20
H index
31
i10 index
1507
Citations
London School of Economics (LSE) | 20 H index 31 i10 index 1507 Citations RESEARCH PRODUCTION: 38 Articles 61 Papers 2 Books 2 Chapters RESEARCH ACTIVITY: 31 years (1993 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pda10 |
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 | 6 |
Journal of Financial Stability | 3 |
The European Journal of Finance | 2 |
The Review of Financial Studies | 2 |
Financial Stability Review | 2 |
Journal of Econometrics | 2 |
Year | Title of citing document |
---|---|
2023 | FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera. Full description at Econpapers || Download paper |
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 |
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 |
2024 | Deep Limit Order Book Forecasting. (2024). Aste, Tomaso ; Bartolucci, Silvia ; Briola, Antonio. In: Papers. RePEc:arx:papers:2403.09267. 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 | Capital Controls, Corporate Debt and Real Effects: Evidence from Boom and Crisis Times. (2023). López, Martha ; Peydro, Jose-Luis ; Fabiani, Andrea ; Soto, Paul E. In: Borradores de Economia. RePEc:bdr:borrec:1244. 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 |
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 |
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 |
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 |
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 |
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 |
2023 | Flexible inflation targeting and stock market volatility: Evidence from emerging market economies. (2023). Boughrara, Adel ; Dridi, Ichrak. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002328. Full description at Econpapers || Download paper |
2023 | Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market. (2023). Garrett, Ian ; Liu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s026499932300295x. 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 |
2024 | Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Fadziski, Marcin ; Molnar, Peter. 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 |
2023 | Capturing information in extreme events. (2023). Ardakani, Omid. In: Economics Letters. RePEc:eee:ecolet:v:231:y:2023:i:c:s0165176523003269. 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 | Central bank swap arrangements and exchange rate volatility: Evidence from China. (2023). Li, Yang ; Liu, Zhuqing ; Yu, Ziliang. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000493. 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 |
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 |
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 ; Yin, Jiyuan ; Wang, Nianling. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s105752192400022x. Full description at Econpapers || Download paper |
2023 | Subjectivity in conventional tail measures: An exploratory model with risks & biases’. (2023). Majumder, Debasish. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003239. Full description at Econpapers || Download paper |
2023 | Economic volatility, banks’ risk accumulation and systemic risk. (2023). He, Wenjing ; Yue, Pengpeng ; Xu, Dandan. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323004877. Full description at Econpapers || Download paper |
2023 | Coherent measure of portfolio risk. (2023). Ardakani, Omid. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005949. 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 |
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 |
2023 | Options-based systemic risk, financial distress, and macroeconomic downturns. (2023). Vioto, Davide ; Tunaru, Radu ; Bevilacqua, Mattia. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000320. 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 |
2023 | Credit growth, the yield curve and financial crisis prediction: Evidence from a machine learning approach. (2023). Bluwstein, Kristina ; Buckmann, Marcus ; Imek, Ozgur ; Kapadia, Sujit ; Joseph, Andreas. In: Journal of International Economics. RePEc:eee:inecon:v:145:y:2023:i:c:s0022199623000594. 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 |
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: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000884. Full description at Econpapers || Download paper |
2023 | Policy uncertainty and bank systemic risk: A perspective of risk decomposition. (2023). Wang, QI ; Fang, YI ; Zhao, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000951. Full description at Econpapers || Download paper |
2023 | Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks. (2023). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001117. Full description at Econpapers || Download paper |
2024 | Changes in shares outstanding and country stock returns around the world. (2024). Zaremba, Adam ; Chiah, Mardy ; Long, Huaigang ; Umar, Zaghum. 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, Cecile. 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 |
2023 | Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096. 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 |
2023 | Impact of systemic risk regulation on optimal policies and asset prices. (2023). Cui, Xuecan ; Bernard, Carole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002011. Full description at Econpapers || Download paper |
2023 | Consistency of banks internal probability of default estimates: Empirical evidence from the COVID-19 crisis. (2023). Teply, Petr ; Stepankova, Barbora. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s037842662300167x. Full description at Econpapers || Download paper |
2024 | Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261. 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 |
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 |
2023 | Can energy efficiency and natural resources foster economic growth? Evidence from BRICS countries. (2023). Yildirim, Bilal ; Waheed, Humayun ; Yue, Xiao-Guang ; Li, Tianyu. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003549. Full description at Econpapers || Download paper |
2023 | The price of independence in a model with unknown dependence. (2023). de la Pea, Victor ; Chollete, Loran ; Klass, Michael. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:123:y:2023:i:c:p:51-58. 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 |
2023 | Risk-off shocks and spillovers in safe havens. (2023). Beirne, John ; Sugandi, Eric. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001737. Full description at Econpapers || Download paper |
2023 | Technical trading rules, loss avoidance, and the business cycle. (2023). Stork, Philip ; Molchanov, Alexander ; Ergun, Lerby. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002433. Full description at Econpapers || Download paper |
