Anders Wilhelmsson : Citation Profile

Are you Anders Wilhelmsson?

Lunds Universitet

5

H index

2

i10 index

89

Citations

RESEARCH PRODUCTION:

11

Articles

8

Papers

RESEARCH ACTIVITY:

   15 years (2006 - 2021). See details.
   Cites by year: 5
   Journals where Anders Wilhelmsson has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 0 (0 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwi135
   Updated: 2023-08-19    RAS profile: 2021-12-23    
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Relations with other researchers

Works with:

Gehrig, Thomas (3)

Schwarz, Marco (3)

Davies, Ryan (2)

Lof, Matthijs (2)

Johannesson, Magnus (2)

Ranaldo, Angelo (2)

Chernov, Mikhail (2)

Reitz, Stefan (2)

Sarno, Lucio (2)

Vogel, Sebastian (2)

Patel, Vinay (2)

Regis, Luca (2)

Mihet, Roxana (2)

Putnins, Talis (2)

Hjalmarsson, Erik (2)

Bohorquez Correa, Santiago (2)

Gorbenko, Arseny (2)

Bouri, Elie (2)

Kassner, Bernhard (2)

Dreber, Anna (2)

Horenstein, Alex (2)

Verousis, Thanos (2)

Pastor, Lubos (2)

Chow, Nikolai Sheung-Chi (2)

Roy, Saurabh (2)

Theissen, Erik (2)

Nielsson, Ulf (2)

Renault, Thomas (2)

Walther, Thomas (2)

Rinne, Kalle (2)

Jurkatis, Simon (2)

Dumitrescu, Ariadna (2)

Deku, Solomon (2)

CAPELLE-BLANCARD, Gunther (2)

FERROUHI, EL MEHDI (2)

Deev, Oleg (2)

Vilkov, Grigory (2)

Scaillet, Olivier (2)

Foucault, Thierry (2)

Zhou, Chen (2)

Sojli, Elvira (2)

Palan, Stefan (2)

PASCUAL, ROBERTO (2)

Jalkh, Naji (2)

Brownlees, Christian (2)

Harris, Jeffrey (2)

Smales, Lee (2)

Pasquariello, Paolo (2)

Ødegaard, Bernt (2)

Schenk-Hoppé, Klaus (2)

Dimpfl, Thomas (2)

Bos, Charles (2)

van Kervel, Vincent (2)

LINTON, OLIVER (2)

Wolff, Christian (2)

Frömmel, Michael (2)

Tonks, Ian (2)

Xiu, Dacheng (2)

Abudy, Menachem (2)

Caporin, Massimiliano (2)

Moinas, Sophie (2)

Korajczyk, Robert (2)

Hautsch, Nikolaus (2)

Holzmeister, Felix (2)

Wong, Wing-Keung (2)

Park, Andreas (2)

Alexeev, Vitali (2)

Lajaunie, Quentin (2)

Schuerhoff, Norman (2)

Colliard, Jean-Edouard (2)

Xia, Shuo (2)

Patton, Andrew (2)

Ferrara, Gerardo (2)

Rakowski, David (2)

He, Xuezhong (Tony) (2)

Lopez-Lira, Alejandro (2)

Ait-Sahalia, Yacine (2)

Liew, Chee (2)

Taylor, Nick (2)

Stefanova, Denitsa (2)

Adrian, Tobias (2)

Pelizzon, Loriana (2)

Hurlin, Christophe (2)

Gerritsen, Dirk (2)

Prokopczuk, Marcel (2)

Menkveld, Albert (2)

Talavera, Oleksandr (2)

Kearney, Fearghal (2)

Frijns, Bart (2)

Heath, Davidson (2)

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

Is cited by:

Gabrielsen, Alexandros (4)

Kočenda, Evžen (4)

Hanousek, Jan (4)

Lee, Chien-Chiang (3)

Liu, Zhuoshi (3)

Zagaglia, Paolo (3)

Zhang, Xin (2)

Ruiz, Esther (2)

Hurlin, Christophe (2)

Maillet, Bertrand (2)

Novotny, Jan (2)

Cites to:

Campbell, John (9)

Perignon, Christophe (8)

Bollerslev, Tim (7)

Engle, Robert (6)

Ho, Teck (4)

Dreber, Anna (4)

Johannesson, Magnus (4)

Mehra, Rajnish (4)

Hurlin, Christophe (4)

Saavedra, Martin (3)

Arenas, Andreu (3)

Main data

Where Anders Wilhelmsson has published?

Journals with more than one article published# docs
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Lund University, Department of Economics3
Post-Print / HAL2

Recent works citing Anders Wilhelmsson (2022 and 2021)

YearTitle of citing document
2021Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2022Monte-Carlo Estimation of CoVaR. (2022). Hong, Jeff L ; Lin, Nifei ; Huang, Weihuan. In: Papers. RePEc:arx:papers:2210.06148.

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2021Market reactions to enterprise risk management adoption, incorporation by rating agencies, and ORSA Act passage. (2021). Xu, Jianren ; Eastman, Evan M. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:24:y:2021:i:2:p:151-180.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2022The driving forces of green bond market volatility and the response of the market to the COVID-19 pandemic. (2022). Liu, Min. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:288-309.

