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1

Financial Risk Forecasting (The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab) || Analytical Value-at-Risk for Options and Bonds

Daníelsson, Jón

Year:

2012

Language:

english

File:

PDF, 950 KB

english, 2012

2

Microstructure des marchés financiers / Financial Market Microstructure || Value-at-Risk and Extreme Returns

Jon Danielsson and Casper G. De Vries

Journal:

Annales d'Économie et de Statistique

Year:

2000

Language:

english

File:

PDF, 3.23 MB

english, 2000

3

Financial Risk Forecasting (The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab) || Backtesting and Stress Testing

Daníelsson, Jón

Year:

2012

Language:

english

File:

PDF, 1.62 MB

english, 2012

4

Fat tails, VaR and subadditivity

Daníelsson, Jón, Jorgensen, Bjørn N., Samorodnitsky, Gennady, Sarma, Mandira, de Vries, Casper G.

Journal:

Journal of Econometrics

Year:

2013

Language:

english

File:

PDF, 374 KB

english, 2013

5

On time-scaling of risk and the square-root-of-time rule

Jón Daníelsson, Jean-Pierre Zigrand

Journal:

Journal of Banking & Finance

Year:

2006

Language:

english

File:

PDF, 228 KB

english, 2006

6

Robust forecasting of dynamic conditional correlation GARCH models

Boudt, Kris, Daníelsson, Jón, Laurent, Sébastien

Journal:

International Journal of Forecasting

Year:

2013

Language:

english

File:

PDF, 646 KB

english, 2013

7

Risk models-at-risk

Boucher, Christophe M., Daníelsson, Jón, Kouontchou, Patrick S., Maillet, Bertrand B.

Journal:

Journal of Banking & Finance

Year:

2014

Language:

english

File:

PDF, 1.50 MB

english, 2014

8

Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code

Daníelsson, Jón

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

1996

Language:

english

File:

PDF, 376 KB

english, 1996

9

Designating market maker behaviour in limit order book markets

Panayi, Efstathios, Peters, Gareth W., Danielsson, Jon, Zigrand, Jean-Pierre

Journal:

Econometrics and Statistics

Year:

2016

Language:

english

File:

PDF, 2.17 MB

english, 2016

10

Endogenous Extreme Events and the Dual Role of Prices

Danielsson, Jon, Shin, Hyun Song, Zigrand, Jean-Pierre

Journal:

Annual Review of Economics

Year:

2012

Language:

english

File:

PDF, 1.32 MB

english, 2012

11

Financial Risk Forecasting (The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab) ||

Daníelsson, Jón

Year:

2012

Language:

english

File:

PDF, 21.17 MB

english, 2012

12

Feedback trading

Jón Daníelsson, Ryan Love

Journal:

International Journal of Finance & Economics

Year:

2006

Language:

english

File:

PDF, 200 KB

english, 2006

13

Stochastic volatility in asset prices estimation with simulated maximum likelihood

Journal:

Journal of Econometrics

Year:

1994

Language:

english

File:

PDF, 1.42 MB

english, 1994

14

Lessons from a collapse of a financial system

Sigridur Benediktsdottir, Jon Danielsson, Gylfi Zoega

Journal:

Economic Policy

Year:

2011

Language:

english

File:

PDF, 1.61 MB

english, 2011

15

Comparing downside risk measures for heavy tailed distributions

Jón Daníelsson, Bjørn N. Jorgensen, Mandira Sarma, Casper G. de Vries

Journal:

Economics Letters

Year:

2006

Language:

english

File:

PDF, 101 KB

english, 2006

16

Highwaymen or heroes: Should hedge funds be regulated?: A survey

Jón Daníelsson, Ashley Taylor, Jean-Pierre Zigrand

Journal:

Journal of Financial Stability

Year:

2005

Language:

english

File:

PDF, 233 KB

english, 2005

17

Tail index and quantile estimation with very high frequency data

Jón Daníelsson, Casper G. de Vries

Journal:

Journal of Empirical Finance

Year:

