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Details about Hans Byström

Homepage:http://hansbystrom.weebly.com/
Workplace:Nationalekonomiska Institutionen (Department of Economics), Ekonomihögskolan (School of Economics and Management), Lunds Universitet (Lund University), (more information at EDIRC)

Access statistics for papers by Hans Byström.

Last updated 2016-10-31. Update your information in the RePEc Author Service.

Short-id: pby2


Jump to Journal Articles

Working Papers

2016

  1. Blockchains, Real-Time Accounting and the Future of Credit Risk Modeling
    Working Papers, Lund University, Department of Economics Downloads
  2. Stock Return Expectations in the Credit Market
    Working Papers, Lund University, Department of Economics Downloads
  3. The Currency Composition of Firms' Balance Sheets and its Effect on Asset Value Correlations and Capital Requirements
    Working Papers, Lund University, Department of Economics Downloads

2015

  1. Credit-Implied Forward Volatility and Volatility Expectations
    Working Papers, Lund University, Department of Economics Downloads

2014

  1. Credit-Implied Equity Volatility – Long-Term Forecasts and Alternative Fear Gauges
    Working Papers, Lund University, Department of Economics Downloads
    See also Journal Article in Journal of Futures Markets (2015)
  2. Language, News and Volatility
    Working Papers, Lund University, Department of Economics Downloads
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2016)
  3. Stock Prices and Stock Return Volatilities Implied by the Credit Market
    Working Papers, Lund University, Department of Economics View citations (2)

2013

  1. The Impact of Currency Movements on Asset Value Correlations
    Working Papers, Lund University, Department of Economics Downloads
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2014)

2010

  1. Executive Compensation Based on Asset Values
    Working Papers, Lund University, Department of Economics
    See also Journal Article in Economics Bulletin (2012)
  2. The Age of Turbulence - Credit Derivatives Style
    Working Papers, Lund University, Department of Economics Downloads

2009

  1. News Aggregators, Volatility and the Stock Market
    Working Papers, Lund University, Department of Economics Downloads View citations (2)
    See also Journal Article in Economics Bulletin (2009)

2007

  1. Structured Microfinance in China
    Working Papers, Lund University, Department of Economics Downloads View citations (2)

2006

  1. The Microfinance Collateralized Debt Obligation: a Modern Robin Hood?
    Working Papers, Lund University, Department of Economics View citations (1)
    See also Journal Article in World Development (2008)

2005

  1. A Simple Continuous Measure of Credit Risk
    Working Papers, Lund University, Department of Economics
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2003) Downloads View citations (2)

    See also Journal Article in International Review of Financial Analysis (2007)
  2. Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market
    Working Papers, Lund University, Department of Economics Downloads View citations (10)
  3. Default Probabilities According to the Bond Market
    Working Papers, Lund University, Department of Economics
  4. Is China an Optimum Currency Area?
    Working Papers, Lund University, Department of Economics View citations (2)
    See also Journal Article in Journal of Asian Economics (2005)
  5. Using Credit Derivatives to Compute Market-Wide Default Probability Term Structures
    Working Papers, Lund University, Department of Economics View citations (1)

2004

  1. Default Risk, Systematic Risk and Thai Firms Before, During and After the Asian Crisis
    Working Papers, Lund University, Department of Economics View citations (3)
    See also Journal Article in Research in International Business and Finance (2005)

2003

  1. Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis
    Working Papers, Lund University, Department of Economics
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2003) Downloads
  2. Merton for Dummies: A Flexible Way of Modelling Default Risk
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
  3. The Market's View on the Probability of Banking Sector Failure: Cross-Country Comparisons
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
    Also in Working Papers, Lund University, Department of Economics (2003)

    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2004)

2001

  1. Extreme Value Theory and Extremely Large Electricity Price Changes
    Working Papers, Lund University, Department of Economics View citations (6)
    See also Journal Article in International Review of Economics & Finance (2005)
  2. Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory
    Working Papers, Lund University, Department of Economics View citations (1)
    See also Journal Article in International Review of Financial Analysis (2004)