2023 | An exploration of the mathematical structure and behavioural biases of 21st century financial crises. (2023). Menzies, Max ; James, Nick. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123008117. Full description at Econpapers || Download paper |
2023 | Is there a risk premium? Evidence from thirteen measures. (2023). Ramos, Henrique Pinto ; Muller, Fernanda Maria ; Fracasso, Lais Martins ; Righi, Marcelo Brutti. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:92:y:2023:i:c:p:182-199. 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 |
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 |
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 |
2023 | Options-based systemic risk, financial distress, and macroeconomic downturns. (2023). Tunaru, Radu ; Bevilacqua, Mattia ; Vioto, Davide. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119289. 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 |
2023 | Building Trust in Fintech: An Analysis of Ethical and Privacy Considerations in the Intersection of Big Data, AI, and Customer Trust. (2023). Ferdous, Marah. In: IJFS. RePEc:gam:jijfss:v:11:y:2023:i:3:p:90-:d:1190429. 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 |
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 |
2023 | Tight and Compact Sample Average Approximation for Joint Chance-Constrained Problems with Applications to Optimal Power Flow. (2023). Pineda, Salvador ; Morales, Juan Miguel ; Dominguez, Concepcion ; Porras, Alvaro. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:35:y:2023:i:6:p:1454-1469. 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 |
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 | 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 |
2023 | Environmental sustainability and financial stability: can macroprudential stress testing measure and mitigate climate-related systemic financial risk?. (2023). Demenno, Mercy Berman. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:24:y:2023:i:4:d:10.1057_s41261-022-00207-2. 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 |
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 |
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 |
2023 | Does financial leverage volatility induce systemic financial risk? Empirical insight based on the Chinese fintech sector. (2023). Bian, Yang ; Wu, Desheng ; Zhang, Mengting ; Yang, Yingjie ; He, Jian ; Zheng, Zhiyong ; Cao, Jianhong. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:44:y:2023:i:2:p:1142-1161. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
2000 | Value-at-Risk and Extreme Returns In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 112 |
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: 112 | 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: 112 | 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 | 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 | 1 |
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 nother 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 |
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 | 22 |
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: 22 | paper | |
2013 | Fat tails, VaR and subadditivity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 51 |
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 | 42 |
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 | 74 |
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: 74 | 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: 74 | 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: 74 | 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 | 45 |
2022 | Artificial intelligence and systemic risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 6 |
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: 6 | paper | |
2002 | The emperor has no clothes: Limits to risk modelling In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 56 |
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 nother 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 nother 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 | 56 |
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: 56 | paper | |
2014 | Risk models-at-risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 36 |
2014 | Risk models–at–risk.(2014) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2014 | Risk models-at-risk.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2014 | Risk Model-at-Risk.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2014 | Risk models-at-risk.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2002 | Real trading patterns and prices in spot foreign exchange markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 87 |
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: 87 | 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 | 69 |
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: 69 | 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: 69 | paper | |
2022 | The impact of risk cycles on business cycles: a historical view In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 1 |
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: 1 | 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: 1 | 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 | 88 |
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: 88 | 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: 88 | 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: 88 | 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: 88 | article | |
2001 | Asset price dynamics with value-at-risk constrained traders In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 0 |
1998 | Beyond the sample: extreme quantile and probability estimation In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 9 |
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: 9 | 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 | 18 |
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: 18 | 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: 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 nother version. Agregated cites: 18 | 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 |
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 | 23 |
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: 23 | paper | |
2008 | Equilibrium asset pricing with systemic risk.(2008) In: Economic Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | 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 | 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 | 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 | 2 |
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 | 18 |
1993 | Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 83 |
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 | 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 | 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 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 27 2024. Contact: CitEc Team