20
H index
31
i10 index
1450
Citations
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:
MORE DETAILS IN: ABOUT THIS REPORT:
|
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 |
---|---|
Journal of Banking & Finance | 5 |
Journal of Financial Stability | 3 |
The European Journal of Finance | 2 |
Financial Stability Review | 2 |
Journal of Econometrics | 2 |
Year | Title of citing document | |
---|---|---|
2023 | A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977. Full description at Econpapers || Download paper | |
2023 | A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208. Full description at Econpapers || Download paper | |
2022 | Variational 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. Full description at Econpapers || Download paper | |
2022 | New 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. Full description at Econpapers || Download paper | |
2023 | Extraction 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. Full description at Econpapers || Download paper | |
2023 | Tail 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. Full description at Econpapers || Download paper | |
2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper | |
2023 | Asset 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. Full description at Econpapers || Download paper | |
2022 | Systemic 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. Full description at Econpapers || Download paper | |
2023 | Market 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | Capital 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. Full description at Econpapers || Download paper | |
2022 | A Framework for Macroprudential Stress Testing. (2022). Shaw, Frances ; Rice, Jonathan ; Morell, Joe. In: Research Technical Papers. RePEc:cbi:wpaper:7/rt/22. Full description at Econpapers || Download paper | |
2023 | The Application of Multiple-Output Quantile Regression on the US Financial Cycle. (2023). Franta, Michal. In: Working Papers. RePEc:cnb:wpaper:2023/2. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2022 | New 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. Full description at Econpapers || Download paper | |
2023 | Scientific progress in information theory quantifiers. (2023). , Abrao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:170:y:2023:i:c:s0960077923001613. Full description at Econpapers || Download paper | |
2023 | Interest 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. Full description at Econpapers || Download paper | |
2022 | Beautiful 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | Revisiting 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2022 | Estimation 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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2022 | High-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. Full description at Econpapers || Download paper | |
2023 | Preventing 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. Full description at Econpapers || Download paper | |
2023 | Modeling 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. Full description at Econpapers || Download paper | |
2023 | Are 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. Full description at Econpapers || Download paper | |
2023 | Estimating 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. Full description at Econpapers || Download paper | |
2022 | Oil 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. Full description at Econpapers || Download paper | |
2022 | Tail 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. Full description at Econpapers || Download paper | |
2023 | Unemployment 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. Full description at Econpapers || Download paper | |
2023 | Nonlinear 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | Macroeconomics 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. Full description at Econpapers || Download paper | |
2023 | Predicting 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. Full description at Econpapers || Download paper | |
2022 | Financial 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. Full description at Econpapers || Download paper | |
2022 | Euro 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2022 | Sovereign 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. Full description at Econpapers || Download paper | |
2022 | Extreme-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. Full description at Econpapers || Download paper | |
2022 | Does 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. Full description at Econpapers || Download paper | |
2023 | Cross-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. Full description at Econpapers || Download paper | |
2022 | Rocking 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. Full description at Econpapers || Download paper | |
2022 | Artificial 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. Full description at Econpapers || Download paper | |
2023 | Scenario-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. Full description at Econpapers || Download paper | |
2023 | Misery 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. Full description at Econpapers || Download paper | |
2022 | Uncertainty 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. Full description at Econpapers || Download paper | |
2023 | Does 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. Full description at Econpapers || Download paper | |
2022 | Forecasting 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. Full description at Econpapers || Download paper | |
2023 | Gold 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. Full description at Econpapers || Download paper | |
2023 | Financial 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. Full description at Econpapers || Download paper | |
2022 | Conventional 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. Full description at Econpapers || Download paper | |
2023 | Herding 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. Full description at Econpapers || Download paper | |
2022 | New 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. Full description at Econpapers || Download paper | |
2022 | Revisiting 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. Full description at Econpapers || Download paper | |
2022 | Evaluation 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. Full description at Econpapers || Download paper | |
2022 | Estimating 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. Full description at Econpapers || Download paper | |
2023 | Return 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. Full description at Econpapers || Download paper | |
2022 | Artificial intelligence and systemic risk. (2021). Uthemann, Andreas ; MacRae, Robert ; Danielsson, Jon. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111601. Full description at Econpapers || Download paper | |
2022 | Quantifying 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2023 | Less 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2023 | Identifying 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. Full description at Econpapers || Download paper | |
2022 | South 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. Full description at Econpapers || Download paper | |
2022 | Quantifying 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. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | Exploration 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. Full description at Econpapers || Download paper | |
2023 | Novel 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. Full description at Econpapers || Download paper | |
2022 | On 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2022 | Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul. In: Working Papers. RePEc:hal:wpaper:hal-03679434. Full description at Econpapers || Download paper | |
2022 | Deviation-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. Full description at Econpapers || Download paper | |
2023 | Can 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. Full description at Econpapers || Download paper | |
2022 | Variational 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. Full description at Econpapers || Download paper | |
2023 | Measuring 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.. Full description at Econpapers || Download paper | |
2023 | The 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.. Full description at Econpapers || Download paper | |
2022 | Estimación 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. Full description at Econpapers || Download paper | |
2022 | Uncertainty Before and During COVID-19: A Survey. (2022). Castelnuovo, Efrem. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0279. Full description at Econpapers || Download paper | |
2023 | Decoupling 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. Full description at Econpapers || Download paper | |
