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Economics and Finance

D-Index
49
Citations
9583
World Ranking
1452
National Ranking
160

Overview

Jon Danielsson is affiliated with the London School of Economics and Political Science in the United Kingdom. Their research primarily focuses on Economics, Econometrics, and Finance, with a concentration on Finance, General Economics, Econometrics and Finance, and Economics and Econometrics.

Their work addresses several key topics, including:

  • Monetary Policy and Economic Impact
  • Global Financial Crisis and Policies
  • Financial Markets and Investment Strategies
  • Market Dynamics and Volatility
  • Economic Policies and Impacts
  • Financial Risk and Volatility Modeling
  • Banking stability, regulation, efficiency

Jon Danielsson has contributed to academic literature with papers published in journals and repositories such as the SSRN Electronic Journal, Review of Financial Studies, and arXiv (Cornell University). Some of their recent works include:

  • "The Impact of Risk Cycles on Business Cycles: A Historical View" (2022, Review of Financial Studies)
  • "On the use of artificial intelligence in financial regulations and the impact on financial stability" (2023, SSRN Electronic Journal)
  • "The Impact of Risk Cycles on Business Cycles: A Historical View" (2020, SSRN Electronic Journal)
  • "Artificial intelligence and financial crises" (2024, SSRN Electronic Journal)
  • "On the use of artificial intelligence in financial regulations and the impact on financial stability" (2023, arXiv (Cornell University))

Their frequent collaborators include Marcela Valenzuela, Ilknur Zer, Andreas Uthemann, Lerby Murat Ergun, and Mattia Bevilacqua.

Jon Danielsson has also authored books published by Yale University Press, including two editions of The Illusion of Control, both released in 2022.

Key venues for their publications are:

  • SSRN Electronic Journal
  • Review of Financial Studies
  • International Finance Discussion Paper
  • FEDS Notes
  • arXiv (Cornell University)

Best Publications

  • Value-at-Risk and Extreme Returns

    Jon Danielsson;Casper G. De Vries

  • Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation

    J. Danielsson;L. de Haan;L. Peng;C.G. de Vries

  • An Academic Response to Basel II

    Con Keating;Hyun Song Shin;Charles Goodhart;Jon Danielsson

  • Stochastic volatility in asset prices estimation with simulated maximum likelihood

    Jon Danielsson

  • The emperor has no clothes: Limits to risk modelling

    Jón Danı́elsson

  • Tail index and quantile estimation with very high frequency data

    Jón Daníelsson;Casper G. de Vries

  • Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab

    Jon Danielsson

  • Accelerated gaussian importance sampler with application to dynamic latent variable models

    J. Danielsson;J.-F. Richard

  • The impact of risk regulation on price dynamics

    Jon Danielsson;Hyun Song Shin;Jean-Pierre Zigrand

  • Learning from history: volatility and financial crises

    Jon Danielsson;Marcela Valenzuela;Ilknur Zer

  • Model risk of risk models

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

  • Blame the models

    Jón Daníelsson

  • Real Trading Patterns and Prices in Spot Foreign Exchange Markets

    J. Danı́elsson;R. Payne

  • Lessons from a collapse of a financial system

    Sigridur Benediktsdottir;Jon Danielsson;Gylfi Zoega

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

    Jón Daníelsson;Jean-Pierre Zigrand

  • Fat tails, VaR and subadditivity☆

    Jón Daníelsson;Bjørn N. Jorgensen;Gennady Samorodnitsky;Mandira Sarma

  • Beyond the Sample: Extreme Quantile and Probability Estimation

    Jón Daníelsson;Casper G. de Vries

  • Subadditivity Re–Examined: the Case for Value-at-Risk

    Casper G. de Vries;Gennady Samorodnitsky;Bjørn N. Jorgensen;Sarma Mandira

  • Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models

    Jón Danı́elsson

  • Risk models-at-risk

    Christophe M. Boucher;Jon Danielsson;Patrick S. Kouontchou;Bertrand Maillet

  • Using a bootstrap method to choose the sample fraction in tail index estimation

    J. Daníelsson;L.F.M. deHaan;L. Peng;C.G. deVries

Frequent Co-Authors

Casper G. de Vries
Casper G. de Vries Erasmus University Rotterdam
Hyun Song Shin
Hyun Song Shin Bank of Korea
Sébastien Laurent
Sébastien Laurent Aix-Marseille University
Enrico C. Perotti
Enrico C. Perotti University of Amsterdam
Andre Lucas
Andre Lucas Vrije Universiteit Amsterdam
Charles Goodhart
Charles Goodhart London School of Economics and Political Science
Til Schuermann
Til Schuermann Oliver Wyman
Siem Jan Koopman
Siem Jan Koopman Vrije Universiteit Amsterdam
Dimitri Vayanos
Dimitri Vayanos London School of Economics and Political Science
Francis X. Diebold
Francis X. Diebold University of Pennsylvania

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