2000

  1. Orthogonal GARCH and Covariance Matrix Forecasting in a Stress Scenario: The Nordic Stock Markets During the Asian Financial Crisis 1997-1998
    Working Papers, Lund University, Department of Economics
  2. Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market
    Working Papers, Lund University, Department of Economics Downloads
  3. The Compass Rose Pattern of the Stock Market: How Does it Affect Parameter Estimates, Forecasts, and Statistical Tests?
    Working Papers, Lund University, Department of Economics Downloads
  4. The Hedging Performance of Electricity Futures on the Nordic Power Exchange Nord Pool
    Working Papers, Lund University, Department of Economics
  5. Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts
    Working Papers, Lund University, Department of Economics
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2002)

1998

  1. The Search for Chaos and Nonlinearities in Swedish Stock Index Returns
    Working Papers, Lund University, Department of Economics Downloads

Journal Articles

2016

  1. Language, news and volatility
    Journal of International Financial Markets, Institutions and Money, 2016, 42, (C), 139-154 Downloads
    See also Working Paper (2014)

2015

  1. Credit‐Implied Equity Volatility—Long‐Term Forecasts and Alternative Fear Gauges
    Journal of Futures Markets, 2015, 35, (8), 753-775 Downloads
    See also Working Paper (2014)

2014

  1. The impact of currency movements on asset value correlations
    Journal of International Financial Markets, Institutions and Money, 2014, 31, (C), 178-186 Downloads View citations (1)
    See also Working Paper (2013)

2012

  1. Executive compensation based on asset values
    Economics Bulletin, 2012, 32, (2), 1504-1508 Downloads
    See also Working Paper (2010)

2011

  1. An index to evaluate fund and fund manager performance
    Applied Economics Letters, 2011, 18, (14), 1311-1314 Downloads

2009

  1. News aggregators, volatility and the stock market
    Economics Bulletin, 2009, 29, (4), 2673-2682 Downloads View citations (2)
    See also Working Paper (2009)

2008

  1. Credit risk management in Greater China
    Journal of Futures Markets, 2008, 28, (6), 582-597 Downloads View citations (1)
  2. The Microfinance Collateralized Debt Obligation: A Modern Robin Hood?
    World Development, 2008, 36, (11), 2109-2126 Downloads View citations (2)
    See also Working Paper (2006)

2007

  1. A simple continuous measure of credit risk
    International Review of Financial Analysis, 2007, 16, (5), 508-523 Downloads
    See also Working Paper (2005)
  2. Back to the future: Futures margins in a future credit default swap index futures market
    Journal of Futures Markets, 2007, 27, (1), 85-104 Downloads View citations (1)

2006

  1. Using extreme value theory to estimate the likelihood of banking sector failure
    The European Journal of Finance, 2006, 12, (4), 303-312 Downloads View citations (1)

2005

  1. Default risk, systematic risk and Thai firms before, during and after the Asian crisis
    Research in International Business and Finance, 2005, 19, (1), 95-110 Downloads View citations (6)
    See also Working Paper (2004)
  2. Extreme value theory and extremely large electricity price changes
    International Review of Economics & Finance, 2005, 14, (1), 41-55 Downloads View citations (44)
    See also Working Paper (2001)
  3. Is China an optimum currency area?
    Journal of Asian Economics, 2005, 16, (4), 612-634 Downloads View citations (1)
    See also Working Paper (2005)

2004

  1. Managing extreme risks in tranquil and volatile markets using conditional extreme value theory
    International Review of Financial Analysis, 2004, 13, (2), 133-152 Downloads View citations (15)
    See also Working Paper (2001)
  2. Orthogonal GARCH and covariance matrix forecasting: The Nordic stock markets during the Asian financial crisis 1997-1998
    The European Journal of Finance, 2004, 10, (1), 44-67 Downloads View citations (2)
  3. The market's view on the probability of banking sector failure: cross-country comparisons
    Journal of International Financial Markets, Institutions and Money, 2004, 14, (5), 419-438 Downloads View citations (8)
    See also Working Paper (2003)

2003

  1. The hedging performance of electricity futures on the Nordic power exchange
    Applied Economics, 2003, 35, (1), 1-11 Downloads View citations (19)

2002

  1. Using simulated currency rainbow options to evaluate covariance matrix forecasts
    Journal of International Financial Markets, Institutions and Money, 2002, 12, (3), 216-230 Downloads View citations (3)
    See also Working Paper (2000)
 
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