22
H index
36
i10 index
1679
Citations
London School of Economics (LSE) | 22 H index 36 i10 index 1679 Citations RESEARCH PRODUCTION: 38 Articles 79 Papers 2 Books 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 6 |
Journal of Financial Stability | 3 |
The Review of Financial Studies | 2 |
Financial Stability Review | 2 |
Journal of Econometrics | 2 |
The European Journal of Finance | 2 |
Year | Title of citing document |
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2024 | Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049. Full description at Econpapers || Download paper |
2024 | Deep Limit Order Book Forecasting. (2024). Bartolucci, Silvia ; Aste, Tomaso ; Briola, Antonio. In: Papers. RePEc:arx:papers:2403.09267. Full description at Econpapers || Download paper |
2024 | Artificial intelligence and financial crises. (2024). Danielsson, Jon ; Uthemann, Andreas. In: Papers. RePEc:arx:papers:2407.17048. Full description at Econpapers || Download paper |
2025 | The impact of climate policy uncertainty on financial market resilience: Evidence from China. (2025). Zhou, Wei-Xing ; Wei, Si-Yao. In: Papers. RePEc:arx:papers:2409.18422. Full description at Econpapers || Download paper |
2025 | Financial instability transition under heterogeneous investments and portfolio diversification. (2025). Caccioli, Fabio ; Bartolucci, Silvia ; Aufiero, Sabrina ; Vivo, Pierpaolo ; Budnick, Barak ; Forer, Preben. In: Papers. RePEc:arx:papers:2501.19260. Full description at Econpapers || Download paper |
2024 | Intelligent financial system: how AI is transforming finance. (2024). Shreeti, Vatsala ; Korinek, Anton ; Gambacorta, Leonardo ; Aldasoro, Iñaki ; Stein, Merlin. In: BIS Working Papers. RePEc:bis:biswps:1194. Full description at Econpapers || Download paper |
2024 | Good risk measures, bad statistical assumptions, ugly risk forecasts. (2024). Poudyal, Niraj ; Michaelides, Michael. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:2:p:519-543. Full description at Econpapers || Download paper |
2024 | Tackling the volatility paradox: spillover persistence and systemic risk. (2024). Kubitza, Christian. In: Working Paper Series. RePEc:ecb:ecbwps:20242981. Full description at Econpapers || Download paper |
2024 | Exploring Trends and Advancements in Financial Distress Prediction Research: A Bibliometric Study. (2024). Sethi, Soumya Ranjan ; Bilolikar, Rajkiran V ; Mahadik, Dushyant Ashok. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-01-16. Full description at Econpapers || Download paper |
2024 | Riding the waves of investor sentiment: Cryptocurrency price and renewable energy volatility during the pandemic-war era. (2024). Ha, Le Thanh ; Bouteska, A ; Safa, Faisal M ; Hassan, Kabir M. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:44:y:2024:i:c:s2214635024001163. Full description at Econpapers || Download paper |
2024 | Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x. Full description at Econpapers || Download paper |
2024 | Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001420. Full description at Econpapers || Download paper |
2024 | How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x. Full description at Econpapers || Download paper |
2024 | Systemic risk monitoring model from the perspective of public information arrival. (2024). Wu, Yan ; Zhu, Xingting ; Yan, Han ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664. Full description at Econpapers || Download paper |
2025 | Who is smarter? Evidence from extreme financial risk contagion in hedge funds and mutual funds. (2025). Fu, Xinxin ; Luo, Changqing ; Dong, Liang ; Chen, Carl R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002080. Full description at Econpapers || Download paper |
2024 | Maximum likelihood estimation of latent Markov models using closed-form approximations. (2024). Ait-Sahalia, Yacine ; Xu, Chen. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389. Full description at Econpapers || Download paper |
2024 | Integrated nested Laplace approximations for threshold stochastic volatility models. (2024). Veiga, Helena ; de Zea, P ; Marin, Miguel J ; Rue, Hvard. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35. Full description at Econpapers || Download paper |
2024 | Does systemic risk in the fund markets predict future economic downturns?. (2024). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000218. Full description at Econpapers || Download paper |
2024 | Economic policy uncertainty and stock market volatility in China: Evidence from SV-MIDAS-t model. (2024). Li, Yong ; Wang, Nianling ; Yin, Jiyuan. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s105752192400022x. Full description at Econpapers || Download paper |
2024 | To hedge or not to hedge? Cryptocurrencies, gold and oil against stock market risk. (2024). Kliber, Agata ; Just, Magorzata ; Echaust, Krzysztof. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002242. Full description at Econpapers || Download paper |
2024 | Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe. (2024). Cincinelli, Peter ; Urga, Giovanni ; Pellini, Elisabetta. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002552. Full description at Econpapers || Download paper |
2024 | A machine learning approach in stress testing US bank holding companies. (2024). Fonton, Ahmadou Mustapha. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004083. Full description at Econpapers || Download paper |
2024 | What drives stock returns across countries? Insights from machine learning models. (2024). Zaremba, Adam ; Cakici, Nusret. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005015. Full description at Econpapers || Download paper |
