J. Danielsson

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
On the impact of fundamentals, liquidity, and coordination on market stability International Economic Review	2026-02-04	Paper
Fat tails, VaR and subadditivity Journal of Econometrics	2017-05-12	Paper
Comparing downside risk measures for heavy tailed distributions Economics Letters	2013-01-08	Paper
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation Annals of Finance	2012-03-06	Paper
Equilibrium asset pricing with systemic risk Economic Theory	2008-05-26	Paper
scientific article; zbMATH DE number 5002274 (Why is no real title available?)	2006-01-27	Paper
Using a bootstrap method to choose the sample fraction in tail index estimation Journal of Multivariate Analysis	2002-01-08	Paper
scientific article; zbMATH DE number 1538076 (Why is no real title available?)	2000-12-03	Paper
Abnormal returns, risk, and options in large data sets Statistica Neerlandica	1999-11-09	Paper
The method of moments ratio estimator for the tail shape parameter Communications in Statistics: Theory and Methods	1997-05-19	Paper
Stochastic volatility in asset prices. Estimation with simulated maximum likelihood Journal of Econometrics	1995-11-28	Paper

Research outcomes over time

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