Jon Danielsson : Citation Profile

Are you Jon Danielsson?

London School of Economics (LSE)

20

H index

31

i10 index

1531

Citations

RESEARCH PRODUCTION:

38

Articles

61

Papers

2

Books

2

Chapters

RESEARCH ACTIVITY:

   31 years (1993 - 2024). See details.
   Cites by year: 49
   Journals where Jon Danielsson has often published
   Relations with other researchers
   Recent citing documents: 110.    Total self citations: 32 (2.05 %)

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   Permalink: http://citec.repec.org/pda10
   Updated: 2024-11-04    RAS profile: 2024-04-05    
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Relations with other researchers

Works with:

Uthemann, Andreas (2)

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

Is cited by:

Asai, Manabu (21)

cotter, john (19)

Koopman, Siem Jan (19)

Ruiz, Esther (18)

Gambacorta, Leonardo (15)

BORIO, Claudio (14)

Zoega, Gylfi (13)

Farmer, J. (12)

Andersen, Torben (11)

Darné, Olivier (11)

Pagano, Marco (11)

Cites to:

Bollerslev, Tim (29)

Engle, Robert (26)

de Vries, Casper (24)

Shin, Hyun Song (23)

Hurlin, Christophe (15)

Shleifer, Andrei (12)

Zigrand, Jean-Pierre (11)

Grossman, Sanford (10)

Perignon, Christophe (10)

Brunnermeier, Markus (9)

Zakrajšek, Egon (9)

Main data

Where Jon Danielsson has published?

Journals with more than one article published# docs
Journal of Banking & Finance6
Journal of Financial Stability3
Financial Stability Review2
The European Journal of Finance2
The Review of Financial Studies2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute6
Post-Print / HAL3
Staff Working Papers / Bank of Canada2
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2
Papers / arXiv.org2
FEDS Notes / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Jon Danielsson (2024 and 2023)

YearTitle of citing document
2023FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera.

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2023A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2023Extraction 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.

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2023Tail 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.

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

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2023Capital 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.

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2023Asset 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.

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2024Good risk measures, bad statistical assumptions, ugly risk forecasts. (2024). Poudyal, Niraj ; Michaelides, Michael. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:2:p:519-543.

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2023Market 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.

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2023The Application of Multiple-Output Quantile Regression on the US Financial Cycle. (2023). Franta, Michal. In: Working Papers. RePEc:cnb:wpaper:2023/2.

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2023The 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.

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2023A 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.

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2023Scientific progress in information theory quantifiers. (2023). , Abrao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:170:y:2023:i:c:s0960077923001613.

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2023Interest 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.

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2023Flexible 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.

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2023Regime-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.

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2023The 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.

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2024Improving 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.

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2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

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2024Systemic risk monitoring model from the perspective of public information arrival. (2024). Zhu, Xingting ; Liu, Bin ; Yan, Han ; Wu, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664.

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2023Capturing information in extreme events. (2023). Ardakani, Omid. In: Economics Letters. RePEc:eee:ecolet:v:231:y:2023:i:c:s0165176523003269.

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2024Maximum likelihood estimation of latent Markov models using closed-form approximations. (2024). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389.

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2024Integrated nested Laplace approximations for threshold stochastic volatility models. (2024). Rue, Hvard ; Marin, Miguel J ; de Zea, P ; Veiga, Helena. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35.

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2023Preventing 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.

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2023Central 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.

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2023Modeling 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.

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2023Are 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.

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2023Estimating 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.

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2023Unemployment 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.

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2023Nonlinear 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.

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2024Does systemic risk in the fund markets predict future economic downturns?. (2024). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000218.

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2024Economic policy uncertainty and stock market volatility in China: Evidence from SV-MIDAS-t model. (2024). Li, Yong ; Yin, Jiyuan ; Wang, Nianling. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s105752192400022x.

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2024To hedge or not to hedge? Cryptocurrencies, gold and oil against stock market risk. (2024). Kliber, Agata ; Just, Magorzata ; Echaust, Krzysztof. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002242.

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2024Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe. (2024). Urga, Giovanni ; Pellini, Elisabetta ; Cincinelli, Peter. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002552.

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2023Subjectivity 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.

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2023Economic 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.

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2023Coherent measure of portfolio risk. (2023). Ardakani, Omid. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005949.

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2024Does Fintech development affect capital misallocation: A non-linear and spatial spillover perspective. (2024). Lan, Yijia. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012199.

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2024Decoding financial performance of US-listed entities: A sectoral exploration of input efficiency amid stochastic volatility. (2024). Kumar, Nikeel Nishkar ; Andrews, Antony. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004884.

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2023Predicting 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.

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2023Options-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.

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2023A 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.

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2023Credit 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.

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2023Cross-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.

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2023Tail 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.

