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~institution:"Centre for Analytical Finance <Århus>"
~subject:"Cointegration"
~subject:"Time series analysis"
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Cointegration
Time series analysis
Theorie
70
Theory
70
Option pricing theory
14
Optionspreistheorie
14
Yield curve
11
Zinsstruktur
11
Stochastic process
10
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Option trading
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Kointegration
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English
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Busch, Thomas
1
Christiansen, Charlotte
1
Engsted, Tom
1
Koulikov, Dmitri
1
Myhre Lildholt, Peter
1
Nielsen, Morten Ørregaard
1
Rahbek, Anders
1
Søndergaard Rasmussen, Nicki
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Tolver Jensen, Søren
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
71
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
64
Ekonomiska forskningsinstitutet <Stockholm>
46
European University Institute / Department of Economics
42
Umeå universitet
11
Econometrisch Instituut <Rotterdam>
10
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
8
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7
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European University Institute / Department of Law
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Gottfried Wilhelm Leibniz Universität Hannover
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London School of Economics and Political Science
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Australian National University / Faculty of Economics and Commerce
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Centre for Quantitative Economics & Computing
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Christian-Albrechts-Universität zu Kiel
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Escola de Pós-Graduação em Economia <Rio de Janeiro>
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Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät
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University of Cambridge / Department of Applied Economics
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University of Exeter / Department of Economics
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Institut für Höhere Studien
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Institut für Weltwirtschaft
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Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund>
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
4
Universität Basel / Institut für Statistik und Ökonometrie
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Birkbeck College / Department of Economics
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Konjunkturinstitutet <Stockholm>
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National Institute of Economic and Social Research
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3
Studiecentrum voor Economisch en Sociaal Onderzoek / Vakgroep Macro-Economie
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3
University of New England / Department of Econometrics
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University of Southampton / Department of Economics
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Université de Montréal / Département de sciences économiques
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Australien / Bureau of Statistics
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
9
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ECONIS (ZBW)
9
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Testing the martingale restriction for option implied densities
Busch, Thomas
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491622
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2
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:
3
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:
4
Sources of seasonal fractional integration in macroeconomic time series
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719173
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5
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
6
Finite difference computation of state-prices in termstructure models : with applications to calibration and MBS analysis
Søndergaard Rasmussen, Nicki
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724266
Saved in:
7
Misspecification versus bubbles in hyperinflation data : comment
Engsted, Tom
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660135
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8
Cointegration and exponential-affine models of the term structure
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709212
Saved in:
9
Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
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