Items where Author is "Danielsson, Jon"

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2023) The case against aggressive government action on crypto. LSE Business Review (29 Mar 2023). Blog Entry.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Macrae, Robert and Tchouparov, Nikola (2023) Lessons from the collapse of Silicon Valley Bank. LSE Business Review (15 Mar 2023). Blog Entry.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Valenzuela, Marcela and Zer, Ilknur (2022) The impact of risk cycles on business cycles: a historical view. Review of Financial Studies, 36 (7). 2922 - 2961. ISSN 0893-9454

Danielsson, Jon ORCID: 0009-0006-9844-7960, Macrae, Robert and Uthemann, Andreas ORCID: 0000-0002-7942-8530 (2022) Artificial intelligence and systemic risk. Journal of Banking and Finance, 140. ISSN 0378-4266

Danielsson, Jon ORCID: 0009-0006-9844-7960, Goodhart, C. A. E. and Macrae, Robert (2022) Sanctions, war, and systemic risk in 1914 and 2022. VOX EU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Giger, Peter, Joshi, Mohit, Lordan, Grace, Sanghvi, Sneha and Siddiqi, Lutfey (2020) Risk landscape: review 2020 & preview 2021. Systemic Risk Centre, The London School of Economics and Political Science.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Valenzuela, Marcela and Zer, Ilknur (2020) Financial volatility and economic growth, 1870-2016. Systemic Risk Centre Discussion Papers (100). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Macrae, Robert, Vayanos, Dimitri ORCID: 0000-0002-0944-4914 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2020) The coronavirus crisis is no 2008. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2018) Cryptocurrencies: policy, economics and fairness. Systemic Risk Centre Discussion Papers (86). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Valenzuela, Marcela and Zer, Ilknur (2018) Learning from history: volatility and financial crises. Review of Financial Studies, 31 (7). 2774 - 2805. ISSN 0893-9454

Danielsson, Jon ORCID: 0009-0006-9844-7960, Panayi, Efstathios, Peters, Gareth and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2018) Market resilience. Systemic Risk Centre Discussion Papers (78). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Valenzuela, Marcela and Zer, Ilknur (2018) Learning from history: volatility and financial crises. Systemic Risk Centre Discussion Papers (57). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Panayi, Efstathios, Peters, Gareth W., Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrandd, Jean-Pierre (2018) Designating market maker behaviour in limit order book markets. Econometrics and Statistics, 5. pp. 20-44. ISSN 2452-3062

Danielsson, Jon ORCID: 0009-0006-9844-7960, Macrae, Robert and Micheler, Eva ORCID: 0000-0002-7922-2436 (2017) Brexit and systemic risk. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Macrae, Robert, Tsomocos, Dimitrios P. and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2016) Why macropru can end up being procyclical. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Macrae, Robert (2016) The fatal flaw in macropru: it ignores political risk. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Valenzuela, Marcela and Zer, Ilknur (2016) Low volatility makes a financial crisis more likely. LSE Business Review (22 Aug 2016). Website.

Csullag, Balazs, Danielsson, Jon ORCID: 0009-0006-9844-7960 and Macrae, Robert (2016) Why it doesn't make sense to hold bonds. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Macrae, Robert and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2016) On the financial market consequences of Brexit. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Fouché, Morgane and Macrae, Robert (2016) Cyber risk as systemic risk. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2016) Can we prove a bank guilty of creating systemic risk? A minority report. Journal of Money, Credit and Banking, 48 (4). 795 - 812. ISSN 0022-2879

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Tsanakas, Andreas (2016) Everybody right, everybody wrong: plural rationalities in macroprudential regulation. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Ergun, Lerby M., Haan, Laurens de and Vries, Casper G. de (2016) Tail index estimation: quantile driven threshold selection. Systemic Risk Centre Discussion Papers (58). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2016) Model risk of risk models. Journal of Financial Stability, 23. pp. 79-91. ISSN 1572-3089

Danielsson, Jon ORCID: 0009-0006-9844-7960, Valenzuela, Marcela and Zer, Ilknur (2016) Learning from history: volatility and financial crises. Systemic Risk Centre Discussion Papers (57). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Fouché, Morgane and Macrae, Robert (2015) The macro-micro conflict. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Valenzuela, Marcela and Zer, Ilknur (2015) Volatility, financial crises and Minsky's hypothesis. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2015) Can we prove a bank guilty of creating systemic risk? A minority report. Systemic Risk Centre Discussion Papers (47). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2015) Can we prove a bank guilty of creating systemic risk? A minority report. Systemic Risk Centre Discussion Papers (47). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2015) Iceland illustrates why political ‘hectoring’ from foreign countries is bound to fail in Greece. LSE European Politics and Policy (EUROPP) Blog (19 Aug 2015). Website.

