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type_genre:"Arbeitspapier"
type_genre:"Series"
~institution:"Centre for Analytical Finance <Århus>"
~subject:"ARCH model"
~subject:"Estimation"
~subject:"Game theory"
~subject:"Volatility"
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ARCH model
Estimation
Game theory
Volatility
Theorie
66
Theory
66
Option pricing theory
13
Optionspreistheorie
13
Yield curve
11
Zinsstruktur
11
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Schätzung
7
Statistical test
7
Statistischer Test
7
Stochastic process
7
Stochastischer Prozess
7
Volatilität
7
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
Maximum-Likelihood-Schätzung
4
Option trading
4
Optionsgeschäft
4
Cointegration
3
Einheitswurzeltest
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Hedging
3
Kleinste-Quadrate-Methode
3
Kointegration
3
Least squares method
3
Probability theory
3
Regression analysis
3
Regressionsanalyse
3
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3
Wahrscheinlichkeitsrechnung
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Book / Working Paper
16
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Arbeitspapier
Series
Graue Literatur
16
Non-commercial literature
16
Working Paper
16
Language
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English
16
Author
All
Lunde, Asger
2
Rahbek, Anders
2
Tanggaard, Carsten
2
Barndorff-Nielsen, Ole E.
1
Brunetti, Celso
1
Busch, Thomas
1
Christensen, Bent Jesper
1
Christiansen, Charlotte
1
Hansen, Peter Reinhard
1
Jensen, Morten Berg
1
Koulikov, Dmitri
1
Kristensen, Dennis
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
Tolver Jensen, Søren
1
Venardos, Emmanouil
1
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Centre for Analytical Finance <Århus>
Center for Economic Research <Tilburg>
62
Ekonomiska forskningsinstitutet <Stockholm>
56
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
39
Forschungsinstitut zur Zukunft der Arbeit
36
European University Institute / Department of Economics
27
Internationaler Währungsfonds / Research Department
26
Birkbeck College / Department of Economics
21
University of Exeter / Department of Economics
15
Australian National University / Faculty of Economics and Commerce
14
Foerder Institute for Economic Research <Tēl-Āvîv>
14
Federal Reserve System / Board of Governors
12
Institut für Weltwirtschaft
12
Bonn Graduate School of Economics
11
Federal Reserve System / Division of Research and Statistics
10
Institut für Höhere Studien
10
Instituto Valenciano de Investigaciones Económicas
9
Rodney L. White Center for Financial Research
9
University of Warwick / Department of Economics
9
Universität Dortmund / Wirtschafts- und Sozialwissenschaftliche Fakultät
9
Centre for Economic Performance
8
Centre for Economic Policy Research
8
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
8
National Bureau of Economic Research
8
Shakai-Keizai-Kenkyūsho <Osaka>
8
University of Oxford / Institute of Economics and Statistics
8
Universität Mannheim / Institut für Volkswirtschaft und Statistik
8
Columbia University / Department of Economics
7
Københavns Universitet / Økonomisk Institut
7
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
7
The Wharton Financial Institutions Center
7
Trinity College Dublin / Department of Economics
7
Erasmus Research Institute of Management
6
Institute of Finance and Accounting <London>
6
International Monetary Fund
6
Internationaler Währungsfonds / Monetary and Exchange Affairs Department
6
Johns Hopkins University / Department of Economics
6
Leibniz-Institut für Wirtschaftsforschung Halle
6
Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät
6
Massachusetts Institute of Technology / Department of Economics
6
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
16
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ECONIS (ZBW)
16
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1
Errors in trade classification : consequences and remedies
Tanggaard, Carsten
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491270
Saved in:
2
Testing the martingale restriction for option implied densities
Busch, Thomas
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491622
Saved in:
3
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:
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
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:
6
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:
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
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:
10
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:
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