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subject:"Estimation"
~institution:"Centre for Analytical Finance <Århus>"
~subject:"Markov-Kette"
~subject:"Volatility"
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Estimation
Markov-Kette
Volatility
Theorie
70
Theory
70
Option pricing theory
14
Optionspreistheorie
14
Yield curve
11
Zinsstruktur
11
Stochastic process
10
Stochastischer Prozess
10
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Schätzung
7
Statistical test
7
Statistischer Test
7
Volatilität
7
ARCH model
6
ARCH-Modell
6
Time series analysis
6
Zeitreihenanalyse
6
Estimation theory
5
Markov chain
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Schätztheorie
5
CAPM
4
Option trading
4
Optionsgeschäft
4
Cointegration
3
Einheitswurzeltest
3
Hedging
3
Kleinste-Quadrate-Methode
3
Kointegration
3
Least squares method
3
Probability theory
3
Regression analysis
3
Regressionsanalyse
3
Statistical distribution
3
Statistische Verteilung
3
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Book / Working Paper
17
Type of publication (narrower categories)
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Arbeitspapier
17
Graue Literatur
17
Non-commercial literature
17
Working Paper
17
Language
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English
17
Author
All
Christiansen, Charlotte
2
Tanggaard, Carsten
2
Barndorff-Nielsen, Ole E.
1
Brunetti, Celso
1
Busch, Thomas
1
Christensen, Bent Jesper
1
Di Miscia, Orazio
1
Hansen, Niels Richard
1
Hansen, Peter Reinhard
1
Kessler, Mathieu
1
Lunde, Asger
1
Mikkelsen, Peter
1
Myhre Lildholdt, Peter
1
Myhre Lildholt, Peter
1
Nicolato, Elisa
1
Nielsen, Jens Perch
1
Nielsen, Morten Ørregaard
1
Shephard, Neil G.
1
Strunk Hansen, Charlotte
1
Sørensen, Helle
1
Sørensen, Michael
1
Venardos, Emmanouil
1
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Institution
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
638
Ekonomiska forskningsinstitutet <Stockholm>
52
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
41
Forschungsinstitut zur Zukunft der Arbeit
32
Springer Fachmedien Wiesbaden
29
Internationaler Währungsfonds / Research Department
26
Birkbeck College / Department of Economics
20
European University Institute / Department of Economics
14
Federal Reserve System / Board of Governors
14
Institut für Weltwirtschaft
14
Umeå universitet
11
University of Oxford / Institute of Economics and Statistics
11
Verlag Dr. Kovač
11
Federal Reserve System / Division of Research and Statistics
10
Institut für Höhere Studien
10
Universität Mannheim
10
Centre for Economic Policy Research
9
Friedrich-Schiller-Universität Jena
9
University of Exeter / Department of Economics
9
Centre for Economic Performance
8
Christian-Albrechts-Universität zu Kiel
8
Goethe-Universität Frankfurt am Main
8
Rodney L. White Center for Financial Research
8
Trinity College Dublin / Department of Economics
8
University of Reading / Department of Economics
8
World Bank
8
Center for Economic Research <Tilburg>
7
Eric Cuvillier <Firma>
7
Federal Reserve Bank of San Francisco
7
Instituto Valenciano de Investigaciones Económicas
7
International Monetary Fund
7
The Wharton Financial Institutions Center
7
Umeå Universitet / Institutionen för Nationalekonomi
7
Centre for Quantitative Economics & Computing
6
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
6
Ecole des hautes études commerciales <Lausanne> / Département d'économétrie et d'économie politique
6
Institute of Finance and Accounting <London>
6
Leibniz-Institut für Wirtschaftsforschung Halle
6
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
6
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Published in...
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
17
Source
All
ECONIS (ZBW)
17
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1
Estimation of continuous-time interest rate models : a nonparametric approach
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002506978
Saved in:
2
Errors in trade classification : consequences and remedies
Tanggaard, Carsten
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491270
Saved in:
3
Testing the martingale restriction for option implied densities
Busch, Thomas
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491622
Saved in:
4
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:
5
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:
6
Regime switching in the yield curve
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702287
Saved in:
7
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:
8
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:
9
Return-based and range-based (co)viariance estimation : with an application to foreign exchange markets
Brunetti, Celso
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724261
Saved in:
10
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
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