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Carl Lönnbark

Personal Details

First Name:Carl
Middle Name:
Last Name:Lönnbark
Suffix:
RePEc Short-ID:pln4
[This author has chosen not to make the email address public]

Affiliation

Institutionen för Nationalekonomi
Umeå Universitet

Umeå, Sweden
http://www.econ.umu.se/

: 090 - 786 61 42
090 - 77 23 02
901 87 Umeå
RePEc:edi:inumuse (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Lönnbark, Carl, 2012. "On the role of the estimation error in prediction of expected shortfall," Umeå Economic Studies 844, Umeå University, Department of Economics.
  2. Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian, 2012. "Assessing the profitability of intraday opening range breakout strategies," Umeå Economic Studies 845, Umeå University, Department of Economics.
  3. Hellström, Jörgen & Lönnbark, Carl, 2011. "Identification of jumps in financial price series," Umeå Economic Studies 827, Umeå University, Department of Economics.
  4. Hellström, Jörgen & Lönnbark, Carl, 2011. "Identi�cation of jumps in �financial price series," MPRA Paper 30977, University Library of Munich, Germany.
  5. Lönnbark, Carl & Holmberg, Ulf & Brännäs, Kurt, 2009. "Value at Risk for Large Portfolios," Umeå Economic Studies 769, Umeå University, Department of Economics.
  6. Lönnbark, Carl, 2009. "Uncertainty of Multiple Period Risk Measures," Umeå Economic Studies 768, Umeå University, Department of Economics.
  7. Lönnbark, Carl & Soultanaeva, Albina, 2009. "Profitability of Technical Trading Rules on the Baltic Stock Markets," Umeå Economic Studies 761, Umeå University, Department of Economics.
  8. Lönnbark, Carl, 2009. "On risk prediction," Umeå Economic Studies 770, Umeå University, Department of Economics.
  9. Lönnbark, Carl, 2008. "A Corrected Value-at-Risk Predictor," Umeå Economic Studies 734, Umeå University, Department of Economics.
  10. Brännäs, Kurt & G De Gooijer, Jan & Lönnbark, Carl & Soultanaeva, Albina, 2007. "Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges," Umeå Economic Studies 725, Umeå University, Department of Economics.
  11. Brännäs, Kurt & Lönnbark, Carl, 2006. "Effects of Explanatory Variables in Count Data Moving Average Models," Umeå Economic Studies 679, Umeå University, Department of Economics.

Articles

  1. Lönnbark, Carl & Holmberg, Ulf & Brännäs, Kurt, 2011. "Value at Risk and Expected Shortfall for large portfolios," Finance Research Letters, Elsevier, vol. 8(2), pages 59-68, June.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian, 2012. "Assessing the profitability of intraday opening range breakout strategies," Umeå Economic Studies 845, Umeå University, Department of Economics.

    Cited by:

    1. Wang, Lijun & An, Haizhong & Liu, Xiaojia & Huang, Xuan, 2016. "Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach," Applied Energy, Elsevier, vol. 162(C), pages 1608-1618.
    2. Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011. "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers 0136, Dipartimento di Scienze Economiche "Marco Fanno".
    3. Dong, Xi & Feng, Shu & Ling, Leng & Song, Pingping, 2017. "Dynamic autocorrelation of intraday stock returns," Finance Research Letters, Elsevier, vol. 20(C), pages 274-280.
    4. Mitra, Subrata Kumar & Bawa, Jaslene & Kannadhasan, M. & Goyal, Vinay & Chattopadhyay, Manojit, 2017. "Can profitability through momentum strategies be enhanced applying a range to standard deviation filter?," Finance Research Letters, Elsevier, vol. 20(C), pages 269-273.
    5. Kuo, Wei-Yu & Lin, Tse-Chun, 2013. "Overconfident individual day traders: Evidence from the Taiwan futures market," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3548-3561.

  2. Brännäs, Kurt & G De Gooijer, Jan & Lönnbark, Carl & Soultanaeva, Albina, 2007. "Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges," Umeå Economic Studies 725, Umeå University, Department of Economics.

    Cited by:

    1. Hellström, Jörgen & Soultanaeva, Albina, 2010. "The Impact of Stock Market Jumps on Time-Varying Return Correlations: Empirical Evidence from the Baltic Countries," Umeå Economic Studies 816, Umeå University, Department of Economics.
    2. Luis A. Gil-Alana & Rangan Gupta & Olanrewaju I. Shittu & OlaOluwa S. Yaya, 2016. "Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach," Working Papers 201617, University of Pretoria, Department of Economics.
    3. Soultanaeva, Albina, 2008. "Impact of Political News on the Baltic State Stock Markets," Umeå Economic Studies 735, Umeå University, Department of Economics.

Articles

  1. Lönnbark, Carl & Holmberg, Ulf & Brännäs, Kurt, 2011. "Value at Risk and Expected Shortfall for large portfolios," Finance Research Letters, Elsevier, vol. 8(2), pages 59-68, June.

    Cited by:

    1. Csóka, Péter, 2017. "Fair risk allocation in illiquid markets," Finance Research Letters, Elsevier, vol. 21(C), pages 228-234.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 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-RMG: Risk Management (5) 2007-11-24 2008-04-15 2009-04-05 2009-04-05 2012-08-23. Author is listed
  2. NEP-ECM: Econometrics (3) 2006-04-22 2008-04-15 2011-05-30
  3. NEP-MST: Market Microstructure (3) 2009-01-24 2011-05-30 2012-09-03
  4. NEP-FMK: Financial Markets (2) 2009-01-24 2012-08-23
  5. NEP-FOR: Forecasting (2) 2009-05-23 2012-08-23
  6. NEP-CMP: Computational Economics (1) 2009-04-05
  7. NEP-ENE: Energy Economics (1) 2012-09-03
  8. NEP-ETS: Econometric Time Series (1) 2006-04-22
  9. NEP-FIN: Finance (1) 2006-04-22
  10. NEP-UPT: Utility Models & Prospect Theory (1) 2008-04-15

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