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institution:"Centre for Analytical Finance <Århus>"
subject:"Risiko"
~institution:"Unité Mixte de Recherche Théorie Economique, Modélisation et Applications"
~subject:"Cointegration"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Unit root test"
~type_genre:"Arbeitspapier"
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Risiko
Cointegration
Maximum-Likelihood-Schätzung
Unit root test
Theorie
128
Theory
128
Option pricing theory
13
Optionspreistheorie
13
Yield curve
12
Zinsstruktur
12
Monte Carlo simulation
11
Monte-Carlo-Simulation
11
Asymmetric information
8
Asymmetrische Information
8
Estimation theory
8
Schätztheorie
8
Stochastic process
8
Stochastischer Prozess
8
Time series analysis
8
Zeitreihenanalyse
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Estimation
7
France
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Frankreich
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Schätzung
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Statistical test
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Statistischer Test
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Volatility
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ARCH model
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ARCH-Modell
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Maximum likelihood estimation
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Kointegration
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Markov chain
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Markov-Kette
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Risk model
5
Adverse Selektion
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4
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Arbeitspapier
Graue Literatur
13
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13
Working Paper
13
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English
13
Author
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Lardic, Sandrine
3
Mignon, Valérie
3
Schmidli, Hanspeter
2
Sørensen, Helle
2
Taulbjerg, Jes
2
Dubois, Emmanuel
1
Engsted, Tom
1
Kristensen, Dennis
1
Nielsen, Morten Ørregaard
1
Rahbek, Anders
1
Ørregaard Nielsen, Morten
1
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Centre for Analytical Finance <Århus>
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
46
European University Institute / Department of Economics
21
Ekonomiska forskningsinstitutet <Stockholm>
14
Aarhus Universitet / Afdeling for Nationaløkonomi
10
University of Southampton / Department of Economics
9
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
8
Australian National University / Faculty of Economics and Commerce
7
Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften
7
University of Exeter / Department of Economics
7
Georgetown University / Economics Department
6
Chambre de commerce et d'industrie de Paris
5
Econometrisch Instituut <Rotterdam>
5
Loughborough University / Department of Economics
5
University of Dundee / Department of Economic Studies
5
Center for Economic Research <Tilburg>
4
European University Institute / Department of Law
4
Federal Reserve System / Board of Governors
4
Københavns Universitet / Økonomisk Institut
4
National Bureau of Economic Research
4
National Institute of Economic and Social Research
4
Nationalekonomiska Institutionen <Lund>
4
Shakai-Keizai-Kenkyūsho <Osaka>
4
University of New England / Department of Econometrics
4
Birkbeck College / Department of Economics
3
Brown University / Department of Economics
3
Centre for Economic Policy Research
3
Escola de Pós-Graduação em Economia <Rio de Janeiro>
3
Federal Reserve Bank of New York
3
Federal Reserve System / Division of Research and Statistics
3
Foerder Institute for Economic Research <Tēl-Āvîv>
3
Forschungsinstitut zur Zukunft der Arbeit
3
Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg>
3
Institute of Finance and Accounting <London>
3
Svenska Handelshögskolan <Helsinki>
3
Trinity College Dublin / Department of Economics
3
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3
Universität Dortmund / Wirtschafts- und Sozialwissenschaftliche Fakultät
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
10
Documents de travail / THEMA
3
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ECONIS (ZBW)
13
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1
The exact maximum likelihood estimation of ARFIMA processes and model selection criteria : a Monte Carlo study
Lardic, Sandrine
(
contributor
);
Mignon, Valérie
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001760400
Saved in:
2
The exact maximum likelihood-based test for fractional cointegration : critical values, power and size /Emmanuel Dubois; Sandrine Lardic; Valérie Mignon
Dubois, Emmanuel
(
contributor
);
Lardic, Sandrine
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001906795
Saved in:
3
Efficient inference in multivariate fractionally integrated time series models
Ørregaard Nielsen, Morten
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001922185
Saved in:
4
Cointegration and exponential-affine models of the term structure
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709212
Saved in:
5
Estimating quadratic term structure models by non-linear filtering
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709219
Saved in:
6
Misspecification versus bubbles in hyperinflation data : comment
Engsted, Tom
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660135
Saved in:
7
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:
8
Optimal residual based tests for fractional cointegration and exchange rate dynamics
Nielsen, Morten Ørregaard
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702310
Saved in:
9
Parametric inference for diffusion processes observed at discrete points in time : a survey
Sørensen, Helle
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702316
Saved in:
10
Fractional cointegration and term structure of interest rates
Lardic, Sandrine
(
contributor
);
Mignon, Valérie
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001724127
Saved in:
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