Anders Vilhelmsson

Lund University - Department of Economics

Lund

Sweden

SCHOLARLY PAPERS

17

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Top 19,890

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2,463

SSRN CITATIONS
Rank 39,672

SSRN RANKINGS

Top 39,672

in Total Papers Citations

1

CROSSREF CITATIONS

13

Scholarly Papers (17)

Volatility Risk Premium, Risk Aversion and the Cross-Section of Stock Returns

Number of pages: 42 Posted: 24 Oct 2007 Last Revised: 05 Mar 2008
Peter M. Nyberg and Anders Vilhelmsson
Aalto University and Lund University - Department of Economics
Downloads 904 (25,301)
Citation 2

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asset pricing, volatility risk premium, risk aversion, habit formation, momentum

Volatility Risk Premium, Risk Aversion, and the Cross-Section of Stock Returns

Financial Review, Vol. 45, Issue 4, pp. 1079-1100, November 2010
Number of pages: 22 Posted: 13 Oct 2010
Peter M. Nyberg and Anders Vilhelmsson
Aalto University and Lund University - Department of Economics
Downloads 2 (684,139)
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The Investor-Base Hypothesis of Stock Return Volatility: Empirical Evidence

Number of pages: 36 Posted: 02 Jun 2016
Håkan Jankensgård and Anders Vilhelmsson
Lund University - Department of Business Administration and Lund University - Department of Economics
Downloads 226 (137,931)

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Volatility, ownership, investor base, portfolio concentration

The Investor-Base Hypothesis of Stock Return Volatility: Empirical Evidence

Number of pages: 36 Posted: 28 Apr 2015 Last Revised: 02 Jun 2016
Håkan Jankensgård and Anders Vilhelmsson
Lund University - Department of Business Administration and Lund University - Department of Economics
Downloads 94 (284,487)

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Volatility, ownership, investor base, portfolio concentration

3.

The Pernicious Effects of Contaminated Data in Risk Management

Number of pages: 43 Posted: 15 Jan 2010 Last Revised: 14 Mar 2013
Laurent Frésard, Christophe Perignon and Anders Vilhelmsson
Universita della Svizzera italiana (USI Lugano), HEC Paris - Finance Department and Lund University - Department of Economics
Downloads 289 (107,527)
Citation 1

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Regulatory capital, proprietary trading, backtesting, value-at-risk, profit-and-loss

4.

Predicting Default – Merton vs. Leland

Number of pages: 23 Posted: 10 Feb 2017
Jens Forssbæck and Anders Vilhelmsson
Lund University - Department of Economics and Lund University - Department of Economics
Downloads 204 (152,564)
Citation 3

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Default prediction, Distance to default, Credit risk, Merton model, Leland model

Enterprise Risk Management and Default Risk: Evidence from the Banking Industry

Journal of Risk and Insurance, Forthcoming
Number of pages: 44 Posted: 14 Apr 2016
Sara Lundqvist and Anders Vilhelmsson
Gothenburg University, School of Business, Economics, and Law and Lund University - Department of Economics
Downloads 183 (168,513)

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Risk management, Credit risk, Enterprise risk management, Corporate governance, Credit rating

6.

Non-Parametric Future Looking Value-at-Risk

Number of pages: 15 Posted: 05 Feb 2011 Last Revised: 27 Feb 2011
Anders Vilhelmsson and Marcus Nossman
Lund University - Department of Economics and Lund University
Downloads 162 (187,429)

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Value-at-Risk, Non-Parametric, Implicit Volatility, VIX

7.

Density Forecasting with Time Varying Higher Moments - A Model Confidence Set Approach

Number of pages: 30 Posted: 28 Feb 2011
Anders Vilhelmsson
Lund University - Department of Economics
Downloads 99 (273,054)

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Density forecasting, model confidence set, GARCH

8.