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2015) Iceland, Greece and political hectoring. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2015) A proposed research and policy agenda for systemic risk. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2015) Are asset managers systemically important? VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Kristjánsdóttir, Ásdís (2015) Why Iceland can now remove capital controls. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zhou, Chen (2015) Why risk is hard to measure. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zhou, Chen (2015) Why risk is so hard to measure. Systemic Risk Centre Discussion Papers (36). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2015) Post-crisis banking regulation: evolution of economic thinking as it happened on Vox. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Bair, Sheila, Shin, Hyun Song, Borio, Claudio, Ratnovski, Lev, Boot, Arnoud, Goodhart, Charles, Zamil, Raihan, Hagendorff, Jens, Vallascas, Francesco, Gersbach, Hans, Calomiris, Charles W., Persaud, Avinash, Atkinson, Paul E., Blundell-Wignall, Adrian, Schmitz, Stefan W., Laeven, Luc, Levine, Ross, Hoshi, Takeo, Bremus, Franziska, Buch, Claudia M., Russ, Katheryn, Schnitzer, Monika, Cabellero, Ricardo, Claessens, Stijn, Pozsar, Zoltan, Singh, Manmohan, Čihák, Martin, Nier, Erlend W., Igan, Deniz, Mishra, Prachi, Tressel, Thierry, Perotti, Enrico and Spagnolo, Giancarlo (2015) Post-crisis banking regulation: evolution of economic thinking as it happened on Vox. VoxEU.org eBooks. Centre for Economic Policy Research (Great Britain), London, UK. ISBN 9781907142833

Danielsson, Jon ORCID: 0009-0006-9844-7960, Micheler, Eva ORCID: 0000-0002-7922-2436, Neugebauer, Katja, Uthemann, Andreas ORCID: 0000-0002-7942-8530 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2015) Europe’s proposed capital markets union: disruption will drive investment and innovation. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Micheler, Eva ORCID: 0000-0002-7922-2436, Neugebauer, Katja, Uthemann, Andreas ORCID: 0000-0002-7942-8530 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2015) Europe’s proposed capital markets union: how disruptive technologies will drive investment and innovation. LSE European Politics and Policy (EUROPP) Blog (23 Feb 2015). Website.

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2015) What the Swiss FX shock says about risk models. VoxEU.

Chwieroth, Jeffrey ORCID: 0000-0001-8965-0621 and Danielsson, Jon ORCID: 0009-0006-9844-7960 (2015) Averting financial crisis. Britain in 2015.

Boucher, Christophe M., Danielsson, Jon ORCID: 0009-0006-9844-7960, Kouontchou, Patrick S. and Maillet, Bertrand B. (2014) Risk models-at-risk. Journal of Banking and Finance, 44. pp. 72-92. ISSN 0378-4266

Danielsson, Jon ORCID: 0009-0006-9844-7960, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2014) Model risk and the implications for risk management, macroprudential policy, and financial regulations. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2014) Model risk of risk models. Systemic Risk Centre Discussion Papers (11). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2014) Systemic risk and financial regulations: what is the link? In: European Commission (Economic Analysis), Internal Market and Services DG Conference, 2014-02-27, Brussels, Belgium, BEL.

Boucher, Christophe M., Danielsson, Jon ORCID: 0009-0006-9844-7960, Kouontchou, Patrick S. and Maillet, Bertrand B. (2014) Risk models–at–risk. Systemic Risk Centre Discussion Papers (8). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2013) The new market-risk regulations. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Koijen, Ralph S.J., Laeven, Roger and Perotti, Enrico (2013) Solvency II: three principles to respect. VoxEU.

Chwieroth, Jeffrey ORCID: 0000-0001-8965-0621 and Danielsson, Jon ORCID: 0009-0006-9844-7960 (2013) Political challenges of the macroprudential agenda. VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2013) Global financial systems: stability and risk. Pearson (Firm), Harlow, UK. ISBN 9780273774662

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2013) Issues in empirically modelling systemic risk. In: 18th Annual Workshop on the Economic Science with Heterogeneous Interacting Agents, 2013-06-20, Reykjavik, Iceland, ISL.

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2013) Iceland’s post-Crisis economy: A myth or a miracle? VoxEU.

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2013) Does risk forecasting help macroprudential policy makers? In: Marie Curie ITN Conference on Financial Risk Management & Risk Reporting, 2013-04-12, Baden-Württemberg, Germany, DEU.

