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~institution:"Centre for Analytical Finance <Århus>"
~subject:"Markov-Kette"
~subject:"Maximum likelihood estimation"
~subject:"Probability theory"
~subject:"Time series analysis"
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Markov-Kette
Maximum likelihood estimation
Probability theory
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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10
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Kointegration
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Least squares method
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Working Paper
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English
19
Author
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Sørensen, Michael
3
Christiansen, Charlotte
2
Rahbek, Anders
2
Schmidli, Hanspeter
2
Sørensen, Helle
2
Busch, Thomas
1
Di Miscia, Orazio
1
Hansen, Niels Richard
1
Kessler, Mathieu
1
Koulikov, Dmitri
1
Kristensen, Dennis
1
Mikkelsen, Peter
1
Myhre Lildholt, Peter
1
Stegenborg Larsen, Kristian
1
Søndergaard Rasmussen, Nicki
1
Taulbjerg, Jes
1
Tolver Jensen, Søren
1
Uchida, Masayuki
1
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
94
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
54
Ekonomiska forskningsinstitutet <Stockholm>
53
European University Institute / Department of Economics
34
Umeå universitet
14
Econometrisch Instituut <Rotterdam>
10
Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften
8
University of Strathclyde / Department of Economics
8
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
7
Gottfried Wilhelm Leibniz Universität Hannover
7
London School of Economics and Political Science
7
Umeå Universitet / Institutionen för Nationalekonomi
7
Springer Fachmedien Wiesbaden
6
University of Southampton / Department of Economics
6
Universität Basel / Institut für Statistik und Ökonometrie
6
Center for Economic Research <Tilburg>
5
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
Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät
5
Shakai-Keizai-Kenkyūsho <Osaka>
5
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
5
University of Exeter / Department of Economics
5
Aarhus Universitet / Afdeling for Nationaløkonomi
4
Institut für Höhere Studien
4
Instituto Valenciano de Investigaciones Económicas
4
Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund>
4
University of Cambridge / Department of Applied Economics
4
Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960>
4
Université de Montréal / Département de sciences économiques
4
Australian National University / Faculty of Economics and Commerce
3
Birkbeck College / Department of Economics
3
Centre for Actuarial Studies
3
Conference on Applied Probability and Time Series Analysis <1995, Athen>
3
Deutsche Forschungsgemeinschaft
3
Federal Reserve Bank of St. Louis
3
Forschungsinstitut zur Zukunft der Arbeit
3
Institut für Weltwirtschaft
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
19
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ECONIS (ZBW)
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Estimating quadratic term structure models by non-linear filtering
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709219
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2
Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
Saved in:
3
Small diffusion asymptotics for discretely sampled stochastic differential equations
Sørensen, Michael
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660122
Saved in:
4
MCMC based estimation of term structure models
Mikkelsen, Peter
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001607781
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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
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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
Simulated likelihood approximations for stochastic volatility models
Sørensen, Helle
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563848
Saved in:
9
Classification of Markov chains on Rk
Hansen, Niels Richard
(
contributor
)
-
2000
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001543227
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10
Long memory ARCH models : specification and quasi-maximum likelihood estimation
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001851132
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