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On the impact of fundamentals, liquidity, and coordination on market stability

Daníelsson, Jón; Peñaranda, Francisco - In: International economic review 52 (2011) 3, pp. 621-638

Persistent link: https://www.econbiz.de/10009379496

Endogenous extreme events and the dual role of prices

Daníelsson, Jón; Shin, Hyun Song; Zigrand, Jean-Pierre - In: Annual review of economics 4 (2012), pp. 83-109

Persistent link: https://www.econbiz.de/10009692756

Regime switches in the volatility and correlation of financial institutions

Boudt, Kris; Daníelsson, Jón; Koopman, Siem Jan; … - 2012

Persistent link: https://www.econbiz.de/10009665042

Stochastic volatility in asset prices : estimation with simulated maximum likelihood

Daníelsson, Jón - In: Journal of econometrics 64 (1994) 1, pp. 375-400

Persistent link: https://www.econbiz.de/10001166420

Multivariate stochastic volatility models : estimation and a comparison with VGARCH models

Daníelsson, Jón - In: Journal of empirical finance 5 (1998) 2, pp. 155-173

Persistent link: https://www.econbiz.de/10001374884

Estimation of the dynamic stochastic volatility model for asset price determination by simulated maximum likelihood

Daníelsson, Jón - 1991

Persistent link: https://www.econbiz.de/10000850752

Endogenous and systemic risk

Daníelsson, Jón; Shin, Hyun Song; Zigrand, Jean-Pierre - In: Quantifying systemic risk, (pp. 73-94). 2013

Persistent link: https://www.econbiz.de/10010191412

Macroprudential stress tests and policies : searching for robust and implementable frameworks

Anderson, Ronald W.; Daníelsson, Jón; Baba, Chikako; … - 2018

Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore,...

Persistent link: https://www.econbiz.de/10011932199

Central banks, macro-financial stability and the future of the financial system

George, Esther L.; Acemoglu, Daron; Allen, Hilary J.; … - BIS Annual Conference <22., 2023, Basel> - 2023

Persistent link: https://www.econbiz.de/10014442377

A spectral representation for max-stable processes

Haan, L. de - 1983

Persistent link: https://www.econbiz.de/10003552624