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Research CV Links
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Research Research Interests Modelling and
forecasting of financial risk. Asset pricing. Selected publications The Pernicious Effects of Contaminated Data in Risk Management , with Laurent Frésard and Christophe Pérignon, Journal of Banking & Finance, forthcoming. Volatility
risk premium, risk aversion and the cross-section of stock returns. with
Peter Nyberg, The Financial Review, (2010), 45:4, 1079-1100 Is the Vix
Futures Market Able to Predict the Vix Index? A Test of the Expectation
Hypothesis with
Marcus Nossman, Journal of Alternative Investments (2009), 12:2, 54-67 Measuring Event
Risk. with Peter Nyberg. Journal of Financial Econometrics, (2009), 7:3,
265-287 Value
at Risk with time-varying variance, skewness and kurtosis – The NIG-ACD model.
The Econometrics Journal, (2009) 12, 82-104 GARCH forecasting under different distribution assumptions. Journal of Forecasting, (2006) 25:8, 561-578 Working papers Idiosyncratic risk and higher order cumulants, with Frederik Lundtofte (January 2011) Non-Normal Trees , with Frederik Lundtofte (January 2011) Non-Parametric Future Looking Value-at-Risk , with Marcus Nossman (February 2011) Density
Forecasting with Time Varying Higher Moments – A Model Confidence Set Approach,
(February 2011) Computer Code Gauss code to estimate the NIG-ACD
model proposed in Value at Risk with
time-varying variance, skewness and kurtosis – The NIG-ACD model. Work in progress Density
forecast evaluation (with Erik Lindström) |
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Department of Economics School of Economics and Management Lund University |
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