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Anders Wilhelmsson

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This is information that was supplied by Anders Wilhelmsson in registering through RePEc. If you are Anders Wilhelmsson , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Anders
Middle Name:
Last Name: Wilhelmsson
Suffix:

RePEc Short-ID: pwi135

Email:
Homepage: http://www.nek.lu.se/NEKavi/Default.htm
Postal Address:
Phone:

Affiliation

Nationalekonomiska Institutionen
Ekonomihögskolan
Lunds Universitet
Location: Lund, Sweden
Homepage: http://www.nek.lu.se/
Email:
Phone: +46 +46 222 0000
Fax: +46 +46 2224613
Postal: P.O. Box 7082, S-222 07 LUND
Handle: RePEc:edi:delunse (more details at EDIRC)

Works

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Working papers

  1. Lundtofte, Frederik & Wilhelmsson, Anders, 2011. "Idiosyncratic Risk and Higher-Order Cumulants," Working Papers, Lund University, Department of Economics 2011:33, Lund University, Department of Economics.

Articles

  1. Lundtofte, Frederik & Wilhelmsson, Anders, 2013. "Risk premia: Exact solutions vs. log-linear approximations," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4256-4264.
  2. Anders Wilhelmsson, 2013. "Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(1), pages 19-31, 01.
  3. Frésard, Laurent & Pérignon, Christophe & Wilhelmsson, Anders, 2011. "The pernicious effects of contaminated data in risk management," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2569-2583, October.
  4. Peter Nyberg & Anders Wilhelmsson, 2010. "Volatility Risk Premium, Risk Aversion, and the Cross-Section of Stock Returns," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 45(4), pages 1079-1100, November.
  5. Peter Nyberg & Anders Wilhelmsson, 2009. "Measuring Event Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 7(3), pages 265-287, Summer.
  6. Anders Wilhelmsson, 2009. "Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 12(1), pages 82-104, 03.
  7. Anders Wilhelmsson, 2006. "Garch forecasting performance under different distribution assumptions," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(8), pages 561-578.

NEP Fields

1 paper by this author was announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-UPT: Utility Models & Prospect Theory (1) 2011-10-15. Author is listed

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