Boudt, Kris, Danielsson, Jon ORCID: 0009-0006-9844-7960 and Laurent, Sebastien (2013) Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting, 29 (2). pp. 244-257. ISSN 0169-2070

Danielsson, Jon ORCID: 0009-0006-9844-7960, Jorgensen, Bjorn N., Samorodnitsky, Gennady, Sarma, Mandira and de Vries, Casper G. (2013) Fat tails, VaR and subadditivity. Journal of Econometrics, 172 (2). pp. 283-291. ISSN 0304-4076

Danielsson, Jon ORCID: 0009-0006-9844-7960, de Vries, Casper G., Jorgensen, Bjorn, Samorodnitsky, Gennady and Mandira, Sarma (2012) Fat tails, VaR and subadditivity. . Jon Danielsson.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Pyne, Richard (2012) Liquidity determination in an order driven market. European Journal of Finance, 18 (9). pp. 799-821. ISSN 1351-847X

Danielsson, Jon ORCID: 0009-0006-9844-7960, Song Shin, Hyun and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2012) Endogenous extreme events and the dual role of prices. Annual Review of Economics, 4. pp. 111-129. ISSN 1941-1383

Danielsson, Jon ORCID: 0009-0006-9844-7960, Song Shin, Hyun and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2012) Endogenous and systemic risk. NBER chapters (12054). National Bureau of Economic Research, Massachusetts, USA.

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2012) European leaders have let their own hubris dominate their response to the Greek crisis. A total bailout of Greece would only cost the European Union 2 per cent of its GDP. LSE European Politics and Policy (EUROPP) Blog (21 Mar 2012). Website.

Danielsson, Jon ORCID: 0009-0006-9844-7960, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2012) Dealing with systematic risk when we measure it badly. . European Center for Advanced Research in Economics and Statistics.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Luo, Jinhui and Payne, Richard (2012) Exchange rate determination and inter–market order flow effects. European Journal of Finance, 18 (9). pp. 823-840. ISSN 1351-847X

Danielsson, Jon ORCID: 0009-0006-9844-7960, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2011) Model risk of systemic risk models. . Jon Danielsson.

Benediktsdottir, Sigridur, Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zoega, Gylfi (2011) Lessons from a collapse of a financial system. Economic Policy, 26 (66). pp. 183-235. ISSN 0266-4658

Danielsson, Jon ORCID: 0009-0006-9844-7960, Luo, Jinhui and Payne, Richard (2011) Exchange rate determination and inter–market order flow effects. . Jon Danielsson.

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2011) Financial risk forecasting: the theory and practice of forecasting market risk with implementation in R and Matlab. Wiley-Blackwell. ISBN 9780470669433

Danielsson, Jon ORCID: 0009-0006-9844-7960, Song Shin, Hyun and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2011) Balance sheet capacity and endogenous risk. Financial Markets Group Discussion Papers (665). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Peñaranda, Francisco (2011) On the impact of fundamentals, liquidity, and coordination on market stability. International Economic Review, 52 (3). pp. 621-638. ISSN 0020-6598

Benink, Harald, Danielsson, Jon ORCID: 0009-0006-9844-7960 and Goodhart, Charles (2009) The future of banking regulation: the Basel II Accord. John Wiley & Sons, London, UK. ISBN 9781405158268

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2008) Blame the models. Journal of Financial Stability, 4 (4). pp. 321-328. ISSN 1572-3089

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2008) Equilibrium asset pricing with systemic risk. Economic Theory, 35 (2). pp. 293-319. ISSN 0938-2259

Benink, Harald, Danielsson, Jon ORCID: 0009-0006-9844-7960 and Jónsson, Ásgeir (2008) On the role of regulatory banking capital. Financial Markets, Institutions and Instruments, 17 (1). pp. 85-96. ISSN 0963-8008

Danielsson, Jon ORCID: 0009-0006-9844-7960, Jorgensen, Bjorn N., Vries, Casper G. and Yang, Xiaoguang (2008) Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. Annals of Finance, 4 (3). pp. 345-367. ISSN 1614-2446

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2007) Regulating hedge funds. Financial Stability Review, 10 (Spec.). pp. 29-36. ISSN 1636-6964

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Penaranda, Francisco (2007) On the impact of fundamentals, liquidity and coordination on market stability. Financial Markets Group Discussion Papers (586). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231, Jorgensen, Bjørn N., Sarma, Mandira and de Vries, C. G. (2006) Consistent measures of risk. Financial Markets Group Discussion Papers (565). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2006) Equilibrium asset pricing with systemic risk. Financial Markets Group Discussion Papers (561). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Jorgensen, Bjorn N., Sarma, Mandira and de Vries, Casper G (2006) Comparing downside risk measures for heavy tailed distributions. Economics Letters, 92 (2). pp. 202-208. ISSN 0165-1765

