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Density forecasting with time-varying higher moments : a model confidence set approach
Wilhelmsson, Anders - In: Journal of forecasting 32 (2013) 1, pp. 19-31
Persistent link: https://www.econbiz.de/10009758731
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Value at risk with time varying variance, skewness and kurtosis : the NIG-ACD model
Wilhelmsson, Anders - In: The econometrics journal 12 (2009) 1, pp. 82-104
Persistent link: https://www.econbiz.de/10003841973
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Measuring event risk
Nyberg, Peter; Wilhelmsson, Anders - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 265-287
Persistent link: https://www.econbiz.de/10003884188
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Idiosyncratic risk and higher-order cumulants
Lundtofte, Frederik; Wilhelmsson, Anders - 2011
Persistent link: https://www.econbiz.de/10009310802
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Risk premia : exact solutions vs. log-linear approximations
Lundtofte, Frederik; Wilhelmsson, Anders - In: Journal of banking & finance 37 (2013) 11, pp. 4256-4264
Persistent link: https://www.econbiz.de/10010245574
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Volatility risk premium, risk aversion, and the cross-section of stock returns
Nyberg, Peter; Wilhelmsson, Anders - In: The financial review : the official publication of the … 45 (2010) 4, pp. 1079-1100
Persistent link: https://www.econbiz.de/10008698944