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2023Policy 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.

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2023Do 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.

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2024Changes 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.

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2024Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001543.

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2024Trade fragmentation and volatility-of-volatility networks. (2024). Jawadi, Fredj ; Bastidon, Cecile. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001762.

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2023Static 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.

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2023Scenario-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.

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2023Misery 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.

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2023Impact 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.

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2023Consistency 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.

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2024Marginals 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.

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2024Does “Lean Against the Wind” monetary policy improve welfare in a commodity exporter?. (2024). Tsomocos, Dimitrios ; Shirobokov, A ; Peiris, M U. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:141:y:2024:i:c:s0261560623002139.

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2023Does 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.

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2023Gold 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.

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2023Financial 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.

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2023Can 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.

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2023The 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.

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2023Herding 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.

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2023Risk-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.

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2023Technical 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.

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2023An 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.

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2023Is 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.

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2024Quantifying endogenous and exogenous shocks to financial sector systemic risk: A comparison of GFC and COVID-19. (2024). Teplova, Tamara ; Choi, Sun-Yong ; Umar, Zaghum ; Usman, Muhammad. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:281-293.

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2024Simulating and assessing carbon markets: Application to the Korean and the EU ETSs. (2024). Min, Baehyun ; Jung, Seoyoung ; Yoon, Soeun ; Jang, Minchul. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:195:y:2024:i:c:s1364032124000698.

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2024Competitive runs on Government debt. (2024). moretto, michele ; Parigi, Bruno M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:131-158.

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2023Return 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.

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2024Interconnectedness and systemic risk: Evidence from global stock markets. (2024). Dibooglu, Sel ; Bugan, Mehmet Fatih ; Kilic, Yunus ; Terzioglu, Hande Caliskan ; Cevik, Emrah Ismail. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000758.

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2023Less 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.

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2023Options-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.

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2023Identifying 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.

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2023Building 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.

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2023Novel 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.

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2023The 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.

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2023Tight 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.

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2023Can 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.

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2023Measuring 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..

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2023Decoupling 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.

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2023Environmental 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.

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2023Do 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.

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2023Modeling 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.

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2023Value-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.

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2023Consistency, 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.

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More than 100 citations found, this list is not complete...

Works by Jon Danielsson:

