Hans Byström
Professor
Publications
Displaying of publications. Sorted by year, then title.
Internet Searches, Household Sentiment and Credit Spreads
Hans Byström
(2023) Journal of Fixed Income, 32 p.6-19
Journal articleBlockchains, Real-time Accounting, and the Future of Credit Risk Modeling
Hans Byström
(2019) Ledger, 4 p.40-47
Journal articleInternet Searches, Household Sentiment and Credit Spreads
Hans Byström
(2019) Working Papers
Working paperStructured microfinance in China
Hans Byström
(2018) Research Handbook of Finance and Sustainability , p.225-240
Book chapterStock return expectations in the credit market
Hans Byström
(2018) International Review of Financial Analysis, 56 p.85-92
Journal articleThe currency composition of firms' balance sheets, asset value correlations, and capital requirements
Hans Byström
(2017) Global Finance Journal, 34 p.89-99
Journal articleStock Prices and Stock Return Volatilities Implied by the Credit Market
Hans Byström
(2016) Journal of Fixed Income, 25 p.32-54
Journal articleLanguage, news and volatility
Hans Byström
(2016) Journal of International Financial Markets, Institutions, and Money, 42 p.139-154
Journal articleCredit-implied forward volatility and volatility expectations
Hans Byström
(2016) Finance Research Letters, 16 p.132-138
Journal articleBlockchains, Real-Time Accounting and the Future of Credit Risk Modeling
Hans Byström
(2016) Working Papers
Working paperThe Currency Composition of Firms' Balance Sheets and its Effect on Asset Value Correlations and Capital Requirements
Hans Byström
(2016) Working Papers
Working paperCredit-Implied Forward Volatility and Volatility Expectations
Hans Byström
(2015) Working Paper / Department of Economics, School of Economics and Management, Lund University
Working paperCredit-Implied Equity Volatility – Long-Term Forecasts and Alternative Fear Gauges
Hans Byström
(2015) Journal of Futures Markets, 35 p.753-775
Journal articleThe Impact of Currency Movements on Asset Value Correlations
Hans Byström
(2014) Journal of International Financial Markets, Institutions, and Money, 31 p.178-186
Journal articleExtreme Risks During the U. S. Financial Crisis: An Empirical Study of the Credit Default Swap Market
Hans Byström
(2013) Global Business and Finance Review, 18 p.34-47
Journal articleAsset Value Correlation Bounds for Firms with Foreign Exchange Exposure
Hans Byström
(2013) Journal of Fixed Income, 22 p.75-89
Journal articleExecutive compensation based on asset values
Hans Byström
(2012) Economics Bulletin, 32 p.1498-1502
Journal articleAn alternative way of estimating asset values and asset value correlations
Hans Byström
(2011) Journal of Fixed Income, 21 p.30-38
Journal articleAn index to evaluate fund and fund manager performance
Hans Byström
(2011) Applied Economics Letters, 18 p.1311-1314
Journal articleDoes the Chinese stock market react to global news?
Hans Byström
(2011) Journal of the Asia Pacific Economy, 16 p.448-455
Journal articleMargin Setting in Credit Derivatives Clearing Houses
Hans Byström
(2010) Journal of Fixed Income, 19 p.37-43
Journal articleNews Aggregators, Volatility and the Stock Market
Hans Byström
(2009) Economics Bulletin, 29 p.2673-2682
Journal articleThe Microfinance Collateralized Debt Obligation: A Modern Robin Hood?
Hans Byström
(2008) World Development, 36 p.2109-2126
Journal articleCredit Risk Management in Greater China
Hans Byström
(2008) Journal of Futures Markets, 28 p.582-597
Journal articleCredit Default Swaps and Equity Prices: The iTraxx CDS Index Market
Hans Byström
(2008) Credit Risk - Models, Derivatives, and Management. Financial Mathematics Series, 6
Book chapterStructured Microfinance
Hans Byström
(2007) Journal of Structured Finance, 13 p.26-28
Journal articleA Simple Continuous Measure of Credit Risk
Hans Byström, Oh Kang Kwon
(2007) International Review of Financial Analysis, 16 p.508-523
Journal articleInstantaneous Credit Risk Correlation
Hans Byström
(2007) Journal of Fixed Income, 17 p.5-12
Journal articleStructured Microfinance in China
Hans Byström
(2007) Working Papers, Department of Economics, Lund University
Working paperBack to the future: Futures margins in a future credit default swap index futures market
Hans Byström
(2007) Journal of Futures Markets, 27 p.85-104
Journal articleMerton Unraveled: A Flexible Way of Modelling Default Risk
Hans Byström
(2006) Journal of Alternative Investments, 8 p.39-47
Journal articleThe Microfinance Collateralized Debt Obligation: a Modern Robin Hood?
