Person:528146

Available identifiers

zbMath Open danielsson.jonMaRDI QIDQ528146

List of research outcomes

Publication	Date of Publication	Type
Fat tails, VaR and subadditivity	2017-05-12	Paper
Comparing downside risk measures for heavy tailed distributions	2013-01-08	Paper
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation	2012-03-06	Paper
Equilibrium asset pricing with systemic risk	2008-05-26	Paper
https://portal.mardi4nfdi.de/entity/Q3368189	2006-01-27	Paper
Using a bootstrap method to choose the sample fraction in tail index estimation	2002-01-08	Paper
https://portal.mardi4nfdi.de/entity/Q4518938	2000-12-03	Paper
Abnormal returns, risk, and options in large data sets	1999-11-09	Paper
The method of moments ratio estimator for the tail shape parameter	1997-05-19	Paper
Stochastic volatility in asset prices. Estimation with simulated maximum likelihood	1995-11-28	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Jón Daníelsson