5
H index
2
i10 index
89
Citations
Lunds Universitet | 5 H index 2 i10 index 89 Citations RESEARCH PRODUCTION: 11 Articles 8 Papers 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 Anders Wilhelmsson. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Journal of Banking & Finance | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
Working Papers / Lund University, Department of Economics | 3 |
Post-Print / HAL | 2 |
Year | Title of citing document |
---|---|
2021 | Bitcoin 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. Full description at Econpapers || Download paper |
2022 | Monte-Carlo Estimation of CoVaR. (2022). Hong, Jeff L ; Lin, Nifei ; Huang, Weihuan. In: Papers. RePEc:arx:papers:2210.06148. Full description at Econpapers || Download paper |
2021 | Market 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. Full description at Econpapers || Download paper |
2023 | Augmenting 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2021 | Capturing 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. Full description at Econpapers || Download paper |
2022 | Modelling 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2021 | Is 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. Full description at Econpapers || Download paper |
2022 | GAS 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2022 | Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07. Full description at Econpapers || Download paper |
2021 | Equity 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. Full description at Econpapers || Download paper |
2022 | Dynamic 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. Full description at Econpapers || Download paper |
2022 | Theoretical 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Wavelet-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. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2023 | Another 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. Full description at Econpapers || Download paper |
2023 | Do 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. Full description at Econpapers || Download paper |
2021 | Dynamic 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. Full description at Econpapers || Download paper |
2021 | An 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. Full description at Econpapers || Download paper |
2023 | Trading 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. Full description at Econpapers || Download paper |
2022 | A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
2018 | The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence In: Financial Management. [Full Text][Citation analysis] | article | 2 |
2010 | Volatility Risk Premium, Risk Aversion, and the Cross?Section of Stock Returns In: The Financial Review. [Full Text][Citation analysis] | article | 1 |
2018 | Enterprise Risk Management and Default Risk: Evidence from the Banking Industry In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 6 |
2009 | Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model In: Econometrics Journal. [Full Text][Citation analysis] | article | 33 |
2021 | Tax avoidance and state ownership — The case of Sweden In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
2011 | The pernicious effects of contaminated data in risk management In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 6 |
2010 | The pernicious effects of contaminated data in risk management.(2010) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2011 | The Pernicious Effects of Contaminated Data in Risk Management.(2011) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2013 | Risk premia: Exact solutions vs. log-linear approximations In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 4 |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 2 |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2011 | Idiosyncratic Risk and Higher-Order Cumulants In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Systemic Risk and Centrality Revisited: The Role of Interactions In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Macro news and long-run volatility expectations In: Knut Wicksell Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2006 | Garch forecasting performance under different distribution assumptions In: Journal of Forecasting. [Full Text][Citation analysis] | article | 26 |
2009 | Measuring Event Risk In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 6 |
2017 | Tax Planning in Partner-owned Close Corporations In: Nordic Tax Journal. [Full Text][Citation analysis] | article | 0 |
2013 | Density Forecasting with Time?Varying Higher Moments: A Model Confidence Set Approach In: Journal of Forecasting. [Citation analysis] | article | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 3 2023. Contact: CitEc Team