Jon Danielsson : Citation Profile

Are you Jon Danielsson?

London School of Economics (LSE)

20

H index

31

i10 index

1450

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: 103.    Total self citations: 25 (1.69 %)

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   Permalink: http://citec.repec.org/pda10
   Updated: 2023-11-04    RAS profile: 2021-06-05    
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Relations with other researchers

Works with:

de Vries, Casper (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 (19)

Koopman, Siem Jan (19)

cotter, john (19)

Ruiz, Esther (18)

BORIO, Claudio (14)

Gambacorta, Leonardo (14)

Zoega, Gylfi (13)

Andersen, Torben (11)

Pagano, Marco (11)

Darné, Olivier (11)

Hafner, Christian (10)

Cites to:

de Vries, Casper (25)

Bollerslev, Tim (22)

Engle, Robert (22)

Shin, Hyun Song (19)

Hurlin, Christophe (16)

Shleifer, Andrei (12)

Zigrand, Jean-Pierre (11)

Summers, Lawrence (9)

Brunnermeier, Markus (9)

Laurent, Sébastien (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
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 (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 (2023 and 2022)

YearTitle of citing document
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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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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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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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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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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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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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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2022The credit risk of Chinese households: A micro?level assessment. (2022). Funke, Michael ; Zhu, Linxu ; Sun, Rongrong. In: Pacific Economic Review. RePEc:bla:pacecr:v:27:y:2022:i:3:p:254-276.

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2022Capital and Labor Income Pareto Exponents Across Time and Space. (2022). Toda, Alexis Akira ; de Vries, Tjeerd. In: Review of Income and Wealth. RePEc:bla:revinw:v:68:y:2022:i:4:p:1058-1078.

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2022A Framework for Macroprudential Stress Testing. (2022). Shaw, Frances ; Rice, Jonathan ; Morell, Joe. In: Research Technical Papers. RePEc:cbi:wpaper:7/rt/22.

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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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2022The shifts and the shocks: bank risk, leverage, and the macroeconomy. (2022). Zimmermann, Kaspar ; Richter, Bjorn ; Kuvshinov, Dmitry. In: Working Paper Series. RePEc:ecb:ecbwps:20222672.

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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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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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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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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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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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2022Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic. (2022). Jareño, Francisco ; Umar, Zaghum ; Jareo, Francisco ; Esparcia, Carlos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000328.

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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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2022Estimation and inference about tail features with tail censored data. (2022). Xiao, Zhijie ; Wang, Yulong. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:363-387.

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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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2022High-dimensional GARCH process segmentation with an application to Value-at-Risk. (2022). Korkas, Karolos K ; Cho, Haeran. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:187-203.

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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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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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2022Oil tail risk and the tail risk of the US Dollar exchange rates. (2022). Salisu, Afees ; Tchankam, Jean Paul ; Olaniran, Abeeb. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001360.

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2022Tail risk, systemic risk and spillover risk of crude oil and precious metals. (2022). Benjasak, Chonlakan ; Kumpamool, Chamaiporn ; Chaudhry, Sajid M ; Ahmed, Rizwan. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002298.

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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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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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2022Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns. (2022). Bouri, Elie ; Zhou, Wenyu ; Zaremba, Adam ; Long, Huaigang. In: Journal of Financial Markets. RePEc:eee:finmar:v:61:y:2022:i:c:s1386418122000295.

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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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2022Financial stress transmission between the U.S. and the Euro Area. (2022). Kutan, Ali M ; Dibooglu, Sel ; Cevik, Emrah Ismail ; Altinkeski, Buket Kirci. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000328.

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2022Euro area banking and monetary policy shocks in the QE era. (2022). Kabundi, Alain ; de Simone, Francisco Nadal. In: Journal of Financial Stability. RePEc:eee:finsta:v:63:y:2022:i:c:s1572308922000845.

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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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2022Sovereign risk and financial risk. (2022). Zakrajek, Egon ; Yue, Vivian Z ; Wei, Bin ; Gilchrist, Simon. In: Journal of International Economics. RePEc:eee:inecon:v:136:y:2022:i:c:s0022199622000356.

