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Jon Danielsson
Jon Danielsson
London School of Economics
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Title
Cited by
Cited by
Year
Value-at-risk and extreme returns
J Danielsson, CG De Vries
Annales d'Economie et de Statistique, 239-270, 2000
7082000
Using a bootstrap method to choose the sample fraction in tail index estimation
J Danielsson, L de Haan, L Peng, CG de Vries
Journal of Multivariate analysis 76 (2), 226-248, 2001
6772001
An academic response to Basel II
J Danielsson, P Embrechts, C Goodhart, C Keating, F Muennich, ...
FMG, 2001
5852001
Stochastic volatility in asset prices estimation with simulated maximum likelihood
J Danielsson
Journal of Econometrics 64 (1-2), 375-400, 1994
5541994
The emperor has no clothes: Limits to risk modelling
J Danıelsson
Journal of Banking & Finance 26 (7), 1273-1296, 2002
4922002
Tail index and quantile estimation with very high frequency data
J Danielsson, CG De Vries
Journal of empirical Finance 4 (2-3), 241-257, 1997
4791997
Financial risk forecasting: the theory and practice of forecasting market risk with implementation in R and Matlab
J Danielsson
John Wiley & Sons, 2011
4152011
Procyclical leverage and endogenous risk
J Danielsson, HS Shin, JP Zigrand
Available at SSRN 1360866, 2012
404*2012
Fat tails, VaR and subadditivity
J Daníelsson, BN Jorgensen, G Samorodnitsky, M Sarma, CG de Vries
Journal of econometrics 172 (2), 283-291, 2013
312*2013
The impact of risk regulation on price dynamics
J Danıelsson, HS Shin, JP Zigrand
Journal of Banking & Finance 28 (5), 1069-1087, 2004
274*2004
Endogenous risk
J Danielsson, HS Shin
Modern risk management: A history, 297-316, 2003
2342003
Accelerated Gaussian importance sampler with application to dynamic latent variable models
J Danielsson, JF Richard
Journal of Applied Econometrics 8 (S1), S153-S173, 1993
2341993
Model risk of risk models
J Danielsson, KR James, M Valenzuela, I Zer
Journal of Financial Stability 23, 79-91, 2016
2042016
Blame the models
J Danielsson
Journal of Financial Stability 4 (4), 321-328, 2008
2012008
Real trading patterns and prices in spot foreign exchange markets
J Danıelsson, R Payne
Journal of International Money and Finance 21 (2), 203-222, 2002
1802002
Learning from history: Volatility and financial crises
J Danielsson, M Valenzuela, I Zer
The Review of Financial Studies 31 (7), 2774-2805, 2018
1712018
Lessons from a collapse of a financial system
S Benediktsdottir, J Danielsson, G Zoega
Economic Policy 26 (66), 183-235, 2011
1702011
On time-scaling of risk and the square-root-of-time rule
J Danielsson, JP Zigrand
Journal of Banking & Finance 30 (10), 2701-2713, 2006
1652006
Beyond the sample: Extreme quantile and probability estimation
J Danielsson, CG De Vries
Tinbergen Institute Discussion Paper, 1998
1551998
Multivariate stochastic volatility models: estimation and a comparison with VGARCH models
J Danı́elsson
Journal of Empirical Finance 5 (2), 155-173, 1998
1401998
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