1997

Language:

english

File:

PDF, 815 KB

english, 1997

18

Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report

DANIELSSON, JON, JAMES, KEVIN R., VALENZUELA, MARCELA, ZER, ILKNUR

Journal:

Journal of Money, Credit and Banking

Year:

2016

Language:

english

File:

PDF, 188 KB

english, 2016

19

Financial Risk Forecasting (The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab) || Simulation Methods for VaR for Options and Bonds

Daníelsson, Jón

Year:

2012

Language:

english

File:

PDF, 1.33 MB

english, 2012

20

Financial Risk Forecasting (The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab) || Extreme Value Theory

Daníelsson, Jón

Year:

2012

Language:

english

File:

PDF, 1.50 MB

english, 2012

21

Financial Risk Forecasting (The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab) || Financial Markets, Prices and Risk

Daníelsson, Jón

Year:

2012

Language:

english

File:

PDF, 2.59 MB

english, 2012

22

Financial Risk Forecasting (The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab) || Financial Time Series

Daníelsson, Jón

Year:

2012

Language:

english

File:

PDF, 1.93 MB

english, 2012

23

Risk Appetite and Endogenous Risk

Danielsson, Jon, Shin, Hyun Song, Zigrand, Jean-Pierre

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 470 KB

english, 2009

24

Why Risk Is So Hard to Measure

Danielsson, Jon, Zhou, Chen

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 234 KB

english, 2015

25

Market Resilience

Danielsson, Jon, Panayi, Efstathios, Peters, Gareth, Zigrand, Jean-Pierre

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 937 KB

english, 2018

26

A hardware neural network for on-line particle identification

M. Danielsson, A. Go, K. Jon-And, Th. Lindblad, E. Machado, M. Timm

Journal:

Nuclear Instruments and Methods in Physics Research Section A: Accelerators, Spectrometers, Detectors and Associated Equipment

Year:

1994

Language:

english

File:

PDF, 392 KB

english, 1994

27

Simulated annealing and neural networks as alternative methods for nonlinear constrained optimization

P. Carlson, M. Danielsson, M. Dejardin, K. Jon-And, J. Sjölin

Journal:

Nuclear Instruments and Methods in Physics Research Section A: Accelerators, Spectrometers, Detectors and Associated Equipment

Year:

1996

Language:

english

File:

PDF, 490 KB

english, 1996

28

Equilibrium asset pricing with systemic risk

Jón Daníelsson, Jean-Pierre Zigrand

Journal:

Economic Theory

Year:

2008

Language:

english

File:

PDF, 362 KB

english, 2008

29

Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation

Jón Daníelsson, Bjørn N. Jorgensen, Casper G. de Vries, Xiaoguang Yang

Journal:

Annals of Finance

Year:

2008

Language:

english

File:

PDF, 331 KB

english, 2008

30

Foreword

Harald Benink, Jón Daníelsson, Charles Goodhart

Journal:

Financial Markets, Institutions & Instruments

Year:

2005

Language:

english

File:

PDF, 75 KB

english, 2005

31

Countercyclical Capital and Currency Dependence

by Jón Daníelsson, Ásgeir Jónsson

Journal:

Financial Markets, Institutions & Instruments

Year:

2005

Language:

english

File:

PDF, 146 KB

english, 2005

32

On the Role of Regulatory Banking Capital

Harald Benink, Jón Daníelsson, Ásgeir Jónsson

Journal:

Financial Markets, Institutions & Instruments

Year:

2008

Language:

english

File:

PDF, 467 KB

english, 2008

33

Foreword

Harald Benink, Jón Daníelsson, Charles Goodhart

Journal:

Financial Markets, Institutions & Instruments

Year:

2008

Language:

english

File:

PDF, 37 KB

english, 2008

34

ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY

Jón Daníelsson, Francisco Peñaranda

Journal:

International Economic Review

Year:

2011

Language:

english

File:

PDF, 282 KB

english, 2011

35

The membrane-induced structure of melittin is correlated with the fluidity of the lipids

