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Hans Byström

This is information that was supplied by Hans Byström in registering through RePEc. If you are Hans Byström , 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:Hans
Middle Name:
Last Name:Byström
Suffix:
RePEc Short-ID:pby2
[This author has chosen not to make the email address public]
http://hansbystrom.weebly.com/
Lund, Sweden
http://www.nek.lu.se/

: +46 +46 222 0000
+46 +46 2224613
P.O. Box 7082, S-222 07 LUND
RePEc:edi:delunse (more details at EDIRC)
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  1. Byström, Hans, 2016. "Blockchains, Real-Time Accounting and the Future of Credit Risk Modeling," Working Papers 2016:4, Lund University, Department of Economics.
  2. Byström, Hans, 2016. "The Currency Composition of Firms' Balance Sheets and its Effect on Asset Value Correlations and Capital Requirements," Working Papers 2016:1, Lund University, Department of Economics.
  3. Byström, Hans, 2015. "Credit-Implied Forward Volatility and Volatility Expectations," Working Papers 2015:34, Lund University, Department of Economics.
  4. Byström, Hans, 2014. "Language, News and Volatility," Working Papers 2014:41, Lund University, Department of Economics.
  5. Byström, Hans, 2014. "Credit-Implied Equity Volatility – Long-Term Forecasts and Alternative Fear Gauges," Working Papers 2014:34, Lund University, Department of Economics.
  6. Byström, Hans, 2013. "The Impact of Currency Movements on Asset Value Correlations," Working Papers 2013:33, Lund University, Department of Economics.
  7. Byström, Hans, 2013. "Stock Prices and Stock Return Volatilities Implied by the Credit Market," Working Papers 2013:25, Lund University, Department of Economics, revised 13 Sep 2013.
  8. Byström, Hans, 2010. "Executive Compensation Based on Asset Values," Working Papers 2010:9, Lund University, Department of Economics.
  9. Byström, Hans, 2009. "News Aggregators, Volatility and the Stock Market," Working Papers 2009:11, Lund University, Department of Economics.
  10. Byström, Hans, 2008. "The Age of Turbulence - Credit Derivatives Style," Working Papers 2008:16, Lund University, Department of Economics, revised 16 Jun 2010.
  11. Byström, Hans, 2007. "Structured Microfinance in China," Working Papers 2007:18, Lund University, Department of Economics.
  12. Byström, Hans, 2006. "The Microfinance Collateralized Debt Obligation: a Modern Robin Hood?," Working Papers 2006:14, Lund University, Department of Economics, revised 21 Aug 2006.
  13. Byström, Hans & Olofsdotter , Karin & Söderström, Lars, 2005. "Is China an Optimum Currency Area?," Working Papers 2005:6, Lund University, Department of Economics.
  14. Byström , Hans & Kwon, Oh Kang, 2005. "Default Probabilities According to the Bond Market," Working Papers 2005:7, Lund University, Department of Economics.
  15. Byström, Hans, 2005. "Using Credit Derivatives to Compute Market-Wide Default Probability Term Structures," Working Papers 2005:44, Lund University, Department of Economics.
  16. Byström, Hans N. E., 2005. "Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market," Working Papers 2005:24, Lund University, Department of Economics, revised 15 May 2005.
  17. Byström , Hans & Worasinchai , Lugkana & Chongsithipol , Srisuda, 2004. "Default Risk, Systematic Risk and Thai Firms Before, During and After the Asian Crisis," Working Papers 2005:5, Lund University, Department of Economics.
  18. Byström, Hans & Kwon, Oh Kang, 2003. "A Simple Continuous Measure of Credit Risk," Working Papers 2003:14, Lund University, Department of Economics, revised 18 Jan 2005.
  19. Hans Byström, 2003. "Merton for Dummies: A Flexible Way of Modelling Default Risk," Research Paper Series 112, Quantitative Finance Research Centre, University of Technology, Sydney.
  20. Byström, Hans, 2003. "Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis," Working Papers 2003:1, Lund University, Department of Economics.
  21. Byström, Hans, 2003. "The Market’s View on the Probability of Banking Sector Failure: Cross-Country Comparisons," Working Papers 2003:2, Lund University, Department of Economics.
  22. Byström, Hans, 2001. "Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory," Working Papers 2001:18, Lund University, Department of Economics.
  23. Byström, Hans, 2001. "Extreme Value Theory and Extremely Large Electricity Price Changes," Working Papers 2001:19, Lund University, Department of Economics.
  24. Byström , Hans, 2000. "The Hedging Performance of Electricity Futures on the Nordic Power Exchange Nord Pool," Working Papers 2000:15, Lund University, Department of Economics.
  25. Amilon , Henrik & Byström , Hans, 2000. "The Compass Rose Pattern of the Stock Market: How Does it Affect Parameter Estimates, Forecasts, and Statistical Tests?," Working Papers 2000:18, Lund University, Department of Economics.
  26. Byström, Hans, 2000. "Orthogonal GARCH and Covariance Matrix Forecasting in a Stress Scenario: The Nordic Stock Markets During the Asian Financial Crisis 1997-1998," Working Papers 2000:14, Lund University, Department of Economics.
  27. Byström, Hans, 2000. "Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts," Working Papers 2000:17, Lund University, Department of Economics.
  28. Byström , Hans, 2000. "Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market," Working Papers 2000:16, Lund University, Department of Economics.
  29. Amilon, Henrik & Byström, Hans, 1998. "The Search for Chaos and Nonlinearities in Swedish Stock Index Returns," Working Papers 1998:6, Lund University, Department of Economics.
