Anders Wilhelmsson

Finance · 2006–2009

A researcher in the Science corpus: 2 papers; trusts 21 researchers and is trusted by 2 researchers here, as inferred from the citation graph.

Subfields

• Finance — 24 citations into it; #8,821 of 10,518 by trust here, #9,371 by citations
• Economics and Econometrics — 20 citations into it; #19,169 of 23,481 by trust here, #21,405 by citations
• Statistics and Probability — 5 citations into it

Whom Anders Wilhelmsson trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Tim Bollerslev
2. Daniel B. Nelson
3. P. R. Hansen
4. Jose A. Lopez
5. P. Giot
6. Torben G. Andersen
7. Tae-Hwan Kim
8. Asger Lunde
9. Robert F. Engle
10. Halbert White

Who trusts Anders Wilhelmsson overall

1. A. Shamiri

Papers from Anders Wilhelmsson's perspective

Ordered by how strongly the researchers Anders Wilhelmsson trusts endorse each paper. Same corpus, a different order for every researcher.

1. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?
2. Generalized autoregressive conditional heteroskedasticity
3. The distribution of realized stock return volatility
4. Consistent Ranking of Volatility Models
5. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
6. Estimating Daily Volatility in Financial Markets Utilizing Intraday Data
7. Separating Microstructure Noise from Volatility
8. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
9. Forecasting Volatility in Financial Markets: A Review
10. A Simple Long Memory Model of Realized Volatility

Their papers

• Garch forecasting performance under different distribution assumptions (2006) — 131 citations
• Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model (2009) — 58 citations