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2006) On time-scaling of risk and the square-root-of-time rule. Journal of Banking and Finance, 30 (10). pp. 2701-2713. ISSN 0378-4266

Danielsson, Jon ORCID: 0009-0006-9844-7960, Jorgensen, Bjørn N., Sarma, Mandira and Vries, C. G. de (2005) Comparing downside risk measures for heavy tailed distribution. Financial Markets Group Discussion Papers (551). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Jorgensen, Bjørn N., Mandira, Sarma, Samorodnitsky, Gennady and Vries, C. G. de (2005) Subadditivity re–examined: the case for value-at-risk. Financial Markets Group Discussion Papers (549). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Love, Ryan (2004) Feedback trading. Financial Markets Group Discussion Papers (510). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Shin, Hyun Song and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2004) The impact of risk regulation on price dynamics. Journal of Banking and Finance, 28 (5). pp. 1069-1087. ISSN 0378-4266

Jorgensen, Bjorn N., Danielsson, Jon ORCID: 0009-0006-9844-7960 and de Vries, Casper G. (2004) Regulation incentives for risk management in incomplete markets. In: Giorgio, Szego, (ed.) New Risk Measures in Investment and Regulation. Wiley Finance Series. John Wiley & Sons, Chichester, UK, pp. 13-31. ISBN 9780470861547

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Saltoglu, Burak (2003) Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis. Financial Markets Group Discussion Papers (456). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2003) On time-scaling of risk and the square–root–of–time rule. Financial Markets Group Discussion Papers (439). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Shin, Hyun Song (2003) Endogenous risk. In: Field, Peter, (ed.) Modern Risk Management: a History. Risk Books, London.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Jorgensen, Bjorn N. and de Vries, Casper G. (2002) Incentives for effective risk management. Journal of Banking and Finance, 26 (7). pp. 1407-1425. ISSN 0378-4266

Danielsson, Jon ORCID: 0009-0006-9844-7960 (2002) The emperor has no clothes: limits to risk modelling. Journal of Banking and Finance, 26 (7). pp. 1273-1296. ISSN 0378-4266

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Payne, R. (2002) Real trading patterns and prices in spot inter-dealer foreign exchange markets. Journal of International Money and Finance, 21 (2). pp. 203-222. ISSN 0261-5606

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Goodhart, Charles (2002) The inter-temporal nature of risk. In: Balling, Morten, Lierman, Frank and Mullineux, Andrew, (eds.) Technology and Finance: Challenges for Financial Markets, Business Strategies and Policy Makers. Routledge international studies in money and banking (17). Routledge, London, UK, pp. 18-40. ISBN 9780415298278

Danielsson, Jon ORCID: 0009-0006-9844-7960, Shin, Hyun Song and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2001) Asset price dynamics with value-at-risk constrained traders. Financial Markets Group Discussion Papers (394). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 and Danielsson, Jon ORCID: 0009-0006-9844-7960 (2001) What happens when you regulate risk?: evidence from a simple equilibrium model. Financial Markets Group Discussion Papers (393). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, de Haan, L., Peng, L. and de Vries, C. G. (2001) Using a bootstrap method to choose the sample fraction in tail index estimation. Journal of Multivariate Analysis, 76 (2). pp. 226-248. ISSN 0047-259X

Cumperayot, Phornchanok J., Danielsson, Jon ORCID: 0009-0006-9844-7960, Jorgensen, Bjorn N. and Vries, Casper G. (2000) On the (Ir)relevancy of value-at-risk regulation. In: Franke, Jürgen, Stahl, Gerhard and Härdle, Wolfgang, (eds.) Measuring Risk in Complex Stochastic Systems. Lecture Notes in Statistics,147. Springer Science+Business Media B.V., New York, 99 - 117. ISBN 9780387989969

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Vries, C. G. de (2000) Value-at-risk and extreme returns. Annales d'economie et de Statistique, 60 (Specia). pp. 236-269. ISSN 0769-489X

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Payne, Richard (1999) Real trading patterns and prices in spot foreign exchange markets. Financial Markets Group Discussion Papers (320). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960, Jorgensen, Bjorn N. and De Vries, Casper G. (1998) The value of value at risk: statistical, financial, and regulatory considerations summary of presentation. Economic Policy Review. pp. 107-108. ISSN 0147-6580

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Vries, Casper (1998) Beyond the sample: extreme quantile and probability estimation. Financial Markets Group Discussion Papers (298). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon ORCID: 0009-0006-9844-7960 and Vries, Casper (1997) Value-at-risk and extreme returns. Financial Markets Group Discussion Papers (273). Financial Markets Group, The London School of Economics and Political Science, London, UK.