2022 | Market 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. Full description at Econpapers || Download paper | |
2022 | Cross-Market Spoofing. (2022). Vakili, Kaveh ; Susai, Masayuki ; Soviany, Cristina ; Doraghi, Mehrdaad ; Stenfors, Alexis. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2022-04. Full description at Econpapers || Download paper | |
2022 | Forecasting 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. Full description at Econpapers || Download paper | |
2022 | Proper 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. Full description at Econpapers || Download paper | |
2022 | Portfolio 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. Full description at Econpapers || Download paper | |
2022 | Bias-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. Full description at Econpapers || Download paper | |
2022 | Operational 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. Full description at Econpapers || Download paper | |
2022 | Fuelling 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. Full description at Econpapers || Download paper | |
2023 | Do 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. Full description at Econpapers || Download paper | |
2023 | Modeling 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. Full description at Econpapers || Download paper | |
2023 | Value-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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2022 | Reliable 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. Full description at Econpapers || Download paper | |
2023 | Consistency, 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. Full description at Econpapers || Download paper | |
2023 | Retracted: 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2022 | Margin 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. Full description at Econpapers || Download paper | |
2023 | Less 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. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|---|---|---|
2000 | Value-at-Risk and Extreme Returns In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 110 |
1998 | Value-at-Risk and Extreme Returns.(1998) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 110 | paper | |
2012 | Endogenous Extreme Events and the Dual Role of Prices In: Annual Review of Economics. [Full Text][Citation analysis] | article | 13 |
2015 | Designating market maker behaviour in Limit Order Book markets In: Papers. [Full Text][Citation analysis] | paper | 2 |
2018 | Designating market maker behaviour in limit order book markets.(2018) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | 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 another version. Agregated cites: 2 | paper | |
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 | 11 |
2016 | Tail index estimation: quantile driven threshold selection.(2016) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | 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 |
In: . [Citation analysis] | article | 10 | |
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 | 19 |
2005 | Comparing downside risk measures for heavy tailed distribution.(2005) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2013 | Fat tails, VaR and subadditivity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 49 |
1994 | Stochastic volatility in asset prices estimation with simulated maximum likelihood In: Journal of Econometrics. [Full Text][Citation analysis] | article | 172 |
1998 | Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 41 |
2005 | Highwaymen or heroes: Should hedge funds be regulated?: A survey In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 8 |
2016 | Model risk of risk models In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 64 |
2014 | Model risk of risk models.(2014) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 64 | paper | |
2016 | Model risk of risk models.(2016) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 64 | paper | |
2014 | Model Risk of Risk Models.(2014) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 64 | paper | |
2008 | Blame the models In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 20 |
2013 | Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 45 |
2002 | The emperor has no clothes: Limits to risk modelling In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 54 |
2002 | Incentives for effective risk management In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 15 |
2001 | Incentives for Effective Risk Management.(2001) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2004 | The impact of risk regulation on price dynamics In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 98 |
2004 | The impact of risk regulation on price dynamics.(2004) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 98 | paper | |
2006 | On time-scaling of risk and the square-root-of-time rule In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 51 |
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 another version. Agregated cites: 51 | paper | |
2014 | Risk models-at-risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 31 |
2014 | Risk models–at–risk.(2014) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2014 | Risk models-at-risk.(2014) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2014 | Risk Model-at-Risk.(2014) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2014 | Risk models-at-risk.(2014) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2002 | Real trading patterns and prices in spot foreign exchange markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 86 |
2001 | Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 68 |
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 another version. Agregated cites: 68 | 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 another version. Agregated cites: 68 | paper | |
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 |
2011 | ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY.(2011) In: International Economic Review. [Full Text][Citation analysis] This paper has another 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 another version. Agregated cites: 2 | paper | |
2006 | Equilibrium asset pricing with systemic risk In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 21 |
2008 | Equilibrium asset pricing with systemic risk.(2008) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2008 | Equilibrium asset pricing with systemic risk.(2008) In: Economic Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
2006 | Consistent measures of risk In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
2005 | Subadditivity re–examined: the case for value-at-risk In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 19 |
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 | 9 |
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 | 5 |
2011 | Balance sheet capacity and endogenous risk In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 50 |
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 | 6 |
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 | 18 |
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 another version. Agregated cites: 18 | 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 another version. Agregated cites: 18 | article | |
2016 | Learning from history: volatility and financial crises In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 80 |
2018 | Learning from history: volatility and financial crises.(2018) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | paper | |
2016 | Learning from History : Volatility and Financial Crises.(2016) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | paper | |
2018 | Learning from History: Volatility and Financial Crises.(2018) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | article | |
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 | 1 |
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 | 1 |
2022 | The impact of risk cycles on business cycles: a historical view In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
1998 | The value of value at risk: statistical, financial, and regulatory considerations (summary) In: Economic Policy Review. [Full Text][Citation analysis] | article | 0 |
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 | 21 |
2018 | Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks In: IMF Working Papers. [Full Text][Citation analysis] | paper | 17 |
1993 | Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 82 |
2008 | Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation In: Annals of Finance. [Full Text][Citation analysis] | article | 8 |
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 | 21 |
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 | 37 |
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 | Beyond the Sample: Extreme Quantile and Probability Estimation In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
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 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team