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~institution:"Centre for Analytical Finance <Århus>"
~subject:"CAPM"
~subject:"Time series analysis"
~subject:"Yield curve"
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CAPM
Time series analysis
Yield curve
Theorie
70
Theory
70
Option pricing theory
14
Optionspreistheorie
14
Zinsstruktur
11
Stochastic process
10
Stochastischer Prozess
10
Estimation
7
Monte Carlo simulation
7
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7
Schätzung
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Statistical test
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Volatility
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Schätztheorie
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Option trading
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Optionsgeschäft
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Hedging
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Kleinste-Quadrate-Methode
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Kointegration
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Least squares method
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Probability theory
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Regression analysis
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Statistical distribution
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Statistische Verteilung
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Book / Working Paper
20
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Arbeitspapier
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Graue Literatur
20
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20
Working Paper
20
Language
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English
20
Author
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Mikkelsen, Peter
3
Taulbjerg, Jes
3
Christiansen, Charlotte
2
Di Miscia, Orazio
2
Bartholdy, Jan
1
Busch, Thomas
1
Christensen, Bent Jesper
1
Daniels, Kenneth N.
1
Koulikov, Dmitri
1
Myhre Lildholt, Peter
1
Peare, Paula
1
Raahauge, Peter
1
Rahbek, Anders
1
Schmid, Wolfgang
1
Shin Jensen, Malene
1
Søndergaard Rasmussen, Nicki
1
Tolver Jensen, Søren
1
Tzotchev, Dobromir
1
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Institution
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
373
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
54
Ekonomiska forskningsinstitutet <Stockholm>
52
European University Institute / Department of Economics
32
Umeå universitet
11
University of Exeter / Department of Economics
11
Econometrisch Instituut <Rotterdam>
10
Escola de Pós-Graduação em Economia <Rio de Janeiro>
8
Rodney L. White Center for Financial Research
8
Springer Fachmedien Wiesbaden
8
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
7
Erasmus Research Institute of Management
7
Institute of Finance and Accounting <London>
7
University of Chicago / Center for Research in Security Prices
7
Birkbeck College / Department of Economics
6
Centre for Quantitative Economics & Computing
6
Ecole des hautes études commerciales <Lausanne> / Département d'économétrie et d'économie politique
6
Federal Reserve Bank of New York
6
Federal Reserve System / Division of Research and Statistics
6
Gottfried Wilhelm Leibniz Universität Hannover
6
Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät
6
Scuola superiore Sant'Anna di studi universitari e di perfezionamento / Laboratory of Economics and Management
6
Umeå Universitet / Institutionen för Nationalekonomi
6
Australian National University / Faculty of Economics and Commerce
5
Banque de France / Direction des Etudes Economiques et de la Recherche
5
Center for Economic Research <Tilburg>
5
Chambre de commerce et d'industrie de Paris
5
Christian-Albrechts-Universität zu Kiel
5
European University Institute / Department of Law
5
Federal Reserve Bank of San Francisco
5
Institut für Höhere Studien
5
Instituto Valenciano de Investigaciones Económicas
5
International Center for Financial Asset Management and Engineering
5
London School of Economics and Political Science
5
Svenska Handelshögskolan <Helsinki>
5
University of Cambridge / Department of Applied Economics
5
University of Strathclyde / Department of Economics
5
Université de Montréal / Département de sciences économiques
5
Centre for Economic Policy Research
4
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
20
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ECONIS (ZBW)
20
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1
Empirical rationality in the stock market
Raahauge, Peter
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001728528
Saved in:
2
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:
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
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
Saved in:
5
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:
6
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:
7
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:
8
Regime switching in the yield curve
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702287
Saved in:
9
Sources of seasonal fractional integration in macroeconomic time series
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719173
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
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