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Wilhelmsson, Anders's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,149 |
Total
Citations
12 |
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1.
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Nossman, Marcus
Lund University Wilhelmsson, Anders
Lund University - Department of Economics
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19 Sep 08
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Last Revised:
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22 Sep 09
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892
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3
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Expectation hypothesis, Futures, Implicit volatility, VIX
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2.
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Volatility Risk Premium, Risk Aversion and the Cross-Section of Stock Returns
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Nyberg, Peter M.
Aalto University Wilhelmsson, Anders
Lund University - Department of Economics
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Posted:
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24 Oct 07
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Last Revised:
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13 Oct 10
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821
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4
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Nyberg, Peter M.
Aalto University Wilhelmsson, Anders
Lund University - Department of Economics
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2
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4
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Nyberg, Peter M.
Aalto University Wilhelmsson, Anders
Lund University - Department of Economics
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24 Oct 07
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Last Revised:
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05 Mar 08
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819
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4
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asset pricing, volatility risk premium, risk aversion, habit formation, momentum
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3.
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Frésard, Laurent
University of Maryland - Robert H. Smith School of Business Perignon, Christophe
HEC Paris (Groupe HEC) - Finance Department Wilhelmsson, Anders
Lund University - Department of Economics
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15 Jan 10
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Last Revised:
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14 Mar 13
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226
(65,883)
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3
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Regulatory capital, proprietary trading, backtesting, value-at-risk, profit-and-loss
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4.
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Wilhelmsson, Anders
Lund University - Department of Economics Nossman, Marcus
Lund University
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05 Feb 11
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Last Revised:
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27 Feb 11
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125
(114,045)
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Value-at-Risk, Non-Parametric, Implicit Volatility, VIX
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5.
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Wilhelmsson, Anders
Lund University - Department of Economics
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49
(201,949)
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Density forecasting, model confidence set, GARCH
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6.
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Lundtofte, Frederik
Lund University - Department of Economics Wilhelmsson, Anders
Lund University - Department of Economics
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28 Jun 12
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Last Revised:
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27 Oct 12
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34
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log-linear approximations, equity premium puzzle, cumulants, NIG distribution, long-run risk
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7.
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Wilhelmsson, Anders
Lund University - Department of Economics
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2
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2
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8.
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Measuring Event Risk
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Show Abstracts |
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Versions (2)
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Nyberg, Peter M.
Aalto University Wilhelmsson, Anders
Lund University - Department of Economics
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Posted:
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26 Aug 08
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Last Revised:
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29 Jul 10
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Nyberg, Peter M.
Aalto University Wilhelmsson, Anders
Lund University - Department of Economics
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0
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C22, G21, G28, event risk, jumps, NIG distribution, Value-at-Risk
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Nyberg, Peter M.
Aalto University Wilhelmsson, Anders
Lund University - Department of Economics
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26 Aug 08
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Last Revised:
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20 Feb 09
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0
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Value-at-Risk, Event Risk, NIG distribution, Jumps
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Records 1 -
8
of 8 matches
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1
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