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On time-scaling of risk and the square-root-of-time rule
Danielsson, Jon; Zigrand, Jean-Pierre - In: Journal of banking & finance 30 (2006) 10, pp. 2701-2714
Persistent link: https://www.econbiz.de/10007284224
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Feedback trading
Danielsson, Jon; Love, Ryan - In: International journal of finance & economics : IJFE 11 (2006) 1, pp. 35-54
Persistent link: https://www.econbiz.de/10007424821
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Comment - Bayesian Analysis of Stochastic Volatility Models
Danielsson, Jon - In: Journal of business & economic statistics : JBES ; a … 12 (1994) 4, pp. 393-394
Persistent link: https://www.econbiz.de/10008224423
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On the Feasibility of Risk Based Regulation
Danielsson, Jon - In: CESifo economic studies : CESifo, a joint initiative of … 49 (2003) 2, pp. 157-180
Persistent link: https://www.econbiz.de/10007655153
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Endogenous extreme events and the dual role of prices
Danielsson, Jon; Shin, Hyun-song; Zigrand, Jean-Pierre - In: Annual review of economics 4 (2012), pp. 83-109
Persistent link: https://www.econbiz.de/10010077020
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The Cost of Conservatism - New theoretical tools make the Basle Committee's approach to market risk capital outdated and inefficient.
Danielsson, Jon; Hartmann, Phillip; Vries, Casper de - In: Risk : managing risk in the world's financial markets 11 (1998) 1, pp. 101-103
Persistent link: https://www.econbiz.de/10007065403
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The Cost of Conservatism - New theoretical tools make the Basle Committee's approach to market risk capital outdated and inefficient.
Danielsson, Jon; Hartmann, Phillip; Vries, Casper de - In: Risk : managing risk in the world's financial markets 11 (1998) 1, pp. 101-103
Persistent link: https://www.econbiz.de/10007065421
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Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models
Danielsson, Jon - In: Journal of empirical finance 5 (1998) 2, pp. 155
Persistent link: https://www.econbiz.de/10007248448
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Countercyclical Capital and Currency Dependence
Danielsson, Jon; Jonsson, Ásgeir - In: Financial markets, institutions & instruments 14 (2005) 5, pp. 329-348
Persistent link: https://www.econbiz.de/10007226600
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Value-at-Risk and Extreme Returns
Danielsson, Jon; Vries, Casper G.De - In: Annales d'économie et de statistique (2000) 60, pp. 239
Persistent link: https://www.econbiz.de/10007919758