Access Statistics for Jon Danielsson

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
(IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated? 1 2 20 304 6 13 62 547
Abnormal Returns, Risk, and Options in Large Data Sets 1 1 8 251 4 12 39 1,034
An Academic Response to Basel II 3 17 69 959 12 45 169 1,816
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis 1 2 16 70 3 12 51 184
Asset Price Dynamics with Value-at-Risk Constrained Traders 0 1 4 108 0 11 19 316
Beyond the Sample: Extreme Quantile and Probability Estimation 2 4 25 437 6 24 84 1,119
Beyond the Sample: Extreme Quantile and Probability Estimation 3 9 53 626 9 29 136 1,529
Comparing Downside Risk Measures for Heavy Tailed Distributions 4 5 55 168 11 24 144 368
Consistent Measures of Risk 6 8 43 168 13 30 105 341
Equilibrium Asset Pricing with Systemic Risk 2 5 39 93 6 14 72 201
Extreme Returns, Tail Estimation, and Value-at-Risk 3 14 53 1,422 9 27 97 3,438
Incentives for Effective Risk Management 3 7 29 326 4 17 77 699
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability 0 0 12 28 2 8 38 68
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability 4 11 50 92 6 23 110 202
On time-scaling of risk and the square–root–of–time rule 10 46 123 435 48 144 441 1,503
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 1 3 17 212 3 10 44 549
Real Trading Patterns and Prices in Spot Foreign Exchange Markets 1 4 37 367 6 19 116 1,362
Subadditivity Re–Examined: the Case for Value-at-Risk 6 13 57 197 16 39 155 399
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 0 0 8 20 71 423
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor 0 3 15 104 2 9 35 226
The Emperor has no Clothes: Limits to Risk Modelling 3 10 53 456 6 31 116 1,139
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 1 14 361 1 8 37 1,553
Using a bootstrap method to choose the sample fraction in tail index estimation 1 5 27 309 3 23 77 1,172
Value-at-Risk and Extreme Returns 6 12 54 1,040 12 30 128 2,338
What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model 0 3 9 149 1 10 34 459
Total Working Papers 61 186 882 8,682 197 632 2,457 22,985

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models 0 1 11 91 4 7 45 371
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 1 5 21 234
Comparing downside risk measures for heavy tailed distributions 2 2 12 33 4 6 28 81
Equilibrium asset pricing with systemic risk 2 5 10 10 8 14 29 29
Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code 5 15 68 405 10 31 130 745
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market 0 10 31 47 8 24 78 143
Highwaymen or heroes: Should hedge funds be regulated?: A survey 5 6 49 124 8 17 114 297
Incentives for effective risk management 3 5 16 63 4 8 37 171
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models 2 5 24 161 6 11 49 289
On time-scaling of risk and the square-root-of-time rule 6 18 52 107 9 47 172 331
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 1 1 8 8 6 14 29 29
Real trading patterns and prices in spot foreign exchange markets 0 3 21 127 1 6 43 313
Stochastic volatility in asset prices estimation with simulated maximum likelihood 4 31 95 314 13 48 174 536
The emperor has no clothes: Limits to risk modelling 2 6 33 130 3 12 69 301
The impact of risk regulation on price dynamics 1 8 19 62 2 12 40 131
The value of value at risk: statistical, financial, and regulatory considerations (summary) 2 4 17 124 2 6 29 262
Total Journal Articles 35 120 466 1,806 89 268 1,087 4,263

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Statistics updated 2008-10-02