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2021Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting. (2021). Lee, Chien-Chiang ; Liu, Min. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004874.

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2022Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model. (2022). Bufalo, Michele ; Orlando, Giuseppe. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004888.

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2023The value of (private) investor relations during the COVID-19 crisis. (2023). Posch, Peter N ; Krause, Miguel ; Engelhardt, Nils ; Neukirchen, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622000504.

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2021Is volatility spillover enough for investor decisions? A new viewpoint from higher moments. (2021). Hamori, Shigeyuki ; He, Xie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:116:y:2021:i:c:s0261560621000632.

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2022GAS and GARCH based value-at-risk modeling of precious metals. (2022). Tiwari, Aviral ; Owusu Junior, Peterson ; Asafo-Adjei, Emmanuel ; Tweneboah, George. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004645.

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2022The national culture as a determinant of ERM quality: Empirical evidence in the European banking context. (2022). Allini, Alessandra ; Casciello, Raffaela ; Maffei, Marco ; Prisco, Martina. In: MANAGEMENT CONTROL. RePEc:fan:macoma:v:html10.3280/maco2022-001006.

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2021A VaR-Based Methodology for Assessing Carbon Price Risk across European Union Economic Sectors. (2021). Popovici, Oana ; Horobet, Alexandra ; Bulai, Vlad-Cosmin ; Dumitrescu, Sofia Adriana ; Belascu, Lucian. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:24:p:8424-:d:701935.

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2022.

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2022Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

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2021Equity premium puzzle or faulty economic modelling?. (2021). Rachev, Svetlozar T ; Fabozzi, Frank J ; Stoyanov, Stoyan V ; Shirvani, Abootaleb. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:4:d:10.1007_s11156-020-00928-3.

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2022Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:1:d:10.1057_s41283-021-00084-5.

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2022Theoretical review of enterprise risk management culture drivers for insurance firms in Kenya. (2022). Kajwang, Ben. In: International Journal of Research in Business and Social Science (2147-4478). RePEc:rbs:ijbrss:v:11:y:2022:i:5:p:210-217.

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2022Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process. (2022). Pianese, Augusto ; Bianchi, Sergio ; Frezza, Massimiliano. In: Computational Management Science. RePEc:spr:comgts:v:19:y:2022:i:1:d:10.1007_s10287-021-00412-w.

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2023A model-free approach to do long-term volatility forecasting and its variants. (2023). Karmakar, Sayar ; Wu, Kejin. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00466-6.

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2023Wavelet-L2E Stochastic Volatility Models: an Application to the Water-Energy Nexus. (2023). Ensor, Katherine B ; Raath, Kim C. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00292-3.

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2022.

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2023Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets. (2023). Apergis, Nicholas ; Tsionas, Mike G. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:1137-1155.

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2023Do extreme shocks help forecast oil price volatility? The augmented GARCH?MIDAS approach. (2023). Lang, Qiaoqi ; Liu, Guoshan ; Ma, Feng ; Wang, LU. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:2056-2073.

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2021Dynamic VaR forecasts using conditional Pearson type IV distribution. (2021). Kuang, Wei . In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:3:p:500-511.

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2021An empirical study on the role of trading volume and data frequency in volatility forecasting. (2021). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:792-816.

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2023Trading volume and realized volatility forecasting: Evidence from the China stock market. (2023). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:76-100.

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2022A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022.

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Works by Anders Wilhelmsson:

YearTitleTypeCited
2018The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence In: Financial Management.
[Full Text][Citation analysis]		article2
2010Volatility Risk Premium, Risk Aversion, and the Cross?Section of Stock Returns In: The Financial Review.
[Full Text][Citation analysis]		article1
2018Enterprise Risk Management and Default Risk: Evidence from the Banking Industry In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article6
2009Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model In: Econometrics Journal.
[Full Text][Citation analysis]		article33
2021Tax avoidance and state ownership — The case of Sweden In: Economics Letters.
[Full Text][Citation analysis]		article0
2011The pernicious effects of contaminated data in risk management In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2010The pernicious effects of contaminated data in risk management.(2010) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 6		paper
2011The Pernicious Effects of Contaminated Data in Risk Management.(2011) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 6		paper
2013Risk premia: Exact solutions vs. log-linear approximations In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article4
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2011Idiosyncratic Risk and Higher-Order Cumulants In: Working Papers.
[Full Text][Citation analysis]		paper0
2019Systemic Risk and Centrality Revisited: The Role of Interactions In: Working Papers.
[Full Text][Citation analysis]		paper1
2020Macro news and long-run volatility expectations In: Knut Wicksell Working Paper Series.
[Full Text][Citation analysis]		paper0
2006Garch forecasting performance under different distribution assumptions In: Journal of Forecasting.
[Full Text][Citation analysis]		article26
2009Measuring Event Risk In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article6
2017Tax Planning in Partner-owned Close Corporations In: Nordic Tax Journal.
[Full Text][Citation analysis]		article0
2013Density Forecasting with Time?Varying Higher Moments: A Model Confidence Set Approach In: Journal of Forecasting.
[Citation analysis]		article2

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