Systemic Risk and Centrality Revisited: The Role of Interactions

Number of pages: 37 Posted: 01 May 2017 Last Revised: 04 Mar 2019
Hossein Asgharian, Dominika Krygier and Anders Vilhelmsson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Lund University - Department of Economics and Lund University - Department of Economics
Downloads 82 (307,642)

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Systemic Risk, Network Centrality, Loan Syndication, CoVaR

9.

Risk Premia: Exact Solutions vs. Log-Linear Approximations

Journal of Banking and Finance, Forthcoming
Number of pages: 39 Posted: 28 Jun 2012 Last Revised: 29 Jul 2013
Frederik Lundtofte and Anders Vilhelmsson
Lund University - Department of Economics and Lund University - Department of Economics
Downloads 77 (319,243)

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log-linear approximations, equity premium puzzle, cumulants, NIG distribution, long-run risk

10.

Loan Pricing over the Business Cycle

Number of pages: 70 Posted: 10 Feb 2017
Jens Forssbæck, Frederik Lundtofte and Anders Vilhelmsson
Lund University - Department of Economics, Lund University - Department of Economics and Lund University - Department of Economics
Downloads 43 (422,498)

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Business Cycles, Loan Pricing, Screening, Default Risk

11.

GARCH Forecasting Performance Under Different Distribution Assumptions

Journal of Forecasting, pp. 561-578. Wiley, 2006
Number of pages: 45 Posted: 30 Apr 2016
Anders Vilhelmsson
Lund University - Department of Economics
Downloads 37 (446,581)

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volatility forecasts; GARCH; intra-day data; realized volatility

12.

Does the 'Foreignness' of Bank Loans Matter? Evidence from a New Dataset

Number of pages: 36 Posted: 03 Dec 2018
Lund University - Department of Economics, Lund University - Department of Economics, University of Glasgow - Adam Smith Business School and Lund University - Department of Economics
Downloads 34 (459,487)
Citation 1

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cross-border lending, syndicated loans

13.

Foreign and Domestic Loans over the Business Cycle

Number of pages: 37 Posted: 27 Mar 2019 Last Revised: 07 Jun 2019
Lund University - Department of Economics, Lund University - Department of Economics, University of Glasgow - Adam Smith Business School and Lund University - Department of Economics
Downloads 21 (527,882)

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foreign banks, cross-border loans, business cycles

14.

Macro news and long-run volatility expectations

Number of pages: 34
Anders Vilhelmsson
Lund University - Department of Economics
Downloads 4

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implied volatility, macro announcements, news, volatility, fomc

15.

Value at Risk with Time Varying Variance, Skewness and Kurtosisthe NIG-ACD Model

Econometrics Journal, Vol. 12, Issue 1, pp. 82-104, March 2009
Number of pages: 23 Posted: 27 Apr 2009
Anders Vilhelmsson
Lund University - Department of Economics
Downloads 2 (652,891)
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16.

Is the VIX Futures Market Able to Predict the VIX Index? A Test of the Expectation Hypothesis

Journal of Alternative Investments, Forthcoming, https://doi.org/10.3905/JAI.2009.12.2.054
Posted: 22 May 2019
Marcus Nossman and Anders Vilhelmsson
Lund University and Lund University - Department of Economics

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Expectation hypothesis, Futures, Implicit volatility, VIX

17.
Downloads 0 (681,569)

Measuring Event Risk

Journal of Financial Econometrics, Forthcoming
Posted: 26 Aug 2008 Last Revised: 13 Apr 2016
Peter M. Nyberg and Anders Vilhelmsson
Aalto University and Lund University - Department of Economics

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Value-at-Risk, Event Risk, NIG distribution, Jumps

Measuring Event Risk

Journal of Financial Econometrics, Vol. 7, Issue 3, pp. 265-287, 2009
Posted: 30 Jun 2009
Peter M. Nyberg and Anders Vilhelmsson
Aalto University and Lund University - Department of Economics

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C22, G21, G28, event risk, jumps, NIG distribution, Value-at-Risk