J. Danielsson

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

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