Details about Anders Wilhelmsson

Access statistics for papers by Anders Wilhelmsson.

Last updated 2024-12-07. Update your information in the RePEc Author Service.

Short-id: pwi135

Working Papers

2024

1. Nonstandard Errors
   Post-Print, HAL
   Also in Working Papers, Lund University, Department of Economics (2021)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)

2020

2. Macro news and long-run volatility expectations
   Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies

2019

3. Systemic Risk and Centrality Revisited: The Role of Interactions
   Working Papers, Lund University, Department of Economics
   Also in Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies (2019)

2016

4. Enterprise Risk Management and Default Risk: Evidence from the Banking Industry
   Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies
   See also Journal Article Enterprise Risk Management and Default Risk: Evidence from the Banking Industry, Journal of Risk & Insurance, The American Risk and Insurance Association (2018) View citations (8) (2018)
5. Ownership Determinants of Stock Return Volatility
   Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies

2011

6. Idiosyncratic Risk and Higher-Order Cumulants
   Working Papers, Lund University, Department of Economics
7. The Pernicious Effects of Contaminated Data in Risk Management
   Post-Print, HAL View citations (4)
   Also in Post-Print, HAL (2010)
   See also Journal Article The pernicious effects of contaminated data in risk management, Journal of Banking & Finance, Elsevier (2011) View citations (8) (2011)

Journal Articles

2024

1. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard Errors, Post-Print (2024) (2024)

2021

2. Tax avoidance and state ownership — The case of Sweden
   Economics Letters, 2021, 208, (C)

2018

3. Enterprise Risk Management and Default Risk: Evidence from the Banking Industry
   Journal of Risk & Insurance, 2018, 85, (1), 127-157 View citations (8)
   See also Working Paper Enterprise Risk Management and Default Risk: Evidence from the Banking Industry, Knut Wicksell Working Paper Series (2016) (2016)
4. The Shareholder Base Hypothesis of Stock Return Volatility: Empirical Evidence
   Financial Management, 2018, 47, (1), 55-79 View citations (4)

2017

5. Tax Planning in Partner-owned Close Corporations
   Nordic Tax Journal, 2017, 2017, (1), 108-120

2013

6. Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach
   Journal of Forecasting, 2013, 32, (1), 19-31 View citations (2)
7. Risk premia: Exact solutions vs. log-linear approximations
   Journal of Banking & Finance, 2013, 37, (11), 4256-4264 View citations (5)

2011

8. The pernicious effects of contaminated data in risk management
   Journal of Banking & Finance, 2011, 35, (10), 2569-2583 View citations (8)
   See also Working Paper The Pernicious Effects of Contaminated Data in Risk Management, Post-Print (2011) View citations (4) (2011)

2010

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

2009

10. Measuring Event Risk
    Journal of Financial Econometrics, 2009, 7, (3), 265-287 View citations (6)
11. Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model
    Econometrics Journal, 2009, 12, (1), 82-104 View citations (37)

2006

12. Garch forecasting performance under different distribution assumptions
    Journal of Forecasting, 2006, 25, (8), 561-578 View citations (28)