Details about Hans Byström

Access statistics for papers by Hans Byström.

Last updated 2024-08-12. Update your information in the RePEc Author Service.

Short-id: pby2

Working Papers

2021

1. Credit Risk in a Pandemic
   Working Papers, Lund University, Department of Economics View citations (1)

2020

2. Happiness and Gold Prices
   Working Papers, Lund University, Department of Economics
   See also Journal Article Happiness and Gold Prices, Finance Research Letters, Elsevier (2020) (2020)

2019

3. Internet Searches, Household Sentiment and Credit Spreads
   Working Papers, Lund University, Department of Economics

2018

4. What Drives Bitcoin Volatility?
   Working Papers, Lund University, Department of Economics View citations (2)

2016

5. Blockchains, Real-Time Accounting and the Future of Credit Risk Modeling
   Working Papers, Lund University, Department of Economics View citations (1)
6. Stock Return Expectations in the Credit Market
   Working Papers, Lund University, Department of Economics
   See also Journal Article Stock return expectations in the credit market, International Review of Financial Analysis, Elsevier (2018) (2018)
7. The Currency Composition of Firms' Balance Sheets and its Effect on Asset Value Correlations and Capital Requirements
   Working Papers, Lund University, Department of Economics

2015

8. Credit-Implied Forward Volatility and Volatility Expectations
   Working Papers, Lund University, Department of Economics
   See also Journal Article Credit-implied forward volatility and volatility expectations, Finance Research Letters, Elsevier (2016) (2016)

2014

9. Credit-Implied Equity Volatility – Long-Term Forecasts and Alternative Fear Gauges
   Working Papers, Lund University, Department of Economics
   See also Journal Article Credit‐Implied Equity Volatility—Long‐Term Forecasts and Alternative Fear Gauges, Journal of Futures Markets, John Wiley & Sons, Ltd. (2015) View citations (1) (2015)
10. Language, News and Volatility
    Working Papers, Lund University, Department of Economics
    See also Journal Article Language, news and volatility, Journal of International Financial Markets, Institutions and Money, Elsevier (2016) View citations (3) (2016)
11. Stock Prices and Stock Return Volatilities Implied by the Credit Market
    Working Papers, Lund University, Department of Economics View citations (2)

2013

12. The Impact of Currency Movements on Asset Value Correlations
    Working Papers, Lund University, Department of Economics
    See also Journal Article The impact of currency movements on asset value correlations, Journal of International Financial Markets, Institutions and Money, Elsevier (2014) View citations (1) (2014)

2010

13. Executive Compensation Based on Asset Values
    Working Papers, Lund University, Department of Economics
    See also Journal Article Executive compensation based on asset values, Economics Bulletin, AccessEcon (2012) (2012)
14. The Age of Turbulence - Credit Derivatives Style
    Working Papers, Lund University, Department of Economics

2009

15. News Aggregators, Volatility and the Stock Market
    Working Papers, Lund University, Department of Economics View citations (3)
    See also Journal Article News aggregators, volatility and the stock market, Economics Bulletin, AccessEcon (2009) View citations (3) (2009)

2007

16. Structured Microfinance in China
    Working Papers, Lund University, Department of Economics View citations (4)

2006

17. The Microfinance Collateralized Debt Obligation: a Modern Robin Hood?
    Working Papers, Lund University, Department of Economics View citations (2)
    See also Journal Article The Microfinance Collateralized Debt Obligation: A Modern Robin Hood?, World Development, Elsevier (2008) View citations (9) (2008)

2005

18. 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) View citations (6)
    See also Journal Article A simple continuous measure of credit risk, International Review of Financial Analysis, Elsevier (2007) View citations (4) (2007)
19. Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market
    Working Papers, Lund University, Department of Economics View citations (37)
20. Default Probabilities According to the Bond Market
    Working Papers, Lund University, Department of Economics
21. Is China an Optimum Currency Area?
    Working Papers, Lund University, Department of Economics View citations (4)
    See also Journal Article Is China an optimum currency area?, Journal of Asian Economics, Elsevier (2005) View citations (3) (2005)
22. Using Credit Derivatives to Compute Market-Wide Default Probability Term Structures
    Working Papers, Lund University, Department of Economics View citations (1)

2004

23. 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 Default risk, systematic risk and Thai firms before, during and after the Asian crisis, Research in International Business and Finance, Elsevier (2005) View citations (11) (2005)

2003

24. Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
    Also in Working Papers, Lund University, Department of Economics (2003)
25. Merton for Dummies: A Flexible Way of Modelling Default Risk
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
26. 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 View citations (1)
    Also in Working Papers, Lund University, Department of Economics (2003)
    See also Journal Article The market's view on the probability of banking sector failure: cross-country comparisons, Journal of International Financial Markets, Institutions and Money, Elsevier (2004) View citations (12) (2004)

2001

27. Extreme Value Theory and Extremely Large Electricity Price Changes
    Working Papers, Lund University, Department of Economics View citations (6)
    See also Journal Article Extreme value theory and extremely large electricity price changes, International Review of Economics & Finance, Elsevier (2005) View citations (57) (2005)
28. 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 Managing extreme risks in tranquil and volatile markets using conditional extreme value theory, International Review of Financial Analysis, Elsevier (2004) View citations (26) (2004)

