Details about Anders Wilhelmsson
Access statistics for papers by Anders Wilhelmsson.
Last updated 2017-02-09. Update your information in the RePEc Author Service.
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- Idiosyncratic Risk and Higher-Order Cumulants
Working Papers, Lund University, Department of Economics
- 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)
- Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach
Journal of Forecasting, 2013, 32, (1), 19-31
- Risk premia: Exact solutions vs. log-linear approximations
Journal of Banking & Finance, 2013, 37, (11), 4256-4264
- The pernicious effects of contaminated data in risk management
Journal of Banking & Finance, 2011, 35, (10), 2569-2583 View citations (6)
See also Working Paper (2011)
- Volatility Risk Premium, Risk Aversion, and the Cross-Section of Stock Returns
The Financial Review, 2010, 45, (4), 1079-1100 View citations (1)
- Measuring Event Risk
Journal of Financial Econometrics, 2009, 7, (3), 265-287 View citations (4)
- Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model
Econometrics Journal, 2009, 12, (1), 82-104 View citations (15)
- Garch forecasting performance under different distribution assumptions
Journal of Forecasting, 2006, 25, (8), 561-578 View citations (8)
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