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2022Extreme-value based estimation of the conditional tail moment with application to reinsurance rating. (2022). Qin, Jing ; Pedersen, Tine ; Guillou, Armelle ; Goegebeur, Yuri. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:102-122.

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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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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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2022Rocking the boat: How relative performance evaluation affects corporate risk taking. (2022). Zuo, Luo ; Zhang, Huai ; Do, Truc. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:73:y:2022:i:1:s0165410121000409.

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2022Artificial intelligence and systemic risk. (2022). Uthemann, Andreas ; MacRae, Robert ; Danielsson, Jon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426621002466.

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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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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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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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2022Forecasting oil prices over 150 years: The role of tail risks. (2022). Salisu, Afees ; GUPTA, RANGAN ; Ji, Qiang. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721005158.

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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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2022Conventional monetary policy, COVID-19, and stock markets in emerging economies. (2022). Maheepala, M. M. J. D., ; Iyke, Bernard Njindan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:76:y:2022:i:c:s0927538x22001780.

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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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2022New collectivity measures for financial covariances and correlations. (2022). Guhr, Thomas ; Heckens, Anton J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:604:y:2022:i:c:s0378437122004666.

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2022Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region. (2022). Hedhli, Amel ; Chebbi, Ali. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:84:y:2022:i:c:p:430-445.

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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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2022Estimating tail-risk using semiparametric conditional variance with an application to meme stocks. (2022). Khanom, Najrin ; Daddona, Stefano. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:241-260.

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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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2022Artificial 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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2022Quantifying impact and response in markets using information filtering networks. (2022). Aste, Tomaso ; Caccioli, Fabio ; Seabrook, Isobel. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:115308.

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2022The impact of risk cycles on business cycles: a historical view. (2022). Zer, Ilknur ; Valenzuela, Marcela ; Danielsson, Jon. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:117384.

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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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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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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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2022South African Banks’ Cross-Border Systemic Risk Exposure: An Application of the GAS Copula Marginal Expected Shortfall. (2022). Muteba Mwamba, John Weirstrass ; Manguzvane, Mathias Mandla. In: IJFS. RePEc:gam:jijfss:v:10:y:2022:i:1:p:18-:d:763298.

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2022Quantifying Foreign Exchange Risk in the Selected Listed Sectors of the Johannesburg Stock Exchange: An SV-EVT Pairwise Copula Approach. (2022). Eita, Joel ; Tchuinkam, Charles Raoul. In: IJFS. RePEc:gam:jijfss:v:10:y:2022:i:2:p:24-:d:784927.

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2022.

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2022Exploration of China–ASEAN Trade Relations in the Context of Sustainable Economic Development—Based on the Lotka–Volterra Model. (2022). Liu, Ya-Zhen ; Zhao, Tian-Cheng ; Wang, Sheng-Yuan ; Yu, Xin ; Ruan, Wen-Xi. In: Sustainability. RePEc:gam:jsusta:v:15:y:2022:i:1:p:517-:d:1017975.

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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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2022On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2022). de Peretti, Christian ; Sabkha, Saker. In: Post-Print. RePEc:hal:journl:hal-01710398.

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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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2022Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul. In: Working Papers. RePEc:hal:wpaper:hal-03679434.

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2022Deviation-Based Model Risk Measures. (2022). Righi, Marcelo Brutti ; Lakhnati, Ghizlane ; Muller, Fernanda Maria ; Berkhouch, Mohammed. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10093-x.

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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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2022Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza-Maya, Ruben ; Martin, Gael M ; Frazier, David T. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2022-1.

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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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2022Estimación clásica y bayesiana de la volatilidad en el modelo de Black-Scholes. (2022). Manotas, Diego Fernando ; Garcia, Isabel Cristina ; Tovar, Jose Rafael ; Cangrejo, Alvaro Javier. In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration. RePEc:pab:rmcpee:v:34:y:2022:i:1:p:237-262.

