Anders Wilhelmsson

发表

Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model

Anders Wilhelmsson, 2009 .

The Pernicious Effects of Contaminated Data in Risk Management

Laurent Frésard, Christophe Pérignon, Laurent Frésard, 2011 .

Essays on the Modeling and Prediction of Volatility and Higher Moments of Stock Returns (summary section only)

Anders Wilhelmsson, 2006 .

An extension of the NIG-S&ARCH model with an application to Value at Risk

Anders Wilhelmsson, 2006 .

Density Forecasting with Time-Varying Higher Moments: A Model Confidence Set Approach

Anders Wilhelmsson, 2013 .

Idiosyncratic Risk and Higher-Order Cumulants

Anders Wilhelmsson, Frederik Lundtofte, 2011 .

Garch forecasting performance under different distribution assumptions

Anders Wilhelmsson, Anders Wilhelmsson, 2006 .

Is the VIX Futures Market Able to Predict the VIX Index? A Test of the Expectation Hypothesis

Anders Wilhelmsson, Marcus Nossman, Anders Wilhelmsson, 2009, The Journal of Alternative Investments.

Measuring Event Risk

Peter Nyberg, Anders Wilhelmsson, Peter M. Nyberg, 2009 .