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 16 322 1 6 46 595
Abnormal Returns, Risk, and Options in Large Data Sets 0 1 11 262 2 5 26 1,060
An Academic Response to Basel II 7 12 79 1,044 19 40 185 2,013
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis 1 1 15 87 1 3 34 223
Asset Price Dynamics with Value-at-Risk Constrained Traders 1 1 8 119 4 4 21 340
Beyond the Sample: Extreme Quantile and Probability Estimation 1 6 16 454 6 16 51 1,171
Beyond the Sample: Extreme Quantile and Probability Estimation 6 13 61 687 15 32 135 1,669
Comparing Downside Risk Measures for Heavy Tailed Distributions 5 13 54 223 17 44 159 533
Consistent Measures of Risk 3 9 46 218 10 24 115 463
Equilibrium Asset Pricing with Systemic Risk 1 7 28 125 5 18 93 300
Extreme Returns, Tail Estimation, and Value-at-Risk 9 19 66 1,493 15 36 119 3,566
Incentives for Effective Risk Management 3 5 24 351 9 13 52 754
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability 1 2 4 33 1 3 16 85
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability 1 4 25 119 5 14 58 269
On time-scaling of risk and the square–root–of–time rule 9 23 90 534 31 99 382 1,922
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 2 3 10 222 3 7 25 574
Real Trading Patterns and Prices in Spot Foreign Exchange Markets 2 7 40 410 12 27 96 1,472
Subadditivity Re–Examined: the Case for Value-at-Risk 7 12 54 258 12 25 120 531
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 0 0 8 25 99 525
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor 4 6 23 128 6 11 41 270
The Emperor has no Clothes: Limits to Risk Modelling 10 19 85 551 18 37 180 1,336
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 1 4 18 381 4 10 37 1,592
Using a bootstrap method to choose the sample fraction in tail index estimation 2 4 32 344 15 21 102 1,280
Value-at-Risk and Extreme Returns 6 15 54 1,098 11 28 100 2,449
What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model 1 1 10 164 1 7 36 505
Total Working Papers 84 189 869 9,627 231 555 2,328 25,497

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 3 32 125 0 8 68 448
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 3 4 25 259
Blame the models 4 9 22 22 11 35 84 84
Comparing downside risk measures for heavy tailed distributions 1 1 9 42 1 3 26 109
Equilibrium asset pricing with systemic risk 0 4 24 38 0 10 50 84
Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code 2 17 81 486 2 26 145 895
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market 2 5 22 71 3 8 57 205
Highwaymen or heroes: Should hedge funds be regulated?: A survey 0 1 33 160 0 4 73 381
Incentives for effective risk management 1 2 11 74 3 7 40 213
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models 2 7 24 187 3 9 50 342
On time-scaling of risk and the square-root-of-time rule 2 9 34 144 5 17 92 435
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 3 5 16 26 6 12 53 85
Real trading patterns and prices in spot foreign exchange markets 2 6 17 145 3 9 39 354
Stochastic volatility in asset prices estimation with simulated maximum likelihood 6 23 101 423 11 39 165 713
The emperor has no clothes: Limits to risk modelling 6 11 47 183 9 21 99 410
The impact of risk regulation on price dynamics 2 5 15 79 5 10 39 174
The value of value at risk: statistical, financial, and regulatory considerations (summary) 3 4 9 133 3 6 22 285
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 2 3 14 14 2 6 28 28
Total Journal Articles 38 115 511 2,352 70 234 1,155 5,504
1 registered items for which data could not be found
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Statistics updated 2009-11-04