| Value-at-risk and extreme returns J Danielsson, CG De Vries Annales d'Economie et de Statistique, 239-270, 2000 | 788 | 2000 |
| Using a bootstrap method to choose the sample fraction in tail index estimation J Danielsson, L de Haan, L Peng, CG de Vries Journal of Multivariate analysis 76 (2), 226-248, 2001 | 723 | 2001 |
| An academic response to Basel II J Danielsson, P Embrechts, C Goodhart, C Keating, F Muennich, ... FMG, 2001 | 618 | 2001 |
| Stochastic volatility in asset prices estimation with simulated maximum likelihood J Danielsson Journal of Econometrics 64 (1-2), 375-400, 1994 | 582 | 1994 |
| The emperor has no clothes: Limits to risk modelling J Danıelsson Journal of Banking & Finance 26 (7), 1273-1296, 2002 | 527 | 2002 |
| Tail index and quantile estimation with very high frequency data J Danielsson, CG De Vries Journal of empirical Finance 4 (2-3), 241-257, 1997 | 511 | 1997 |
| Financial risk forecasting: the theory and practice of forecasting market risk with implementation in R and Matlab J Danielsson John Wiley & Sons, 2011 | 509 | 2011 |
| Procyclical leverage and endogenous risk J Danielsson, HS Shin, JP Zigrand Available at SSRN 1360866, 2012 | 442* | 2012 |
| Fat tails, VaR and subadditivity J Daníelsson, BN Jorgensen, G Samorodnitsky, M Sarma, CG de Vries Journal of econometrics 172 (2), 283-291, 2013 | 362* | 2013 |
| The impact of risk regulation on price dynamics J Danıelsson, HS Shin, JP Zigrand Journal of Banking & Finance 28 (5), 1069-1087, 2004 | 295* | 2004 |
| Endogenous risk J Danielsson, HS Shin Modern risk management: A history, 297-316, 2003 | 256 | 2003 |
| Learning from history: Volatility and financial crises J Danielsson, M Valenzuela, I Zer The Review of Financial Studies 31 (7), 2774-2805, 2018 | 247 | 2018 |
| Model risk of risk models J Danielsson, KR James, M Valenzuela, I Zer Journal of Financial Stability 23, 79-91, 2016 | 242 | 2016 |
| Accelerated Gaussian importance sampler with application to dynamic latent variable models J Danielsson, JF Richard Journal of Applied Econometrics 8 (S1), S153-S173, 1993 | 239 | 1993 |
| Blame the models J Danielsson Journal of Financial Stability 4 (4), 321-328, 2008 | 210 | 2008 |
| Lessons from a collapse of a financial system S Benediktsdottir, J Danielsson, G Zoega Economic Policy 26 (66), 183-235, 2011 | 184 | 2011 |
| On time-scaling of risk and the square-root-of-time rule J Danielsson, JP Zigrand Journal of Banking & Finance 30 (10), 2701-2713, 2006 | 180 | 2006 |
| Real trading patterns and prices in spot foreign exchange markets J Danıelsson, R Payne Journal of International Money and Finance 21 (2), 203-222, 2002 | 179 | 2002 |
| Beyond the sample: Extreme quantile and probability estimation J Danielsson, C Vries Financial Markets Group, The London School of Economics and Political Science, 1998 | 167 | 1998 |
| Multivariate stochastic volatility models: estimation and a comparison with VGARCH models J Danı́elsson Journal of Empirical Finance 5 (2), 155-173, 1998 | 150 | 1998 |