2024 | Interbank deposits and bank systemic risk. (2024). Cao, Zhiling ; Wen, Fenghua ; Sadiq, Muhammad ; Liu, Yulin. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006501. Full description at Econpapers || Download paper |
2024 | Does Fintech development affect capital misallocation: A non-linear and spatial spillover perspective. (2024). Lan, Yijia. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012199. Full description at Econpapers || Download paper |
2024 | Decoding financial performance of US-listed entities: A sectoral exploration of input efficiency amid stochastic volatility. (2024). Kumar, Nikeel Nishkar ; Andrews, Antony. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004884. Full description at Econpapers || Download paper |
2024 | Artificial intelligence innovation and corporate environmental investment: A contingent view. (2024). Chen, Shishuo ; Hu, Liang. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012911. Full description at Econpapers || Download paper |
2025 | Fueling financial development: The crucial role of generative AI financing across nations. (2025). Li, Yong ; Siddik, Abu Bakkar ; Migliavacca, Milena ; Du, Anna Min. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015484. Full description at Econpapers || Download paper |
2024 | Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system. (2024). Armanious, Amir. In: Journal of Financial Stability. RePEc:eee:finsta:v:73:y:2024:i:c:s1572308924000585. Full description at Econpapers || Download paper |
2024 | Macroprudential policy and systemic risk in G20 nations. (2024). Narayan, Shivani ; Kumar, Dilip. In: Journal of Financial Stability. RePEc:eee:finsta:v:75:y:2024:i:c:s1572308924001256. Full description at Econpapers || Download paper |
2025 | Lending standards and output growth. (2025). Kirti, Divya. In: Journal of Financial Stability. RePEc:eee:finsta:v:76:y:2025:i:c:s1572308924001360. Full description at Econpapers || Download paper |
2024 | Changes in shares outstanding and country stock returns around the world. (2024). Umar, Zaghum ; Chiah, Mardy ; Long, Huaigang ; Zaremba, Adam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001518. Full description at Econpapers || Download paper |
2024 | Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001543. Full description at Econpapers || Download paper |
2024 | Trade fragmentation and volatility-of-volatility networks. (2024). JAWADI, Fredj ; BASTIDON, Cécile. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001762. Full description at Econpapers || Download paper |
2024 | Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Fritzsch, Simon ; Timphus, Maike ; Weiss, Gregor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261. Full description at Econpapers || Download paper |
2024 | Intermediary-based equity term structure. (2024). Li, Kai ; Xu, Chenjie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:157:y:2024:i:c:s0304405x24000795. Full description at Econpapers || Download paper |
2024 | Getting the right tail right: Modeling tails of health expenditure distributions. (2024). Ziebarth, Nicolas ; Karlsson, Martin ; Wang, Yulong. In: Journal of Health Economics. RePEc:eee:jhecon:v:97:y:2024:i:c:s0167629624000572. Full description at Econpapers || Download paper |
2024 | Does “Lean Against the Wind” monetary policy improve welfare in a commodity exporter?. (2024). Tsomocos, Dimitrios ; Peiris, Udara ; Shirobokov, A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:141:y:2024:i:c:s0261560623002139. Full description at Econpapers || Download paper |
2024 | On extreme quantile region estimation under heavy-tailed elliptical distributions. (2024). Ilmonen, Pauliina ; Viitasaari, Lauri ; Pere, Jaakko. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:202:y:2024:i:c:s0047259x24000216. Full description at Econpapers || Download paper |
2025 | Maximum likelihood estimation of elliptical tail. (2025). Lee, Sangyeol ; Kim, Moosup. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:205:y:2025:i:c:s0047259x24000897. Full description at Econpapers || Download paper |
2024 | On the estimation of Value-at-Risk and Expected Shortfall at extreme levels. (2024). Wang, Shixuan ; Lazar, Emese ; Pan, Jingqi. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000102. Full description at Econpapers || Download paper |
2024 | Corporate responses to systemic risk: Talk and action. (2024). Wu, Chunchi ; Wen, Fenghua ; Wang, Junbo ; Liu, Yulin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x24002452. Full description at Econpapers || Download paper |
2024 | Quantifying endogenous and exogenous shocks to financial sector systemic risk: A comparison of GFC and COVID-19. (2024). Umar, Zaghum ; Teplova, Tamara ; Choi, Sun-Yong ; Usman, Muhammad. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:281-293. Full description at Econpapers || Download paper |
2024 | Simulating and assessing carbon markets: Application to the Korean and the EU ETSs. (2024). Yoon, Soeun ; Jung, Seoyoung ; Jang, Minchul ; Min, Baehyun. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:195:y:2024:i:c:s1364032124000698. Full description at Econpapers || Download paper |
2024 | Competitive runs on Government debt. (2024). moretto, michele ; Parigi, Bruno M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:131-158. Full description at Econpapers || Download paper |
2024 | Forecasting the effect of extreme sea-level rise on financial market risk. (2024). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:1-27. Full description at Econpapers || Download paper |
2024 | Business and financial cycle across regimes: Does financial stress matter?. (2024). Cucculelli, Marco ; Sullo, Valerio ; Giampaoli, Noemi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006373. Full description at Econpapers || Download paper |