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2022Uncertainty Before and During COVID-19: A Survey. (2022). Castelnuovo, Efrem. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0279.

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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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2022Market and model risks: a feasible joint estimate methodology. (2022). Segovia, Ana I ; Ibaez, Eva M ; Gonzalez-Sanchez, Mariano. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:3:d:10.1057_s41283-022-00090-1.

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2022Cross-Market Spoofing. (2022). Vakili, Kaveh ; Susai, Masayuki ; Soviany, Cristina ; Doraghi, Mehrdaad ; Stenfors, Alexis. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2022-04.

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2022Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies. (2022). Maecka, Marta ; Fiszeder, Piotr. In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:17:y:2022:i:4:p:939-967.

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2022Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion. (2022). Barthelemy, Fabrice ; Amedee-Manesme, Charles-Olivier. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03858-4.

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2022Portfolio choice in the model of expected utility with a safety-first component. (2022). Jansen, Dennis W ; Liu, Liqun. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-021-00347-6.

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2022Bias-optimal vol-of-vol estimation: the role of window overlapping. (2022). Toscano, Giacomo ; Recchioni, Maria Cristina. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-021-00349-4.

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2022Operational risk assessment of third-party payment platforms: a case study of China. (2022). Li, jianping ; Yao, Yinhong. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00332-x.

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2022Fuelling fire sales? Prudential regulation and crises: evidence from the Italian market. (2022). leardi, alessandro. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:46:y:2022:i:1:d:10.1007_s12197-021-09558-4.

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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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2022A Mathematical Model for the Pricing of Derivative Financial Products: the Role of the Banking Supervision and of the Model Risk. (2022). Vota, Luca ; Ferrentino, Rosa. In: Journal of Finance and Investment Analysis. RePEc:spt:fininv:v:11:y:2022:i:1:f:11_1_2.

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2022Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter. (2022). Wolters, Maik ; Quast, Josefine. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:40:y:2022:i:1:p:152-168.

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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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2022Margin requirements based on a stochastic correlation model. (2022). Varadi, Kata ; Szabo, David Zoltan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1797-1820.

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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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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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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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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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2019Tail Index Estimation: Quantile-Driven Threshold Selection In: Staff Working Papers.
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2016Tail index estimation: quantile driven threshold selection.(2016) In: LSE Research Online Documents on Economics.
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1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
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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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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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2013Fat tails, VaR and subadditivity In: Journal of Econometrics.
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1994Stochastic volatility in asset prices estimation with simulated maximum likelihood 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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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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2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article45
2002The emperor has no clothes: Limits to risk modelling In: Journal of Banking & Finance.
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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 In: Journal of Banking & Finance.
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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.
[Full Text][Citation analysis]		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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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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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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper21
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.
[Full Text][Citation analysis]		paper2
2005Subadditivity re–examined: the case for value-at-risk In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper19
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.
[Full Text][Citation analysis]		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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2001What happens when you regulate risk?: evidence from a simple equilibrium model In: LSE Research Online Documents on Economics.
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2011Balance sheet capacity and endogenous risk In: LSE Research Online Documents on Economics.
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2013Political challenges of the macroprudential agenda In: LSE Research Online Documents on Economics.
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2015Why risk is so hard to measure In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper6
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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2018Learning from history: volatility and financial crises.(2018) 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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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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2017Brexit and the implications for financial services In: SUERF Studies.
[Full Text][Citation analysis]		book3
2018Low Risk as a Predictor of Financial Crises In: FEDS Notes.
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2022How global risk perceptions affect economic growth In: FEDS Notes.
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2022The impact of risk cycles on business cycles: a historical view In: International Finance Discussion Papers.
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1998The value of value at risk: statistical, financial, and regulatory considerations (summary) In: Economic Policy Review.
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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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2011Lessons from a collapse of a financial system In: Economic Policy.
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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.
[Full Text][Citation analysis]		article13
1998Beyond the Sample: Extreme Quantile and Probability Estimation In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper9
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.
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2007Currency Crises, (Hidden) Linkages and Volume In: World Scientific Book Chapters.
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