Jon Danielsson is professor of accounting and finance at the London School of Economics and a researcher at the Financial Markets Group.
Research interests:
Financial risk analysis, value at risk, volatility modelling and forecasting, extreme value theory
Selected publications:
- "Comparing downside risk measures for heavy tailed distributions", Economics Letters, 2006.
- "On time-scaling of risk and the square-root-of-time rule", Journal of Banking & Finance, 2006.
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