measures: An exploratory model with risks & biases’. (2023). Majumder, Debasish. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003239.

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2023Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation. (2023). Faias, Jose Afonso. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000593.

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2023A Bayesian approach for more reliable tail risk forecasts. (2023). Drovandi, Christopher ; Clements, Adam ; Li, Dan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x.

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2023Cross-market spoofing. (2023). Vakili, Kaveh ; Susai, Masayuki ; Soviany, Cristina ; Doraghi, Mehrdaad ; Stenfors, Alexis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443123000033.

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2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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2023Scenario-free analysis of financial stability with interacting contagion channels. (2023). Farmer, Doyne J ; Wetzer, Thom ; Kleinnijenhuis, Alissa M ; Wiersema, Garbrand. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002643.

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2023Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000043.

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2023Impact of systemic risk regulation on optimal policies and asset prices. (2023). Cui, Xuecan ; Bernard, Carole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002011.

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2023Consistency of banks internal probability of default estimates: Empirical evidence from the COVID-19 crisis. (2023). Teply, Petr ; Stepankova, Barbora. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s037842662300167x.

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2023Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic. (2023). Stankov, Petar ; Mensi, Walid ; Enilov, Martin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000642.

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2023Gold and tail risks. (2023). Salisu, Afees ; Adediran, Idris ; Tchankam, Jean Paul ; Omoke, Philip C. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005979.

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2023Financial market risk and innovation nexus with growth: Channelizing the role of natural resources volatility for United States. (2023). Lin, Runtian ; Ye, Xinyu. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420722007103.

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2023Can energy efficiency and natural resources foster economic growth? Evidence from BRICS countries. (2023). Yildirim, Bilal ; Waheed, Humayun ; Yue, Xiao-Guang ; Li, Tianyu. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003549.

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2023The price of independence in a model with unknown dependence. (2023). de la Pea, Victor ; Chollete, Loran ; Klass, Michael. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:123:y:2023:i:c:p:51-58.

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2023Herding in Chinese stock markets: Evidence from the dual-investor-group. (2023). Lu, Yang ; Zheng, Suyan ; Liu, Tengdong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000586.

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2023Risk-off shocks and spillovers in safe havens. (2023). Beirne, John ; Sugandi, Eric. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001737.

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2023Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs. (2023). Zulfiqar, Noshaba ; Wee, Jung Bum ; Bouri, Elie ; Ghosh, Bikramaditya. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000715.

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2023Less disagreement, better forecasts: adjusted risk measures in the energy futures market. (2023). Xue, Xiaohan ; Gong, Yujing ; Zhang, Ning. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118451.

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2023Options-based systemic risk, financial distress, and macroeconomic downturns. (2023). Tunaru, Radu ; Bevilacqua, Mattia ; Vioto, Davide. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119289.

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2023Identifying Financial Crises Using Machine Learning on Textual Data. (2023). Sicilian, Martin ; Lee, Seung Jung ; Kitschelt, Isabel ; Dehaven, Matthew ; Chen, Mary. In: International Finance Discussion Papers. RePEc:fip:fedgif:1374.

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2023Novel COVID-19 Outbreak and Global Uncertainty in the Top-10 Affected Countries: Evidence from Wavelet Coherence Approach. (2023). Alhashim, Mohammed ; Abbas, Ghulam ; Khan, Shabeer ; Rehman, Mohd Ziaur. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:6:p:5556-:d:1103833.

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2023The Negative Pricing of the May 2020 WTI Contract. (2023). Miffre, Joelle ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Post-Print. RePEc:hal:journl:hal-03933797.

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2023Can Regulation Affect the Solvency of Insurers? New Evidence from European Insurers. (2023). Agiropoulos, Charalampos ; Chen, James Ming ; Poufinas, Thomas ; Siopi, Evaggelia. In: International Advances in Economic Research. RePEc:kap:iaecre:v:29:y:2023:i:1:d:10.1007_s11294-023-09867-w.

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2023Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72..

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2023The Impact of Risk Cycles on Business Cycles: A Historical View. (2023). Zer, Ilknur ; Valenzuela, Marcela ; Danielsson, Jon. In: Review of Financial Studies. RePEc:oup:rfinst:v:36:y:2023:i:7:p:2922-2961..

