Jon Danielsson : Citation Profile

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:

   31 years (1993 - 2024). See details.
   Cites by year: 54
   Journals where Jon Danielsson has often published
   Relations with other researchers
   Recent citing documents: 62.    Total self citations: 29 (1.7 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pda10
   Updated: 2025-06-14    RAS profile: 2024-04-05    
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Relations with other researchers

Works with:

Uthemann, Andreas (2)

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

Is cited by:

cotter, john (22)

Asai, Manabu (21)

Koopman, Siem Jan (18)

Ruiz, Esther (18)

Farmer, J. (16)

Gambacorta, Leonardo (15)

BORIO, Claudio (14)

Diebold, Francis (14)

Andersen, Torben (14)

Zoega, Gylfi (13)

Adrian, Tobias (12)

Cites to:

Bollerslev, Tim (29)

Engle, Robert (26)

de Vries, Casper (24)

Shin, Hyun Song (23)

Hurlin, Christophe (15)

Shleifer, Andrei (12)

Zigrand, Jean-Pierre (11)

Grossman, Sanford (10)

Perignon, Christophe (10)

Summers, Lawrence (9)

Zakrajšek, Egon (9)

Main data

Where Jon Danielsson has published?

Journals with more than one article published# docs
Journal of Banking & Finance6
Journal of Financial Stability3
The Review of Financial Studies2
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
Papers / arXiv.org2
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 (2025 and 2024)

YearTitle of citing document
2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2024Deep Limit Order Book Forecasting. (2024). Bartolucci, Silvia ; Aste, Tomaso ; Briola, Antonio. In: Papers. RePEc:arx:papers:2403.09267.

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2024Artificial intelligence and financial crises. (2024). Danielsson, Jon ; Uthemann, Andreas. In: Papers. RePEc:arx:papers:2407.17048.

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2025The 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.

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2025Financial 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.

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2024Intelligent 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.

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2024Good 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.

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2024Tackling the volatility paradox: spillover persistence and systemic risk. (2024). Kubitza, Christian. In: Working Paper Series. RePEc:ecb:ecbwps:20242981.

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2024Exploring 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.

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2024Riding 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.

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2024Robust 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.

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2024Improving 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.

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2024How 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.

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2024Systemic 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.

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2025Who 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.

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2024Maximum 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.

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2024Integrated 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.

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2024Does 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.

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2024Economic 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.

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2024To 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.

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2024Is 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.

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2024A 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.

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2024What 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.

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2024Interbank 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.

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2024Does 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.

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2024Decoding 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.

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2024Artificial 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.

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2025Fueling 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.

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2024Too-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.

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2024Macroprudential 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.

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2025Lending standards and output growth. (2025). Kirti, Divya. In: Journal of Financial Stability. RePEc:eee:finsta:v:76:y:2025:i:c:s1572308924001360.

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2024Changes 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.

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2024Financial 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.

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2024Trade 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.

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2024Marginals 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.

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2024Intermediary-based equity term structure. (2024). Li, Kai ; Xu, Chenjie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:157:y:2024:i:c:s0304405x24000795.

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2024Getting 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.

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2024Does “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.

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2024On 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.

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2025Maximum 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.

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2024On 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.

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2024Corporate 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.

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2024Quantifying 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.

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2024Simulating 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.

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2024Competitive 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.

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2024Forecasting 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.

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2024Business 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.

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2024Interconnectedness 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.

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2025Loan 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.

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2024The 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.

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2024AI as financial infrastructure?. (2024). Parana, Edemilson. In: SocArXiv. RePEc:osf:socarx:ub92z.

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2024Uncertainty 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.

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2024Evaluating 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.

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2024Quantum Algorithms. (2024). Hull, Isaiah ; Sattath, OR ; Diamanti, Eleni ; Wendin, Gran. In: Contributions to Economics. RePEc:spr:conchp:978-3-031-50780-9_3.

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2024Pattern 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.

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2024A 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.

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2024The 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.

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2024Forecasting 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.

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2025Estimation 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.

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2024International 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.

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2025Margin 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.

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2024High–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.