YearTitleTypeCited
2000Value-at-Risk and Extreme Returns In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article113
1997Value-at-risk and extreme returns.(1997) In: LSE Research Online Documents on Economics.
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1998Value-at-Risk and Extreme Returns.(1998) In: Tinbergen Institute Discussion Papers.
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2012Endogenous Extreme Events and the Dual Role of Prices In: Annual Review of Economics.
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2015Designating market maker behaviour in Limit Order Book markets In: Papers.
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2018Designating market maker behaviour in limit order book markets.(2018) In: Econometrics and Statistics.
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2018Designating market maker behaviour in limit order book markets.(2018) In: LSE Research Online Documents on Economics.
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2024On the use of artificial intelligence in financial regulations and the impact on financial stability In: Papers.
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2018Challenges in Implementing Worst-Case Analysis In: Staff Working Papers.
[Full Text][Citation analysis]		paper1
2019Tail Index Estimation: Quantile-Driven Threshold Selection In: Staff Working Papers.
[Full Text][Citation analysis]		paper12
2016Tail index estimation: quantile driven threshold selection.(2016) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 12		paper
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article3
2007Regulating hedge funds. In: Financial Stability Review.
[Full Text][Citation analysis]		article2
2009On the efficacy of financial regulations. In: Financial Stability Review.
[Full Text][Citation analysis]		article0
2023Central banks, macro-financial stability and the future of the financial system In: BIS Papers.
[Full Text][Citation analysis]		book0
In: .
[Citation analysis]		article11
1996Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
1996Tail Index and Quantile Estimation with Very High Frequency Data In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper16
2006Comparing downside risk measures for heavy tailed distributions In: Economics Letters.
[Full Text][Citation analysis]		article22
2005Comparing 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
2013Fat tails, VaR and subadditivity In: Journal of Econometrics.
[Full Text][Citation analysis]		article52
1994Stochastic volatility in asset prices estimation with simulated maximum likelihood In: Journal of Econometrics.
[Full Text][Citation analysis]		article174
1998Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article42
2005Highwaymen or heroes: Should hedge funds be regulated?: A survey In: Journal of Financial Stability.
[Full Text][Citation analysis]		article8
2016Model risk of risk models In: Journal of Financial Stability.
[Full Text][Citation analysis]		article76
2014Model risk of risk models.(2014) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 76		paper
2016Model risk of risk models.(2016) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 76		paper
2014Model Risk of Risk Models.(2014) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 76		paper
2008Blame the models In: Journal of Financial Stability.
[Full Text][Citation analysis]		article19
2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article46
2022Artificial intelligence and systemic risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2022Artificial intelligence and systemic risk.(2022) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 6		paper
2002The emperor has no clothes: Limits to risk modelling In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article58
2002Incentives for effective risk management In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article17
2001Incentives for Effective Risk Management.(2001) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2004The impact of risk regulation on price dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article100
2004The impact of risk regulation on price dynamics.(2004) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 100		paper
2006On time-scaling of risk and the square-root-of-time rule In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article56
2003On 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
2014Risk models-at-risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article36
2014Risk models–at–risk.(2014) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2014Risk models-at-risk.(2014) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2014Risk Model-at-Risk.(2014) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2014Risk models-at-risk.(2014) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2002Real trading patterns and prices in spot foreign exchange markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article87
1999Real 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
2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article70
2000Using 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: 70		paper
1997Using 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: 70		paper
2022The impact of risk cycles on business cycles: a historical view In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
2022The 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
2023The 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
2020Financial volatility and economic growth, 1870-2016 In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper0
2018Cryptocurrencies: policy, economics and fairness In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper0
2018Market resilience In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper0
2018Learning from history: volatility and financial crises In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper93
2016Learning 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: 93		paper
2018Learning from history: volatility and financial crises.(2018) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 93		paper
2016Learning from History : Volatility and Financial Crises.(2016) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 93		paper
2018Learning from History: Volatility and Financial Crises.(2018) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 93		article
2001Asset price dynamics with value-at-risk constrained traders In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper0
1998Beyond the sample: extreme quantile and probability estimation In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper9
1998Beyond 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
2015Can we prove a bank guilty of creating systemic risk? A minority report In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper18
2015Can we prove a bank guilty of creating systemic risk? A minority report.(2015) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 18		paper
2016Can 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
2016Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report.(2016) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 18		article
2007On the impact of fundamentals, liquidity and coordination on market stability In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper2
2011ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY.(2011) In: International Economic Review.
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This paper has nother version. Agregated cites: 2		article
2010On the impact of fundamentals, liquidity and coordination on market stability.(2010) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2006Equilibrium asset pricing with systemic risk In: LSE Research Online Documents on Economics.
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2008Equilibrium asset pricing with systemic risk.(2008) In: LSE Research Online Documents on Economics.
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2008Equilibrium asset pricing with systemic risk.(2008) In: Economic Theory.
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This paper has nother version. Agregated cites: 23		article
2006Consistent measures of risk In: LSE Research Online Documents on Economics.
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2005Subadditivity re–examined: the case for value-at-risk In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper19
2004Feedback trading In: LSE Research Online Documents on Economics.
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2004Highwaymen or heroes: should hedge funds be regulated? In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper2
2003Anatomy 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]		paper9
2001What happens when you regulate risk?: evidence from a simple equilibrium model In: LSE Research Online Documents on Economics.
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2011Balance sheet capacity and endogenous risk In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper50
2013Political challenges of the macroprudential agenda In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
2015Why risk is so hard to measure In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper7
2016The fatal flaw in macropru: it ignores political risk In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
2016Why macropru can end up being procyclical In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
2017Brexit and systemic risk In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
2017Brexit and the implications for financial services In: SUERF Studies.
[Full Text][Citation analysis]		book3
2018Low Risk as a Predictor of Financial Crises In: FEDS Notes.
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2022How global risk perceptions affect economic growth In: FEDS Notes.
[Full Text][Citation analysis]		paper2
1998The value of value at risk: statistical, financial, and regulatory considerations (summary) In: Economic Policy Review.
[Full Text][Citation analysis]		article0
2006Feedback trading This paper is also available at www.riskresearch.org In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article1
2000Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market In: Monetary and Economic Studies.
[Full Text][Citation analysis]		article21
2018Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks In: IMF Working Papers.
[Full Text][Citation analysis]		paper18
1993Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article84
2008Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation In: Annals of Finance.
[Full Text][Citation analysis]		article9
2012Regime switches in the volatility and correlation of financial institutions In: Working Paper Research.
[Full Text][Citation analysis]		paper6
2012Endogenous and Systemic Risk In: NBER Chapters.
[Full Text][Citation analysis]		chapter22
2003On the Feasibility of Risk Based Regulation In: CESifo Economic Studies.
[Full Text][Citation analysis]		article9
2011Lessons from a collapse of a financial system In: Economic Policy.
[Full Text][Citation analysis]		article38
2012Liquidity determination in an order-driven market In: The European Journal of Finance.
[Full Text][Citation analysis]		article11
2012Exchange rate determination and inter-market order flow effects In: The European Journal of Finance.
[Full Text][Citation analysis]		article13
1998Abnormal Returns, Risk, and Options in Large Data Sets In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper2
2001Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2007Currency Crises, (Hidden) Linkages and Volume In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0

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