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institution:"Centre for Analytical Finance <Århus>"
subject:"Risiko"
~institution:"Federal Reserve System / Board of Governors"
~institution:"Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg>"
~language:"eng"
~subject:"ARCH-Modell"
~subject:"Volatility"
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Risiko
ARCH-Modell
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Theorie
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Theory
150
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Option pricing theory
14
Optionspreistheorie
14
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10
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English
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Lunde, Asger
2
Mendoza, Enrique G.
2
Rahbek, Anders
2
Schmidli, Hanspeter
2
Akbarian, Dara
1
Barndorff-Nielsen, Ole E.
1
Carroll, Chris
1
Cho, Dongchul
1
Christensen, Bent Jesper
1
Christiansen, Charlotte
1
Edison, Hali J.
1
Hansen, Peter Reinhard
1
Jensen, Morten Berg
1
Koulikov, Dmitri
1
Kristensen, Dennis
1
Myhre Lildholt, Peter
1
Nicolato, Elisa
1
Rogers, John H.
1
Shephard, Neil G.
1
Stevens, Guy V. G.
1
Strunk Hansen, Charlotte
1
Sørensen, Helle
1
Tolver Jensen, Søren
1
Uribe, Martín
1
Venardos, Emmanouil
1
West, Kenneth D.
1
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Centre for Analytical Finance <Århus>
Federal Reserve System / Board of Governors
Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg>
National Bureau of Economic Research
377
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
25
Ekonomiska forskningsinstitutet <Stockholm>
23
European University Institute / Department of Economics
16
Edward Elgar Publishing
9
Birkbeck College / Department of Economics
8
Institute of Finance and Accounting <London>
8
Internationaler Währungsfonds / Research Department
7
Rodney L. White Center for Financial Research
7
Svenska Handelshögskolan <Helsinki>
7
Australian National University / Faculty of Economics and Commerce
6
Chambre de commerce et d'industrie de Paris
6
Federal Reserve System / Division of Research and Statistics
6
University of Dundee / Department of Economic Studies
6
University of Exeter / Department of Economics
6
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
5
Georgetown University / Economics Department
5
Shakai-Keizai-Kenkyūsho <Osaka>
5
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
5
University of Southampton / Department of Economics
5
Center for Economic Research <Tilburg>
4
Centre for Economic Policy Research
4
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
4
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4
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4
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3
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3
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Foerder Institute for Economic Research <Tēl-Āvîv>
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
13
International finance discussion papers
5
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ECONIS (ZBW)
19
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1
Impact of jumps on returns and realised variances : econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491746
Saved in:
2
Long memory ARCH models : specification and quasi-maximum likelihood estimation
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001851132
Saved in:
3
Consistent preordering with an estimated criterion function, with an application to evaluation and comparison of volatility models
Hansen, Peter Reinhard
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732980
Saved in:
4
Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, Dennis
(
contributor
);
Rahbek, Anders
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702284
Saved in:
5
Estimation of GARCH models based on open, close, high, and low prices
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719178
Saved in:
6
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
7
Asymptotics of ruin probabilities for risk processes under optimal reinsurance policies : the large claim case
Schmidli, Hanspeter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724275
Saved in:
8
Asymptotics of ruin probabilities for risk processes under optimal reinsurance policies : the small claim case
Schmidli, Hanspeter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724276
Saved in:
9
Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type
Nicolato, Elisa
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001663272
Saved in:
10
Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
Saved in:
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