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~institution:"Centre for Analytical Finance <Århus>"
~language:"eng"
~subject:"ARCH model"
~subject:"Theory"
~type_genre:"Article in journal"
~type_genre:"Graue Literatur"
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Subject
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ARCH model
Theory
Theorie
66
Option pricing theory
21
Optionspreistheorie
21
Volatility
16
Volatilität
16
Yield curve
13
Zinsstruktur
13
Stochastic process
12
Stochastischer Prozess
12
Time series analysis
11
Zeitreihenanalyse
11
ARCH-Modell
10
Denmark
10
Dänemark
10
Estimation theory
10
Monte Carlo simulation
10
Monte-Carlo-Simulation
10
Schätztheorie
10
Estimation
9
Schätzung
9
Option trading
8
Optionsgeschäft
8
Statistical test
8
Statistischer Test
8
CAPM
7
USA
7
United States
7
Markov chain
6
Markov-Kette
6
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Cointegration
5
Kleinste-Quadrate-Methode
5
Kointegration
5
Least squares method
5
Bond market
4
Forecast
4
Probability theory
4
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Type of publication
All
Book / Working Paper
70
Type of publication (narrower categories)
All
Article in journal
Graue Literatur
Arbeitspapier
70
Non-commercial literature
70
Working Paper
70
Language
All
English
Author
All
Barndorff-Nielsen, Ole E.
6
Lunde, Asger
4
Tanggaard, Carsten
4
Christensen, Bent Jesper
3
Christiansen, Charlotte
3
Di Miscia, Orazio
3
Hansen, Peter Reinhard
3
Mikkelsen, Peter
3
Shephard, Neil G.
3
Strunk Hansen, Charlotte
3
Søndergaard Rasmussen, Nicki
3
Sørensen, Michael
3
Taulbjerg, Jes
3
Busch, Thomas
2
Christensen, Claus Vorm
2
Engsted, Tom
2
Koulikov, Dmitri
2
Løchte Jørgensen, Peter
2
Myhre Lildholt, Peter
2
Nielsen, Jens Perch
2
Nielsen, Morten Ørregaard
2
Rahbek, Anders
2
Schmidli, Hanspeter
2
Shepard, Neil
2
Sørensen, Helle
2
Ørregaard Nielsen, Morten
2
Bartholdy, Jan
1
Bechmann, Ken L.
1
Brunetti, Celso
1
Daniels, Kenneth N.
1
Grasselli, M.R.
1
Grosen, Anders
1
Hansen, Niels Richard
1
Hurd, T.R.
1
Jakubenas, Paulius
1
Jensen, Morten Berg
1
Kessler, Mathieu
1
Kristensen, Dennis
1
Levendorskij, Sergej Z.
1
Myhre Lildholdt, Peter
1
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Institution
All
Centre for Analytical Finance <Århus>
Center for Economic Research <Tilburg>
279
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
260
Ekonomiska forskningsinstitutet <Stockholm>
242
National Bureau of Economic Research
231
European University Institute / Department of Economics
218
Forschungsinstitut zur Zukunft der Arbeit
164
Umeå universitet
114
Foerder Institute for Economic Research <Tēl-Āvîv>
108
Social Systems Research Institute
99
Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960>
97
Universitat Pompeu Fabra / Departament d'Economia i Empresa
94
Internationaler Währungsfonds / Research Department
86
University of Exeter / Department of Economics
83
Universitetet i Oslo / Økonomisk institutt
79
Centre for Economic Policy Research
78
Massachusetts Institute of Technology / Department of Economics
78
Institut für Weltwirtschaft
77
Robert Schuman Centre for Advanced Studies
75
Columbia University / Department of Economics
73
European University Institute / Department of Law
72
Johns Hopkins University / Department of Economics
67
Australian National University / Faculty of Economics and Commerce
65
Brown University / Department of Economics
62
Bonn Graduate School of Economics
61
Instituto Valenciano de Investigaciones Económicas
60
INSEAD
55
Institute of Finance and Accounting <London>
54
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
54
University of Southampton / Department of Economics
54
University of Warwick / Department of Economics
54
University of Cambridge / Department of Applied Economics
53
Federal Reserve Bank of St. Louis
52
University of Strathclyde / Department of Economics
52
Federal Reserve Bank of Cleveland
51
Georgetown University / Economics Department
51
Københavns Universitet / Økonomisk Institut
51
Umeå Universitet / Institutionen för Nationalekonomi
50
Federal Reserve Bank of San Francisco
48
Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät
47
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Published in...
All
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
70
Source
All
ECONIS (ZBW)
70
Showing
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1
The effect of credit ratings on credit default swap spreads and credit spreads
Daniels, Kenneth N.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491575
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
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:
4
Estimation of expected return : CAPM vs Fama and French
Bartholdy, Jan
(
contributor
);
Peare, Paula
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002069191
Saved in:
5
Exotic options : proofs without formulas
Poulsen, R.
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001922259
Saved in:
6
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:
7
Nonparametric estimation of diffusion process : a closer look
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002506769
Saved in:
8
Power variation and time change
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491700
Saved in:
9
Proxying for expected returns with price earnings ratios
Strunk Hansen, Charlotte
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491493
Saved in:
10
A robust LR test for the GARCH model
Busch, Thomas
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002069045
Saved in:
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