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institution:"Centre for Analytical Finance <Århus>"
subject:"Risiko"
~subject:"Cointegration"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Statistischer Test"
~subject:"Unit root test"
~type_genre:"Arbeitspapier"
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Risiko
Cointegration
Maximum-Likelihood-Schätzung
Statistischer Test
Unit root test
Theorie
66
Theory
66
Option pricing theory
13
Optionspreistheorie
13
Yield curve
11
Zinsstruktur
11
Estimation
7
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Schätzung
7
Statistical test
7
Stochastic process
7
Stochastischer Prozess
7
Volatility
7
Volatilität
7
ARCH model
6
ARCH-Modell
6
Time series analysis
6
Zeitreihenanalyse
6
Estimation theory
5
Markov chain
5
Markov-Kette
5
Schätztheorie
5
CAPM
4
Maximum likelihood estimation
4
Option trading
4
Optionsgeschäft
4
Einheitswurzeltest
3
Hedging
3
Kleinste-Quadrate-Methode
3
Kointegration
3
Least squares method
3
Probability theory
3
Regression analysis
3
Regressionsanalyse
3
Wahrscheinlichkeitsrechnung
3
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Type of publication
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Book / Working Paper
15
Type of publication (narrower categories)
All
Arbeitspapier
Graue Literatur
15
Non-commercial literature
15
Working Paper
15
Language
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English
15
Author
All
Taulbjerg, Jes
3
Hansen, Peter Reinhard
2
Lunde, Asger
2
Schmidli, Hanspeter
2
Sørensen, Helle
2
Barndorff-Nielsen, Ole E.
1
Engsted, Tom
1
Jakubenas, Paulius
1
Kristensen, Dennis
1
Nielsen, Morten Ørregaard
1
Rahbek, Anders
1
Shephard, Neil G.
1
Ørregaard Nielsen, Morten
1
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Institution
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Centre for Analytical Finance <Århus>
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
56
European University Institute / Department of Economics
21
Ekonomiska forskningsinstitutet <Stockholm>
14
Aarhus Universitet / Afdeling for Nationaløkonomi
10
University of Southampton / Department of Economics
10
Center for Economic Research <Tilburg>
9
Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften
9
Econometrisch Instituut <Rotterdam>
8
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
8
University of Exeter / Department of Economics
8
Australian National University / Faculty of Economics and Commerce
7
Brown University / Department of Economics
7
Columbia University / Department of Economics
6
Georgetown University / Economics Department
6
Chambre de commerce et d'industrie de Paris
5
European University Institute / Department of Law
5
Forschungsinstitut zur Zukunft der Arbeit
5
Loughborough University / Department of Economics
5
National Bureau of Economic Research
5
University of Dundee / Department of Economic Studies
5
Escola de Pós-Graduação em Economia <Rio de Janeiro>
4
Federal Reserve System / Board of Governors
4
Institute of Finance and Accounting <London>
4
Johns Hopkins University / Department of Economics
4
Københavns Universitet / Økonomisk Institut
4
National Institute of Economic and Social Research
4
Nationalekonomiska Institutionen <Lund>
4
Shakai-Keizai-Kenkyūsho <Osaka>
4
Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund>
4
Trinity College Dublin / Department of Economics
4
University of California Davis / Department of Economics
4
University of Cambridge / Department of Applied Economics
4
University of New England / Department of Econometrics
4
Université de Montréal / Département de sciences économiques
4
Birkbeck College / Department of Economics
3
Centre for Economic Policy Research
3
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
3
Federal Reserve Bank of New York
3
Federal Reserve System / Division of Research and Statistics
3
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Published in...
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
15
Source
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ECONIS (ZBW)
15
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1
Power variation and time change
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491700
Saved in:
2
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:
3
Testing the significance of calendar effects
Hansen, Peter Reinhard
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732977
Saved in:
4
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:
5
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:
6
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:
7
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:
8
Anyway, can we price European options with Lévy processes?
Jakubenas, Paulius
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702320
Saved in:
9
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:
10
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:
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