Hans Byström
(2006) Working Papers, Department of Economics, Lund University
Working paperHedging Market Wide Credit Risk Using CDS indexes: The Case of Japan
Hans Byström
(2006) Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives
Book chapterUsing Extreme Value Theory to Estimate the Likelihood of Banking Sector Failure
Hans Byström
(2006) European Journal of Finance, 12 p.303-312
Journal articleMerton Unraveled: A Flexible Way of Modelling Default (abridged version)
Hans Byström
(2006) CFA Digest, 36 p.98-99
Journal articleCreditGrades and the iTraxx CDS index market
Hans Byström
(2006) Financial Analysts Journal, 62 p.65-76
Journal articleCross-Sectional Correlation: New Evidence on Changing Correlations and Correlation Breakdown in Equity Markets
Hans Byström
(2006) Global Business and Finance Review, 11 p.13-28
Journal articleDefault Probabilities According to the Bond Market
Hans Byström, Oh Kang Kwon
(2005) Corporate Finance Review, 9 p.15-26
Journal articleDefault Risk, Systematic Risk and Thai Firms Before, During and After the Asian Crisis
Hans Byström, Lugkana Worasinchai, Srisuda Chongsithiphol
(2005) Research in International Business and Finance, 19 p.95-110
Journal articleExtreme Value Theory and Extremely large Electricity Price Changes
Hans Byström
(2005) International Review of Economics and Finance, 14 p.41-55
Journal articleUsing Credit Derivatives to Compute Market Wide Default Probability Term Structures
Hans Byström
(2005) Journal of Fixed Income, 15 p.34-41
Journal articleDefault Risk, Systematic Risk and Thai Firms Before, During and After the Asian Crisis
Hans Byström, Lugkana Worasinchai, Srisuda Chongsithiphol
(2005) Working Papers. Department of Economics, Lund University
Working paperDefault Probabilities According to the Bond Market
Hans Byström, Oh Kang Kwon
(2005) Working Papers, Department of Economics, Lund University
Working paperCredit Default Swaps and Equity Prices: The Itraxx CDS Index Market
Hans Byström
(2005) Working Papers, Department of Economics, Lund University
Working paperUsing Credit Derivatives to Compute Market-Wide Default Probability Term Structures
Hans Byström
(2005) Working Papers, Department of Economics, Lund University
Working paperOrthogonal GARCH and Covariance Matrix Forecasting in a Stress Scenario: The Nordic Stock Markets During the Asian Financial Crisis 1997-1998
Hans Byström
(2004) European Journal of Finance, 10 p.44-67
Journal articleThe Market’s View on the Probability of Banking Sector Failure: Cross-Country Comparisons
Hans Byström
(2004) Journal of International Financial Markets, Institutions and Money, 14 p.419-438
Journal articleManaging Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory
Hans Byström
(2004) International Review of Financial Analysis, 13 p.133-152
Journal articleThe hedging performance of electricity futures on the Nordic power exchange
Hans Byström
(2003) Applied Economics, 35 p.1-11
Journal articleA Simple Continuous Measure of Credit Risk
Hans Byström, Oh Kang Kwon
(2003) Working Papers. Department of Economics, Lund University
Working paperThe Market’s View on the Probability of Banking Sector Failure: Cross-Country Comparisons
Hans Byström
(2003) Working Papers. Department of Economics, Lund University
Working paperEstimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis
Hans Byström
(2003) Working Papers. Department of Economics, Lund University
Working paperUsing Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts
Hans Byström
(2002) Journal of International Financial Markets, Institutions, and Money, 12 p.216-230
Journal articleStochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market
Hans Byström
(2000) Working Papers
Working paperThe Compass Rose Pattern of the Stock Market: How Does it Affect Parameter Estimates, Forecasts, and Statistical Tests?
Henrik Amilon, Hans Byström
(2000) Working Papers
Working paperThe Search for Chaos and Nonlinearities in Swedish Stock Index Returns
Hans Byström, Henrik Amilon
(1998) Working Papers, Department of Economics, Lund University
Working paper