2024 | Interconnectedness and systemic risk: Evidence from global stock markets. (2024). Çevik, Emrah ; Kilic, Yunus ; Dibooglu, Sel ; Bugan, Mehmet Fatih ; Terzioglu, Hande Caliskan ; Cevik, Emrah Ismail. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000758. Full description at Econpapers || Download paper |
2025 | Loan loss provisions of European banks – Does macroprudential tightening matter?. (2025). Skała, Dorota ; Godlewski, Christophe ; Skaa, Dorota ; Roszkowska, Sylwia ; Olszak, Magorzata. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pb:s0275531924004355. Full description at Econpapers || Download paper |
2024 | The GARCH-EVT-Copula Approach to Investigating Dependence and Quantifying Risk in a Portfolio of Bitcoin and the South African Rand. (2024). Chikobvu, Delson ; Ndlovu, Thabani. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:11:p:504-:d:1517218. Full description at Econpapers || Download paper |
2024 | AI as financial infrastructure?. (2024). Parana, Edemilson. In: SocArXiv. RePEc:osf:socarx:ub92z. Full description at Econpapers || Download paper |
2024 | Uncertainty and bank risk in an emerging market: The moderating role of business models. (2024). Huynh, Japan ; Hue, Thi Minh. In: PLOS ONE. RePEc:plo:pone00:0297973. Full description at Econpapers || Download paper |
2024 | Evaluating the discrimination ability of proper multi-variate scoring rules. (2024). Alexander, Carol ; Meng, X ; Han, Y ; Coulon, M. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04611-9. Full description at Econpapers || Download paper |
2024 | Quantum Algorithms. (2024). Hull, Isaiah ; Sattath, OR ; Diamanti, Eleni ; Wendin, Gran. In: Contributions to Economics. RePEc:spr:conchp:978-3-031-50780-9_3. Full description at Econpapers || Download paper |
2024 | Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes. (2024). Maghyereh, Aktham ; Ziadat, Salem Adel. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00592-1. Full description at Econpapers || Download paper |
2024 | A novel robust method for estimating the covariance matrix of financial returns with applications to risk management. (2024). Toscano, Pietro ; Leccadito, Arturo ; Staino, Alessandro. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00642-2. Full description at Econpapers || Download paper |
2024 | The comovements of tail risks in time and frequency domains: evidence from US and emerging Asian stock markets. (2024). Baba, Boubekeur. In: Future Business Journal. RePEc:spr:futbus:v:10:y:2024:i:1:d:10.1186_s43093-024-00350-4. Full description at Econpapers || Download paper |
2024 | Forecasting risk and return of listed real estate:. (2024). Brandt, Felix ; Lausberg, Carsten. In: Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research). RePEc:spr:gjorer:v:10:y:2024:i:1:d:10.1365_s41056-024-00070-4. Full description at Econpapers || Download paper |
2025 | Estimation and specification test for diffusion models with stochastic volatility. (2025). Gonzlez-Manteiga, W ; Febrero-Bande, M ; Lpez-Prez, A. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01652-z. Full description at Econpapers || Download paper |
2024 | International Portfolio Diversification Benefits: An Empirical Investigation of the 28 European Stock Markets During the Period 2014–2024. (2024). Azra, Zaimovic ; Rijad, Belija ; Almira, Arnaut-Berilo. In: South East European Journal of Economics and Business. RePEc:vrs:seejeb:v:19:y:2024:i:1:p:96-112:n:1007. Full description at Econpapers || Download paper |
2025 | Margin buying activity and stock market trading in China: Is there a connection?. (2025). Wu, Shitong ; Hong, Hui ; Zhang, Cheng. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1564-1582. Full description at Econpapers || Download paper |
2024 | High–low volatility spillover network between economic policy uncertainty and commodity futures markets. (2024). Xiang, Youtao ; Borjigin, Sumuya. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:8:p:1295-1319. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2000 | Value-at-Risk and Extreme Returns In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 114 |
1997 | Value-at-risk and extreme returns.(1997) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 114 | paper | |
1998 | Value-at-Risk and Extreme Returns.(1998) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 114 | paper | |
2012 | Endogenous Extreme Events and the Dual Role of Prices In: Annual Review of Economics. [Full Text][Citation analysis] | article | 15 |
2015 | Designating market maker behaviour in Limit Order Book markets In: Papers. [Full Text][Citation analysis] | paper | 3 |
2018 | Designating market maker behaviour in limit order book markets.(2018) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2018 | Designating market maker behaviour in limit order book markets.(2018) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2024 | On the use of artificial intelligence in financial regulations and the impact on financial stability In: Papers. [Full Text][Citation analysis] | paper | 2 |
2018 | Challenges in Implementing Worst-Case Analysis In: Staff Working Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Tail Index Estimation: Quantile-Driven Threshold Selection In: Staff Working Papers. [Full Text][Citation analysis] | paper | 12 |
2016 | Tail index estimation: quantile driven threshold selection.(2016) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
1994 | Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 3 |
2007 | Regulating hedge funds. In: Financial Stability Review. [Full Text][Citation analysis] | article | 2 |
