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
Journal of Econometrics (1994)
The emperor has no clothes: Limits to risk modelling
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
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
Journal of Financial Stability (2008)
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