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Works by Jon Danielsson:

YearTitleTypeCited
2000Value-at-Risk and Extreme Returns In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article114
1997Value-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
1998Value-at-Risk and Extreme Returns.(1998) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 114		paper
2012Endogenous Extreme Events and the Dual Role of Prices In: Annual Review of Economics.
[Full Text][Citation analysis]		article15
2015Designating market maker behaviour in Limit Order Book markets In: Papers.
[Full Text][Citation analysis]		paper3
2018Designating 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
2018Designating 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
2024On the use of artificial intelligence in financial regulations and the impact on financial stability In: Papers.
[Full Text][Citation analysis]		paper2
2018Challenges in Implementing Worst-Case Analysis In: Staff Working Papers.
[Full Text][Citation analysis]		paper1
2019Tail Index Estimation: Quantile-Driven Threshold Selection In: Staff Working Papers.
[Full Text][Citation analysis]		paper12
2016Tail 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
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article3
2007Regulating hedge funds. In: Financial Stability Review.
[Full Text][Citation analysis]		article2
2009On the efficacy of financial regulations. In: Financial Stability Review.
[Full Text][Citation analysis]		article0
2023Central banks, macro-financial stability and the future of the financial system In: BIS Papers.
[Full Text][Citation analysis]		book0
In: .
[Citation analysis]		article11
1996Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
1996Tail Index and Quantile Estimation with Very High Frequency Data In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper16
2006Comparing downside risk measures for heavy tailed distributions In: Economics Letters.
[Full Text][Citation analysis]		article23
2005Comparing downside risk measures for heavy tailed distribution.(2005) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 23		paper
.() In: .
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This paper has nother version. Agregated cites: 23		paper
2013Fat tails, VaR and subadditivity In: Journal of Econometrics.
[Full Text][Citation analysis]		article54
1994Stochastic volatility in asset prices estimation with simulated maximum likelihood In: Journal of Econometrics.
[Full Text][Citation analysis]		article174
1998Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article42
2005Highwaymen or heroes: Should hedge funds be regulated?: A survey In: Journal of Financial Stability.
[Full Text][Citation analysis]		article9
2016Model risk of risk models In: Journal of Financial Stability.
[Full Text][Citation analysis]		article78
2014Model 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
2016Model risk of risk models.(2016) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 78		paper
2014Model Risk of Risk Models.(2014) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 78		paper
2008Blame the models In: Journal of Financial Stability.
[Full Text][Citation analysis]		article19
2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article49
2022Artificial intelligence and systemic risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article12
2022Artificial 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
2002The emperor has no clothes: Limits to risk modelling In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article60
.() In: .
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This paper has nother version. Agregated cites: 60		paper
2002Incentives for effective risk management In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article17
2001Incentives for Effective Risk Management.(2001) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2004The impact of risk regulation on price dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article101
2004The impact of risk regulation on price dynamics.(2004) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 101		paper
2006On time-scaling of risk and the square-root-of-time rule In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article57
2003On time-scaling of risk and the square–root–of–time rule.(2003) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 57		paper
.() In: .
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This paper has nother version. Agregated cites: 57		paper
2014Risk models-at-risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article37
2014Risk models–at–risk.(2014) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2014Risk models-at-risk.(2014) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2014Risk Model-at-Risk.(2014) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2014Risk models-at-risk.(2014) In: Post-Print.
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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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2023The impact of risk cycles on business cycles: a historical view In: LSE Research Online Documents on Economics.
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2023The Impact of Risk Cycles on Business Cycles: A Historical View.(2023) In: The Review of Financial Studies.
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2020Financial volatility and economic growth, 1870-2016 In: LSE Research Online Documents on Economics.
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2018Cryptocurrencies: policy, economics and fairness In: LSE Research Online Documents on Economics.
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2016Learning from history: volatility and financial crises.(2016) 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: The Review of Financial Studies.
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2001Asset price dynamics with value-at-risk constrained traders In: LSE Research Online Documents on Economics.
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1998Beyond the Sample: Extreme Quantile and Probability Estimation.(1998) In: Tinbergen Institute Discussion Papers.
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2015Can we prove a bank guilty of creating systemic risk? A minority report In: LSE Research Online Documents on Economics.
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2015Can we prove a bank guilty of creating systemic risk? A minority report.(2015) 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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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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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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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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2001What happens when you regulate risk?: evidence from a simple equilibrium model 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.
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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 the implications for financial services In: SUERF Studies.
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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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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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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.
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1998Abnormal Returns, Risk, and Options in Large Data Sets In: Tinbergen Institute Discussion Papers.
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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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