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Information about:
Jon Danielsson

Personal Details | Affiliation | Works
This is information that was supplied by Jon Danielsson in registering through RePEc. If you are Jon Danielsson , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Jon
Middle Name:
Last Name: Danielsson
Suffix:

RePEc Short-ID: pda10

Email:
Homepage: http://www.riskresearch.org
Postal Address: Department of Accounting and Finance London School of Economics
Phone:

Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  2. Wu-Index

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Francisco Peñaranda & Jón Daníelsson, 2007. "On the Impact of Fundamentals, Liquidity and Coordination on Market Stability," Economics Working Papers 1003, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    Other versions:

  2. Jean-Pierre Zigrand & Jon Danielsson, 2006. "Equilibrium Asset Pricing with Systemic Risk," FMG Discussion Papers dp561, Financial Markets Group. [Downloadable!] (restricted)
    Published as:

  3. Casper G. de Vries & Mandira Sarma & Bjørn N. Jorgensen & Jean-Pierre Zigrand & Jon Danielsson, 2006. "Consistent Measures of Risk," FMG Discussion Papers dp565, Financial Markets Group. [Downloadable!] (restricted)

  4. Casper G. de Vries & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Comparing Downside Risk Measures for Heavy Tailed Distributions," FMG Discussion Papers dp551, Financial Markets Group. [Downloadable!] (restricted)
    Published as:

  5. Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Subadditivity Re–Examined: the Case for Value-at-Risk," FMG Discussion Papers dp549, Financial Markets Group. [Downloadable!] (restricted)

  6. Jean-Pierre Zigrand & Ashley Taylor & Jon Danielsson, 2004. "(IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated?," FMG Discussion Papers dp518, Financial Markets Group. [Downloadable!] (restricted)

  7. Burak Saltoglu & Jon Danielsson, 2003. "Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis," FMG Discussion Papers dp456, Financial Markets Group. [Downloadable!] (restricted)

  8. Jean-Pierre Zigrand & Jon Danielsson, 2003. "On time-scaling of risk and the square–root–of–time rule," FMG Discussion Papers dp439, Financial Markets Group. [Downloadable!] (restricted)
    Published as:

  9. Con Keating & Hyun Song Shin & Charles Goodhart & Jon Danielsson, 2001. "An Academic Response to Basel II," FMG Special Papers sp130, Financial Markets Group. [Downloadable!] (restricted)

  10. Jean-Pierre Zigrand & Jon Danielsson & Hyun Song Shin, 2001. "Asset Price Dynamics with Value-at-Risk Constrained Traders," FMG Discussion Papers dp394, Financial Markets Group. [Downloadable!] (restricted)

  11. Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries & Xiaogang Yang, 2001. "Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation," Tinbergen Institute Discussion Papers 01-069/2, Tinbergen Institute. [Downloadable!]

  12. Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries, 2001. "Incentives for Effective Risk Management," Tinbergen Institute Discussion Papers 01-094/2, Tinbergen Institute. [Downloadable!]
    Published as:

  13. Jean-Pierre Zigrand & Jon Danielsson, 2001. "What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model," FMG Discussion Papers dp393, Financial Markets Group. [Downloadable!] (restricted)

  14. J. Danielsson & L. de Haan & L. Peng & C.G. de Vries, 2000. "Using a bootstrap method to choose the sample fraction in tail index estimation," Econometric Institute Report 197, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
    Published as:

  15. Jon Danielsson, 2000. "The Emperor has no Clothes: Limits to Risk Modelling," FMG Special Papers sp126, Financial Markets Group. [Downloadable!] (restricted)
    Published as:

  16. Jon Danielsson & Richard Payne, 1999. "Real Trading Patterns and Prices in Spot Foreign Exchange Markets," FMG Discussion Papers dp320, Financial Markets Group. [Downloadable!] (restricted)
    Published as:

  17. Philipp Hartmann & Jon Danielsson, 1998. "The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor," FMG Special Papers sp100, Financial Markets Group. [Downloadable!] (restricted)

  18. Silvia Caserta & Jon Danielsson & Casper G. de Vries, 1998. "Abnormal Returns, Risk, and Options in Large Data Sets," Tinbergen Institute Discussion Papers 98-107/2, Tinbergen Institute. [Downloadable!]