  1. Byström, Hans, 2016. "Language, news and volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 139-154.
  2. Hans Byström, 2015. "Credit‐Implied Equity Volatility—Long‐Term Forecasts and Alternative Fear Gauges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(8), pages 753-775, 08.
  3. Byström, Hans, 2014. "The impact of currency movements on asset value correlations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 178-186.
  4. Hans Bystrom, 2012. "Executive compensation based on asset values," Economics Bulletin, AccessEcon, vol. 32(2), pages 1504-1508.
  5. Hans Bystrom, 2011. "An index to evaluate fund and fund manager performance," Applied Economics Letters, Taylor & Francis Journals, vol. 18(14), pages 1311-1314.
  6. Hans Byström, 2009. "News aggregators, volatility and the stock market," Economics Bulletin, AccessEcon, vol. 29(4), pages 2673-2682.
  7. Byström, Hans N.E., 2008. "The Microfinance Collateralized Debt Obligation: A Modern Robin Hood?," World Development, Elsevier, vol. 36(11), pages 2109-2126, November.
  8. Hans Byström, 2008. "Credit risk management in Greater China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(6), pages 582-597, 06.
  9. Bystrom, Hans & Kwon, Oh Kang, 2007. "A simple continuous measure of credit risk," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 508-523.
  10. Hans N. E. Byström, 2007. "Back to the future: Futures margins in a future credit default swap index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(1), pages 85-104, 01.
  11. Hans Bystrom, 2006. "Using extreme value theory to estimate the likelihood of banking sector failure," The European Journal of Finance, Taylor & Francis Journals, vol. 12(4), pages 303-312.
  12. Bystrom, Hans N.E. & Olofsdotter, Karin & Soderstrom, Lars, 2005. "Is China an optimum currency area?," Journal of Asian Economics, Elsevier, vol. 16(4), pages 612-634, August.
  13. Bystrom, Hans N. E., 2005. "Extreme value theory and extremely large electricity price changes," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 41-55.
  14. Bystrom, Hans & Worasinchai, Lugkana & Chongsithipol, Srisuda, 2005. "Default risk, systematic risk and Thai firms before, during and after the Asian crisis," Research in International Business and Finance, Elsevier, vol. 19(1), pages 95-110, March.
  15. Hans Bystrom, 2004. "Orthogonal GARCH and covariance matrix forecasting: The Nordic stock markets during the Asian financial crisis 1997-1998," The European Journal of Finance, Taylor & Francis Journals, vol. 10(1), pages 44-67.
  16. Bystrom, Hans N. E., 2004. "The market's view on the probability of banking sector failure: cross-country comparisons," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 419-438, December.
  17. Bystrom, Hans N. E., 2004. "Managing extreme risks in tranquil and volatile markets using conditional extreme value theory," International Review of Financial Analysis, Elsevier, vol. 13(2), pages 133-152.
  18. H. N. E. BystrOm, 2003. "The hedging performance of electricity futures on the Nordic power exchange," Applied Economics, Taylor & Francis Journals, vol. 35(1), pages 1-11.
  19. Bystrom, Hans N. E., 2002. "Using simulated currency rainbow options to evaluate covariance matrix forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 216-230, July.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 28 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (17) 2000-11-14 2000-11-14 2000-11-14 2000-11-14 2000-11-14 2001-04-11 2001-10-22 2003-03-19 2003-03-19 2003-11-09 2005-02-01 2005-03-20 2005-12-01 2006-07-02 2009-08-30 2013-09-28 2014-11-12. Author is listed
  2. NEP-FIN: Finance (9) 2001-04-11 2003-03-19 2003-11-09 2004-06-02 2004-06-02 2005-02-01 2005-03-20 2005-12-01 2006-07-02. Author is listed
  3. NEP-RMG: Risk Management (8) 2003-03-19 2003-03-19 2003-11-09 2005-12-01 2006-07-02 2008-12-07 2013-09-28 2016-03-29. Author is listed
  4. NEP-CFN: Corporate Finance (5) 2003-03-19 2003-11-09 2005-02-01 2010-08-21 2016-02-17. Author is listed
  5. NEP-BAN: Banking (3) 2010-08-21 2016-02-17 2016-03-29
  6. NEP-ECM: Econometrics (3) 2000-11-14 2001-10-22 2001-10-22
  7. NEP-SEA: South East Asia (3) 2004-06-02 2005-02-01 2005-02-01
  8. NEP-TRA: Transition Economics (3) 2005-02-01 2007-12-08 2015-01-03
  9. NEP-CNA: China (2) 2007-12-08 2015-01-03
  10. NEP-DEV: Development (2) 2006-07-02 2007-12-08
  11. NEP-EEC: European Economics (2) 2003-03-19 2005-12-01
  12. NEP-IAS: Insurance Economics (2) 2001-10-22 2001-10-22
  13. NEP-MFD: Microfinance (2) 2006-07-02 2007-12-08
  14. NEP-BEC: Business Economics (1) 2010-08-21
  15. NEP-ENE: Energy Economics (1) 2000-11-20
  16. NEP-ENT: Entrepreneurship (1) 2006-07-02
  17. NEP-ETS: Econometric Time Series (1) 2001-04-11
  18. NEP-FOR: Forecasting (1) 2014-11-12
  19. NEP-IFN: International Finance (1) 2004-06-02
  20. NEP-LAB: Labour Economics (1) 2010-08-21
  21. NEP-MIC: Microeconomics (1) 2001-10-22
  22. NEP-MON: Monetary Economics (1) 2005-02-01
  23. NEP-URE: Urban & Real Estate Economics (1) 2008-12-07
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