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institution:"Universitat Pompeu Fabra / Departament d'Economia i Empresa"
~institution:"Center for Economic Research <Tilburg>"
~institution:"Centre for Analytical Finance <Århus>"
~institution:"University of Exeter / Department of Economics"
~institution:"University of Southampton / Department of Economics"
~isPartOf:"Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business"
~subject:"Maximum likelihood estimation"
~subject:"Yield curve"
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Maximum likelihood estimation
Yield curve
Theorie
70
Theory
70
Option pricing theory
16
Optionspreistheorie
16
Zinsstruktur
11
Stochastic process
10
Stochastischer Prozess
10
Estimation
7
Monte Carlo simulation
7
Monte-Carlo-Simulation
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ARCH model
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Maximum-Likelihood-Schätzung
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Optionsgeschäft
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Cointegration
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Einheitswurzeltest
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Kointegration
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Least squares method
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Probability theory
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15
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14
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Mikkelsen, Peter
3
Taulbjerg, Jes
3
Di Miscia, Orazio
2
Sørensen, Helle
2
Christiansen, Charlotte
1
Daniels, Kenneth N.
1
Kristensen, Dennis
1
Rahbek, Anders
1
Schmid, Wolfgang
1
Shin Jensen, Malene
1
Sørensen, Michael
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Tzotchev, Dobromir
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Universitat Pompeu Fabra / Departament d'Economia i Empresa
Center for Economic Research <Tilburg>
Centre for Analytical Finance <Århus>
University of Exeter / Department of Economics
University of Southampton / Department of Economics
Published in...
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
Discussion papers in economics
7
Discussion paper / Center for Economic Research, Tilburg University
2
Discussion papers in economics and econometrics
2
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ECONIS (ZBW)
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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
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2
Sequential monitoring of the statistical properties of the univariate affine diffusion with application to interest
Schmid, Wolfgang
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491667
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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
Term structure of interest models : concept and estimation problem in a continuous-time setting
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002507013
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
Regime switching in the yield curve
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702287
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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
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8
Small diffusion asymptotics for discretely sampled stochastic differential equations
Sørensen, Michael
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660122
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9
Cointegration and exponential-affine models of the term structure
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709212
Saved in:
10
Conditional moment testing, term premia and affine term structural models
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709215
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