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Jón Danı́elsson · Study
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Author
Jón Danı́elsson
38 works
· latest 2022
· 3 institutions
cluster: provisional
ORCID 0009-0006-9844-7960
Works
38 shown
The Illusion of Control
Yale University Press eBooks
·
2022
·
1 author
·
book
4
citations
The Illusion of Control
Yale University Press eBooks
·
2022
·
1 author
·
book
2
citations
Artificial Intelligence and Systemic Risk
Journal of Banking & Finance
·
2019
·
3 authors
·
Open access
171
citations
Learning from History: Volatility and Financial Crises
Review of Financial Studies
·
2018
·
3 authors
·
Open access
198
citations
Learning from History: Volatility and Financial Crises
Finance and Economics Discussion Series
·
2016
·
3 authors
·
Open access
43
citations
Model risk of risk models
Journal of Financial Stability
·
2016
·
4 authors
·
Open access
165
citations
Risk model-at-risk
HAL
·
2014
·
4 authors
102
citations
Endogenous and Systemic Risk
University of Chicago Press eBooks
·
2013
·
3 authors
·
chapter
65
citations
Robust forecasting of dynamic conditional correlation GARCH models
International Journal of Forecasting
·
2012
·
3 authors
84
citations
Fat tails, VaR and subadditivity
Journal of Econometrics
·
2012
·
5 authors
·
Open access
125
citations
Endogenous Extreme Events and the Dual Role of Prices
Annual Review of Economics
·
2012
·
3 authors
·
review
42
citations
Exchange rate determination and inter-market order flow effects
European Journal of Finance
·
2011
·
3 authors
54
citations
Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab
·
2011
·
1 author
86
citations
Lessons from a collapse of a financial system
Economic Policy
·
2011
·
3 authors
162
citations
Balance sheet capacity and endogenous risk
RePEc: Research Papers in Economics
·
2011
·
3 authors
·
preprint
·
Open access
72
citations
Risk Appetite and Endogenous Risk
·
2010
·
3 authors
64
citations
Robust Forecasting of Dynamic Conditional Correlation GARCH Models
SSRN Electronic Journal
·
2010
·
3 authors
·
preprint
·
Open access
48
citations
Procyclical Leverage and Endogenous Risk
SSRN Electronic Journal
·
2009
·
3 authors
·
preprint
·
Open access
105
citations
Blame the models
Journal of Financial Stability
·
2008
·
1 author
119
citations
Comparing downside risk measures for heavy tailed distributions
Economics Letters
·
2006
·
4 authors
·
Open access
64
citations
On time-scaling of risk and the square-root-of-time rule
Journal of Banking & Finance
·
2006
·
2 authors
·
Open access
129
citations
Feedback trading
International Journal of Finance & Economics
·
2006
·
2 authors
58
citations
Highwaymen or heroes: Should hedge funds be regulated?
Journal of Financial Stability
·
2005
·
2 authors
69
citations
Subadditivity Re–Examined: the Case for Value-at-Risk
RePEc: Research Papers in Economics
·
2005
·
5 authors
·
preprint
50
citations
Subadditivity Re-Examined: The Case for Value-At-Risk
eCommons (Cornell University)
·
2005
·
5 authors
·
report
·
Open access
67
citations
The impact of risk regulation on price dynamics
Journal of Banking & Finance
·
2003
·
3 authors
·
Open access
191
citations
The emperor has no clothes: Limits to risk modelling
Journal of Banking & Finance
·
2002
·
1 author
323
citations
Incentives for effective risk management
Journal of Banking & Finance
·
2002
·
3 authors
43
citations
Real trading patterns and prices in spot foreign exchange markets
Journal of International Money and Finance
·
2002
·
2 authors
138
citations
An Academic Response to Basel II
RePEc: Research Papers in Economics
·
2001
·
4 authors
·
preprint
274
citations
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
Journal of Multivariate Analysis
·
2001
·
4 authors
·
Open access
452
citations
Measuring and Explaining Liquidity on an Electronic Limit Order Book: Evidence from Reuters D2000-2
SSRN Electronic Journal
·
2001
·
2 authors
·
preprint
·
Open access
42
citations
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market
Monetary and and Economic Studies
·
2000
·
3 authors
52
citations
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models
Journal of Empirical Finance
·
1998
·
1 author
120
citations
Value-at-Risk and Extreme Returns
London School of Economics and Political Science Research Online (London School of Economics and Political Science)
·
1998
·
2 authors
·
book
·
Open access
104
citations
Beyond the Sample: Extreme Quantile and Probability Estimation
London School of Economics and Political Science Theses Online (London School of Economics and Political Science)
·
1997
·
2 authors
·
report
·
Open access
74
citations
Tail index and quantile estimation with very high frequency data
Journal of Empirical Finance
·
1997
·
2 authors
·
Open access
313
citations
Stochastic volatility in asset prices estimation with simulated maximum likelihood
Journal of Econometrics
·
1994
·
1 author
394
citations