2009 | On the efficacy of financial regulations. In: Financial Stability Review. [Full Text][Citation analysis] | article | 0 |
2023 | Central banks, macro-financial stability and the future of the financial system In: BIS Papers. [Full Text][Citation analysis] | book | 0 |
In: . [Citation analysis] | article | 11 | |
1996 | Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
1996 | Tail Index and Quantile Estimation with Very High Frequency Data In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 16 |
2006 | Comparing downside risk measures for heavy tailed distributions In: Economics Letters. [Full Text][Citation analysis] | article | 23 |
2005 | Comparing downside risk measures for heavy tailed distribution.(2005) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | ||
2013 | Fat tails, VaR and subadditivity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 54 |
1994 | Stochastic volatility in asset prices estimation with simulated maximum likelihood In: Journal of Econometrics. [Full Text][Citation analysis] | article | 174 |
1998 | Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 42 |
2005 | Highwaymen or heroes: Should hedge funds be regulated?: A survey In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 9 |
2016 | Model risk of risk models In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 78 |
2014 | Model risk of risk models.(2014) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 78 | paper | |
2016 | Model risk of risk models.(2016) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 78 | paper | |
2014 | Model Risk of Risk Models.(2014) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 78 | paper | |
2008 | Blame the models In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 19 |
2013 | Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 49 |
2022 | Artificial intelligence and systemic risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 12 |
2022 | Artificial intelligence and systemic risk.(2022) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2002 | The emperor has no clothes: Limits to risk modelling In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 60 |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | ||
2002 | Incentives for effective risk management In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 17 |
2001 | Incentives for Effective Risk Management.(2001) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2004 | The impact of risk regulation on price dynamics In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 101 |
2004 | The impact of risk regulation on price dynamics.(2004) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 101 | paper | |
2006 | On time-scaling of risk and the square-root-of-time rule In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 57 |
2003 | On time-scaling of risk and the square–root–of–time rule.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 57 | paper | |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 57 | paper | ||
2014 | Risk models-at-risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 37 |
2014 | Risk models–at–risk.(2014) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2014 | Risk models-at-risk.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2014 | Risk Model-at-Risk.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2014 | Risk models-at-risk.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2002 | Real trading patterns and prices in spot foreign exchange markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 96 |
1999 | Real trading patterns and prices in spot foreign exchange markets.(1999) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 96 | paper | |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 96 | paper | ||
2001 | Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 72 |
2000 | Using a bootstrap method to choose the sample fraction in tail index estimation.(2000) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 72 | paper | |
1997 | Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation.(1997) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 72 | paper | |
2023 | The impact of risk cycles on business cycles: a historical view In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 3 |
2022 | The impact of risk cycles on business cycles: a historical view.(2022) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2023 | The Impact of Risk Cycles on Business Cycles: A Historical View.(2023) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2020 | Financial volatility and economic growth, 1870-2016 In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 0 |
2018 | Cryptocurrencies: policy, economics and fairness In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 0 |
2018 | Market resilience In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 0 |
2018 | Learning from history: volatility and financial crises In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 97 |
2016 | Learning from history: volatility and financial crises.(2016) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 97 | paper | |
2018 | Learning from history: volatility and financial crises.(2018) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 97 | paper | |
2016 | Learning from History : Volatility and Financial Crises.(2016) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 97 | paper | |
2018 | Learning from History: Volatility and Financial Crises.(2018) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 97 | article | |
2001 | Asset price dynamics with value-at-risk constrained traders In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 8 |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | ||