  19. Jón Daníelsson & Casper G. de Vries, 1998. "Beyond the Sample: Extreme Quantile and Probability Estimation," Tinbergen Institute Discussion Papers 98-016/2, Tinbergen Institute. [Downloadable!]
    Other versions:

  20. Jón Daníelsson & Casper G. de Vries, 1998. "Value-at-Risk and Extreme Returns," Tinbergen Institute Discussion Papers 98-017/2, Tinbergen Institute. [Downloadable!]
    Published as:

  21. Jon Danielsson, 1997. "Extreme Returns, Tail Estimation, and Value-at-Risk," FMG Discussion Papers dp273, Financial Markets Group. [Downloadable!] (restricted)

  22. Vries, Caspar de & Danielsson, Jon, 1996. "Tail Index and Quantile Estimation with Very High Frequency Data," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich.

Articles

  1. Daníelsson, Jón, 2008. "Blame the models," Journal of Financial Stability, Elsevier, vol. 4(4), pages 321-328, December. [Downloadable!] (restricted)

  2. Jón Daníelsson & Bjørn Jorgensen & Casper Vries & Xiaoguang Yang, 2008. "Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation," Annals of Finance, Springer, vol. 4(3), pages 345-367, July. [Downloadable!] (restricted)

  3. Jón Daníelsson & Jean-Pierre Zigrand, 2008. "Equilibrium asset pricing with systemic risk," Economic Theory, Springer, vol. 35(2), pages 293-319, May. [Downloadable!] (restricted)
    Other versions:

  4. Danielsson, Jon & Jorgensen, Bjorn N. & Sarma, Mandira & de Vries, Casper G., 2006. "Comparing downside risk measures for heavy tailed distributions," Economics Letters, Elsevier, vol. 92(2), pages 202-208, August. [Downloadable!] (restricted)
    Other versions:

  5. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October. [Downloadable!] (restricted)
    Other versions:

  6. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October. [Downloadable!] (restricted)

  7. Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004. "The impact of risk regulation on price dynamics," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1069-1087, May. [Downloadable!] (restricted)

  8. Danielsson, Jon & Jorgensen, Bjorn N. & de Vries, Casper G., 2002. "Incentives for effective risk management," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1407-1425, July. [Downloadable!] (restricted)
    Other versions:

  9. Danielsson, J. & Payne, R., 2002. "Real trading patterns and prices in spot foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 203-222, April. [Downloadable!] (restricted)
    Other versions:

  10. Danielsson, Jon, 2002. "The emperor has no clothes: Limits to risk modelling," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1273-1296, July. [Downloadable!] (restricted)
    Other versions:

  11. Danielsson, J. & de Haan, L. & Peng, L. & de Vries, C. G., 2001. "Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation," Journal of Multivariate Analysis, Elsevier, vol. 76(2), pages 226-248, February. [Downloadable!] (restricted)
    Other versions:

  12. Danielsson, Jon & Morimoto, Yuji, 2000. "Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 18(2), pages 25-48, December. [Downloadable!]

  13. Jon Danielsson & Casper G. de Vries & Bjorn N. Jorgensen, 1998. "The value of value at risk: statistical, financial, and regulatory considerations (summary)," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 107-108. [Downloadable!]

  14. Danielsson, Jon, 1998. "Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 155-173, June. [Downloadable!] (restricted)

  15. Jón Daníelsson, 1996. "Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 1(1), pages 29-34. [Downloadable!] (restricted)

  16. Danielsson, Jon, 1994. "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 375-400. [Downloadable!] (restricted)

  17. Danielsson, Jon, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 393-95, October.

  18. Danielsson, J & Richard, J-F, 1993. "Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S153-73, Suppl. De. [Downloadable!] (restricted)

  19. RePEc:adr:anecst:y:2000:i:59-60:p:11 is not listed on IDEAS

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2006-05-27
  2. NEP-ECM: Econometrics (1) 2001-10-22
  3. NEP-FIN: Finance (3) 2001-10-16 2006-05-27 2006-06-17 Author is listed
  4. NEP-FMK: Financial Markets (2) 2006-05-27 2006-06-17 Author is listed
  5. NEP-IAS: Insurance Economics (1) 2001-10-22
  6. NEP-IFN: International Finance (1) 2007-03-10
  7. NEP-MST: Market Microstructure (1) 2007-03-10
  8. NEP-RMG: Risk Management (3) 2005-12-09 2005-12-09 2006-06-17 Author is listed
  9. NEP-UPT: Utility Models & Prospect Theory (1) 2006-06-17
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This page was last updated on 2009-10-23.

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