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~institution:"Centre for Analytical Finance <Århus>"
~subject:"Markov-Kette"
~subject:"Maximum likelihood estimation"
~subject:"Monte Carlo simulation"
~subject:"Time series analysis"
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Markov-Kette
Maximum likelihood estimation
Monte Carlo simulation
Time series analysis
Theorie
70
Theory
70
Option pricing theory
14
Optionspreistheorie
14
Yield curve
11
Zinsstruktur
11
Stochastic process
10
Stochastischer Prozess
10
Estimation
7
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7
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Markov chain
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Maximum-Likelihood-Schätzung
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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
3
Statistische Verteilung
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21
Working Paper
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English
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Author
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Christiansen, Charlotte
2
Di Miscia, Orazio
2
Rahbek, Anders
2
Søndergaard Rasmussen, Nicki
2
Sørensen, Helle
2
Sørensen, Michael
2
Busch, Thomas
1
Grasselli, M.R.
1
Hansen, Niels Richard
1
Hurd, T.R.
1
Kessler, Mathieu
1
Koulikov, Dmitri
1
Kristensen, Dennis
1
Mikkelsen, Peter
1
Myhre Lildholt, Peter
1
Nielsen, Morten Ørregaard
1
Schmid, Wolfgang
1
Stentoft, Lars
1
Taulbjerg, Jes
1
Tolver Jensen, Søren
1
Tzotchev, Dobromir
1
Uchida, Masayuki
1
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
87
Ekonomiska forskningsinstitutet <Stockholm>
57
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
57
European University Institute / Department of Economics
33
Umeå universitet
13
Econometrisch Instituut <Rotterdam>
10
University of Strathclyde / Department of Economics
8
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
7
Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften
7
Umeå Universitet / Institutionen för Nationalekonomi
7
University of Exeter / Department of Economics
7
Aarhus Universitet / Afdeling for Nationaløkonomi
6
Gottfried Wilhelm Leibniz Universität Hannover
6
London School of Economics and Political Science
6
Centre for Quantitative Economics & Computing
5
Christian-Albrechts-Universität zu Kiel
5
Escola de Pós-Graduação em Economia <Rio de Janeiro>
5
European University Institute / Department of Law
5
Instituto Valenciano de Investigaciones Económicas
5
Københavns Universitet / Økonomisk Institut
5
Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät
5
Shakai-Keizai-Kenkyūsho <Osaka>
5
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
5
University of Canterbury / Dept. of Economics and Finance
5
University of Southampton / Department of Economics
5
Center for Economic Research <Tilburg>
4
Institut für Höhere Studien
4
National Institute of Economic and Social Research
4
Springer Fachmedien Wiesbaden
4
University of Cambridge / Department of Applied Economics
4
Universität Basel / Institut für Statistik und Ökonometrie
4
Université de Montréal / Département de sciences économiques
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Australian National University / Faculty of Economics and Commerce
3
Birkbeck College / Department of Economics
3
Federal Reserve Bank of St. Louis
3
Forschungsinstitut zur Zukunft der Arbeit
3
Institut für Weltwirtschaft
3
Konjunkturinstitutet <Stockholm>
3
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
22
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ECONIS (ZBW)
22
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1
Semiparametric estimation in time series regressioon with long range dependence
Nielsen, Morten Ørregaard
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491368
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
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:
4
Nonparametric estimation of diffusion process : a closer look
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002506769
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
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:
7
Assessing the least squares Monte-Carlo approach to American option valuation
Stentoft, Lars
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599148
Saved in:
8
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:
9
Regime switching in the yield curve
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702287
Saved in:
10
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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