1998 | Beyond the sample: extreme quantile and probability estimation In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 28 |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | ||
1998 | Beyond the Sample: Extreme Quantile and Probability Estimation.(1998) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
2015 | Can we prove a bank guilty of creating systemic risk? A minority report In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 19 |
2015 | Can we prove a bank guilty of creating systemic risk? A minority report.(2015) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2016 | Can we prove a bank guilty of creating systemic risk? A minority report.(2016) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
2016 | Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report.(2016) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
2007 | On the impact of fundamentals, liquidity and coordination on market stability In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | ||
2011 | ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY.(2011) In: International Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2010 | On the impact of fundamentals, liquidity and coordination on market stability.(2010) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2006 | Equilibrium asset pricing with systemic risk In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 25 |
2008 | Equilibrium asset pricing with systemic risk.(2008) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | ||
2008 | Equilibrium asset pricing with systemic risk.(2008) In: Economic Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
2006 | Consistent measures of risk In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 3 |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | ||
2005 | Subadditivity re–examined: the case for value-at-risk In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 41 |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | ||
2004 | Feedback trading In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 0 |
2004 | Highwaymen or heroes: should hedge funds be regulated? In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
2003 | Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 10 |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | ||
2001 | What happens when you regulate risk?: evidence from a simple equilibrium model In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 16 |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | ||
2011 | Balance sheet capacity and endogenous risk In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 54 |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 54 | paper | ||
2013 | Political challenges of the macroprudential agenda In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 1 |
2015 | Why risk is so hard to measure In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 7 |
2016 | The fatal flaw in macropru: it ignores political risk In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 1 |
2016 | Why macropru can end up being procyclical In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
2017 | Brexit and systemic risk In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 1 |
2017 | Brexit and the implications for financial services In: SUERF Studies. [Full Text][Citation analysis] | book | 3 |
2018 | Low Risk as a Predictor of Financial Crises In: FEDS Notes. [Full Text][Citation analysis] | paper | 0 |
2022 | How global risk perceptions affect economic growth In: FEDS Notes. [Full Text][Citation analysis] | paper | 2 |
1998 | The value of value at risk: statistical, financial, and regulatory considerations (summary) In: Economic Policy Review. [Full Text][Citation analysis] | article | 0 |
In: . [Full Text][Citation analysis] | paper | 6 | |
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In: . [Full Text][Citation analysis] | paper | 28 | |
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In: . [Full Text][Citation analysis] | paper | 1 | |
2006 | Feedback trading This paper is also available at www.riskresearch.org In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 1 |
2000 | Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market In: Monetary and Economic Studies. [Full Text][Citation analysis] | article | 22 |
2018 | Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks In: IMF Working Papers. [Full Text][Citation analysis] | paper | 20 |
1993 | Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 85 |
2008 | Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation In: Annals of Finance. [Full Text][Citation analysis] | article | 9 |
2012 | Regime switches in the volatility and correlation of financial institutions In: Working Paper Research. [Full Text][Citation analysis] | paper | 6 |
2012 | Endogenous and Systemic Risk In: NBER Chapters. [Full Text][Citation analysis] | chapter | 22 |
2003 | On the Feasibility of Risk Based Regulation In: CESifo Economic Studies. [Full Text][Citation analysis] | article | 9 |
2011 | Lessons from a collapse of a financial system In: Economic Policy. [Full Text][Citation analysis] | article | 38 |
2012 | Liquidity determination in an order-driven market In: The European Journal of Finance. [Full Text][Citation analysis] | article | 11 |
2012 | Exchange rate determination and inter-market order flow effects In: The European Journal of Finance. [Full Text][Citation analysis] | article | 13 |
1998 | Abnormal Returns, Risk, and Options in Large Data Sets In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2001 | Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2007 | Currency Crises, (Hidden) Linkages and Volume In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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