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Details about Anders Wilhelmsson

E-mail:
Homepage:https://sites.google.com/site/andersvilhelmsson777/
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 Anders Wilhelmsson.

Last updated 2017-02-09. Update your information in the RePEc Author Service.

Short-id: pwi135


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Working Papers

2011

  1. Idiosyncratic Risk and Higher-Order Cumulants
    Working Papers, Lund University, Department of Economics Downloads
  2. The Pernicious Effects of Contaminated Data in Risk Management
    Post-Print, HAL View citations (2)
    Also in Post-Print, HAL (2010)

    See also Journal Article in Journal of Banking & Finance (2011)

Journal Articles

2013

  1. Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach
    Journal of Forecasting, 2013, 32, (1), 19-31
  2. Risk premia: Exact solutions vs. log-linear approximations
    Journal of Banking & Finance, 2013, 37, (11), 4256-4264 Downloads

2011

  1. The pernicious effects of contaminated data in risk management
    Journal of Banking & Finance, 2011, 35, (10), 2569-2583 Downloads View citations (6)
    See also Working Paper (2011)

2010

  1. Volatility Risk Premium, Risk Aversion, and the Cross-Section of Stock Returns
    The Financial Review, 2010, 45, (4), 1079-1100 Downloads View citations (1)

2009

  1. Measuring Event Risk
    Journal of Financial Econometrics, 2009, 7, (3), 265-287 Downloads View citations (4)
  2. Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model
    Econometrics Journal, 2009, 12, (1), 82-104 Downloads View citations (16)

2006

  1. Garch forecasting performance under different distribution assumptions
    Journal of Forecasting, 2006, 25, (8), 561-578 Downloads View citations (8)
 
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