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2023Decoupling VaR and regulatory capital: an examination of practitioners’ experience of market risk regulation. (2023). Killian, Sheila ; Cummins, Mark ; McCullagh, Orla. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:24:y:2023:i:3:d:10.1057_s41261-022-00199-z.

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2023Environmental sustainability and financial stability: can macroprudential stress testing measure and mitigate climate-related systemic financial risk?. (2023). Demenno, Mercy Berman. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:24:y:2023:i:4:d:10.1057_s41261-022-00207-2.

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2023Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets. (2023). Kambouroudis, Dimos ; McMillan, David G ; Sahiner, Mehmet. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:3:d:10.1007_s12197-023-09629-8.

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2023Modeling Long Term Return Distribution and Nonparametric Market Risk Estimation. (2023). Powdel, Tushar Kanti ; Dutta, Santanu. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-023-00303-x.

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2023Value-at-Risk Estimation Using an Interpolated Distribution of Financial Returns Series. (2023). Poorabbas, Solmaz ; Shaker-Akhtekhane, Saeed. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:1:f:13_1_6.

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2023Consistency, distributional convergence, and optimality of score-driven filters. (2023). Lucas, Andre ; Lin, Yicong ; Beutner, Eric A. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230051.

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2023Retracted: Enriching the value?at?risk framework to ensemble empirical mode decomposition with an application to the European carbon market. (2023). Wei, Yiming ; Chevallier, Julien ; Wang, Ping ; Zhu, Bangzhu. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2975-2988.

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2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

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2023Less disagreement, better forecasts: Adjusted risk measures in the energy futures market. (2023). Xue, Xiaohan ; Gong, Yujing ; Zhang, Ning. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1332-1372.

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2023Does financial leverage volatility induce systemic financial risk? Empirical insight based on the Chinese fintech sector. (2023). Bian, Yang ; Wu, Desheng ; Zhang, Mengting ; Yang, Yingjie ; He, Jian ; Zheng, Zhiyong ; Cao, Jianhong. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:44:y:2023:i:2:p:1142-1161.

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Works by Jon Danielsson:


YearTitleTypeCited
2000Value-at-Risk and Extreme Returns In: Annals of Economics and Statistics.
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article110
1998Value-at-Risk and Extreme Returns.(1998) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 110
paper
2012Endogenous Extreme Events and the Dual Role of Prices In: Annual Review of Economics.
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article13
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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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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paper11
2016Tail index estimation: quantile driven threshold selection.(2016) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 11
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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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article2
2009On the efficacy of financial regulations. In: Financial Stability Review.
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article0
In: .
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article10
1996Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code In: Studies in Nonlinear Dynamics & Econometrics.
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article1
1996Tail Index and Quantile Estimation with Very High Frequency Data In: CESifo Working Paper Series.
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paper16
2006Comparing downside risk measures for heavy tailed distributions In: Economics Letters.
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article20
2005Comparing downside risk measures for heavy tailed distribution.(2005) In: LSE Research Online Documents on Economics.
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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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article172
1998Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models In: Journal of Empirical Finance.
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article41
2005Highwaymen or heroes: Should hedge funds be regulated?: A survey In: Journal of Financial Stability.
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article8
2016Model risk of risk models In: Journal of Financial Stability.
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article67
2014Model risk of risk models.(2014) In: LSE Research Online Documents on Economics.
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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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article20
2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
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article45
2002The emperor has no clothes: Limits to risk modelling In: Journal of Banking & Finance.
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article54
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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This paper has nother version. Agregated cites: 15
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2004The impact of risk regulation on price dynamics In: Journal of Banking & Finance.
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article98
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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article51
2003On time-scaling of risk and the square–root–of–time rule.(2003) In: LSE Research Online Documents on Economics.
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2014Risk models-at-risk In: Journal of Banking & Finance.
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article33
2014Risk models–at–risk.(2014) In: LSE Research Online Documents on Economics.
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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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2002Real trading patterns and prices in spot foreign exchange markets In: Journal of International Money and Finance.
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article86
2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation In: Journal of Multivariate Analysis.
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article68
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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paper2
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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paper23
2008Equilibrium asset pricing with systemic risk.(2008) In: LSE Research Online Documents on Economics.
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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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2005Subadditivity re–examined: the case for value-at-risk In: LSE Research Online Documents on Economics.
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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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2016Learning from History : Volatility and Financial Crises.(2016) In: Finance and Economics Discussion Series.
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