August Andersson, Henrik Biverståhl, Jon Nordin, Jens Danielsson, Emma Lindahl, Lena Mäler

Journal:

Biochimica et Biophysica Acta (BBA) - Biomembranes

Year:

2007

Language:

english

File:

PDF, 369 KB

english, 2007

36

Intrauterine nitric oxide in pelvic inflammatory disease

Angelos Sioutas, Ingrid Ehrén, Jon O. Lundberg, N. Peter Wiklund, Kristina Gemzell-Danielsson

Journal:

Fertility and Sterility

Year:

2008

Language:

english

File:

PDF, 120 KB

english, 2008

37

Blame the models

Jón Daníelsson

Journal:

Journal of Financial Stability

Year:

2008

Language:

english

File:

PDF, 121 KB

english, 2008

38

Measurement of luminal nitric oxide in the uterine cavity using a silicon balloon catheter

Angelos Sioutas, Kristina Gemzell-Danielsson, Jon O. Lundberg, Ingrid Ehrén

Journal:

Year:

2011

Language:

english

File:

PDF, 257 KB

english, 2011

39

Exchange rate determination and inter-market order flow effects

Daníelsson, Jón, Luo, Jinhui, Payne, Richard

Journal:

European Journal of Finance

Year:

2012

Language:

english

File:

PDF, 186 KB

english, 2012

40

[Bayesian Analysis of Stochastic Volatility Models]: Comment

Journal:

Journal of Business and Economic Statistics

Year:

1994

Language:

english

File:

PDF, 199 KB

english, 1994

41

Liquidity determination in an order-driven market

Daníelsson, Jón, Payne, Richard

Journal:

European Journal of Finance

Year:

2012

Language:

english

File:

PDF, 332 KB

english, 2012

42

The method of moments ratio estimator for the tail shape parameter

Danielsson, Jon, Jansen, Dennis W., De vries, Casper G.

Journal:

Communication in Statistics- Theory and Methods

Year:

1996

Language:

english

File:

PDF, 387 KB

english, 1996

43

Comment

Danielsson, Jon

Journal:

Journal of Business and Economic Statistics

Year:

1994

Language:

english

File:

PDF, 2.26 MB

english, 1994

44

Long-term follow-up of thalidomide embryopathy: malformations and development of osteoarthritis in the lower extremities and evaluation of upper extremity function

Ghassemi Jahani, Shadi A., Danielson, Barbro, Karlsson, Jón, Danielsson, Aina J.

Journal:

Journal of Children's Orthopaedics

Year:

2014

Language:

english

File:

PDF, 432 KB

english, 2014

45

Risk Management || Forecasting Extreme Financial Risk

Daníelsson, Jón

Year:

2006

Language:

english

File:

PDF, 1.38 MB

english, 2006

46

Model Risk of Risk Models

Danielsson, Jon, James, Kevin R., Valenzuela, Marcela, Zer, Ilknur

Journal:

Journal of Financial Stability

Year:

2016

Language:

english

File:

PDF, 783 KB

english, 2016

47

Equilibrium Asset Pricing with Systemic Risk

Jón Daníelsson and Jean-Pierre Zigrand

Journal:

Economic Theory

Year:

2008

Language:

english

File:

PDF, 2.03 MB

english, 2008

48

Health-related quality of life and function in middle-aged individuals with thalidomide embryopathy

Ghassemi Jahani, Shadi A., Karlsson, Jon, Brisby, Helena, Danielsson, Aina J.

Journal:

Journal of Children's Orthopaedics

Year:

2016

Language:

english

File:

PDF, 957 KB

english, 2016

49

Financial Risk Forecasting (The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab) || Multivariate Volatility Models

Daníelsson, Jón

Year:

2012

Language:

english

File:

PDF, 1.99 MB

english, 2012

50

Financial Risk Forecasting (The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab) || Risk Measures

Daníelsson, Jón

Year:

2012

Language:

english

File:

PDF, 3.21 MB

english, 2012