Value-at-Risk and Extreme Returns
Jon Danielsson;Casper G. De Vries.
Annals of economics and statistics (2000)
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
J. Danielsson;L. de Haan;L. Peng;C.G. de Vries.
Journal of Multivariate Analysis (2001)
An Academic Response to Basel II
Con Keating;Hyun Song Shin;Charles Goodhart;Jon Danielsson.
Research Papers in Economics (2001)
Stochastic volatility in asset prices estimation with simulated maximum likelihood
Jon Danielsson.
Journal of Econometrics (1994)
The emperor has no clothes: Limits to risk modelling
Jón Danı́elsson.
Journal of Banking and Finance (2002)
Tail index and quantile estimation with very high frequency data
Jón Daníelsson;Casper G. de Vries.
Journal of Empirical Finance (1997)
Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab
Jon Danielsson.
(2011)
Accelerated gaussian importance sampler with application to dynamic latent variable models
J. Danielsson;J.-F. Richard.
Journal of Applied Econometrics (1993)
The impact of risk regulation on price dynamics
Jon Danielsson;Hyun Song Shin;Jean-Pierre Zigrand.
Research Papers in Economics (2004)
Blame the models
Jón Daníelsson.
Journal of Financial Stability (2008)
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Erasmus University Rotterdam
Bank for International Settlements
Aix-Marseille University
Cornell University
Georgia State University
Vrije Universiteit Amsterdam
University of Lisbon
London School of Economics and Political Science
University of Amsterdam
London School of Economics and Political Science
Adobe Systems (United States)
University of Amsterdam
University of Massachusetts Lowell
Nanjing University
Waseda University
Panasonic (Japan)
Eindhoven University of Technology
National Institute of Technical Teachers Training and Research
Pacific Northwest National Laboratory
University of Montana
Children's Hospital of Philadelphia
Max Planck Society
Martin Luther University Halle-Wittenberg
University of Chicago
University of Birmingham
University of Wisconsin–Milwaukee