2000

29. 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
30. Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market
    Working Papers, Lund University, Department of Economics
31. 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
32. The Hedging Performance of Electricity Futures on the Nordic Power Exchange Nord Pool
    Working Papers, Lund University, Department of Economics
33. Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts
    Working Papers, Lund University, Department of Economics
    See also Journal Article Using simulated currency rainbow options to evaluate covariance matrix forecasts, Journal of International Financial Markets, Institutions and Money, Elsevier (2002) View citations (2) (2002)

1998

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

Journal Articles

2020

1. Happiness and Gold Prices
   Finance Research Letters, 2020, 35, (C)
   See also Working Paper Happiness and Gold Prices, Working Papers (2020) (2020)

2018

2. Stock return expectations in the credit market
   International Review of Financial Analysis, 2018, 56, (C), 85-92
   See also Working Paper Stock Return Expectations in the Credit Market, Working Papers (2016) (2016)

2017

3. The currency composition of firms' balance sheets, asset value correlations, and capital requirements
   Global Finance Journal, 2017, 34, (C), 89-99

2016

4. Credit-implied forward volatility and volatility expectations
   Finance Research Letters, 2016, 16, (C), 132-138
   See also Working Paper Credit-Implied Forward Volatility and Volatility Expectations, Working Papers (2015) (2015)
5. Language, news and volatility
   Journal of International Financial Markets, Institutions and Money, 2016, 42, (C), 139-154 View citations (3)
   See also Working Paper Language, News and Volatility, Working Papers (2014) (2014)

2015

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

2014

7. The impact of currency movements on asset value correlations
   Journal of International Financial Markets, Institutions and Money, 2014, 31, (C), 178-186 View citations (1)
   See also Working Paper The Impact of Currency Movements on Asset Value Correlations, Working Papers (2013) (2013)

2012

8. Executive compensation based on asset values
   Economics Bulletin, 2012, 32, (2), 1504-1508
   See also Working Paper Executive Compensation Based on Asset Values, Working Papers (2010) (2010)

2011

9. An index to evaluate fund and fund manager performance
   Applied Economics Letters, 2011, 18, (14), 1311-1314
10. Does the Chinese stock market react to global news?
    Journal of the Asia Pacific Economy, 2011, 16, (3), 448-455 View citations (4)

2009

11. News aggregators, volatility and the stock market
    Economics Bulletin, 2009, 29, (4), 2673-2682 View citations (3)
    See also Working Paper News Aggregators, Volatility and the Stock Market, Working Papers (2009) View citations (3) (2009)

2008

12. Credit risk management in Greater China
    Journal of Futures Markets, 2008, 28, (6), 582-597 View citations (1)
13. The Microfinance Collateralized Debt Obligation: A Modern Robin Hood?
    World Development, 2008, 36, (11), 2109-2126 View citations (9)
    See also Working Paper The Microfinance Collateralized Debt Obligation: a Modern Robin Hood?, Working Papers (2006) View citations (2) (2006)

2007

14. A simple continuous measure of credit risk
    International Review of Financial Analysis, 2007, 16, (5), 508-523 View citations (4)
    See also Working Paper A Simple Continuous Measure of Credit Risk, Working Papers (2005) (2005)
15. Back to the future: Futures margins in a future credit default swap index futures market
    Journal of Futures Markets, 2007, 27, (1), 85-104 View citations (1)

2006

16. CreditGrades and the iTraxx CDS Index Market
    Financial Analysts Journal, 2006, 62, (6), 65-76
17. Using extreme value theory to estimate the likelihood of banking sector failure
    The European Journal of Finance, 2006, 12, (4), 303-312 View citations (1)

2005

18. 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 View citations (11)
    See also Working Paper Default Risk, Systematic Risk and Thai Firms Before, During and After the Asian Crisis, Working Papers (2004) View citations (3) (2004)
19. Extreme value theory and extremely large electricity price changes
    International Review of Economics & Finance, 2005, 14, (1), 41-55 View citations (57)
    See also Working Paper Extreme Value Theory and Extremely Large Electricity Price Changes, Working Papers (2001) View citations (6) (2001)
20. Is China an optimum currency area?
    Journal of Asian Economics, 2005, 16, (4), 612-634 View citations (3)
    See also Working Paper Is China an Optimum Currency Area?, Working Papers (2005) View citations (4) (2005)

2004

21. Managing extreme risks in tranquil and volatile markets using conditional extreme value theory
    International Review of Financial Analysis, 2004, 13, (2), 133-152 View citations (26)
    See also Working Paper Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory, Working Papers (2001) View citations (1) (2001)
22. 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 View citations (5)
23. 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 View citations (12)
    See also Working Paper The Market's View on the Probability of Banking Sector Failure: Cross-Country Comparisons, Research Paper Series (2003) View citations (1) (2003)

2003

24. The hedging performance of electricity futures on the Nordic power exchange
    Applied Economics, 2003, 35, (1), 1-11 View citations (39)

2002

25. Using simulated currency rainbow options to evaluate covariance matrix forecasts
    Journal of International Financial Markets, Institutions and Money, 2002, 12, (3), 216-230 View citations (2)
    See also Working Paper Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts, Working Papers (2000) (2000)