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~institution:"Centre for Analytical Finance <Århus>"
~subject:"Markov-Kette"
~subject:"Maximum likelihood estimation"
~subject:"Stochastic process"
~subject:"Time series analysis"
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Markov-Kette
Maximum likelihood estimation
Stochastic process
Time series analysis
Theorie
70
Theory
70
Option pricing theory
14
Optionspreistheorie
14
Yield curve
11
Zinsstruktur
11
Stochastischer Prozess
10
Estimation
7
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7
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Least squares method
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21
Working Paper
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English
24
Author
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Barndorff-Nielsen, Ole E.
6
Shephard, Neil G.
3
Christiansen, Charlotte
2
Di Miscia, Orazio
2
Rahbek, Anders
2
Sørensen, Helle
2
Sørensen, Michael
2
Busch, Thomas
1
Hansen, Niels Richard
1
Kessler, Mathieu
1
Koulikov, Dmitri
1
Kristensen, Dennis
1
Levendorskij, Sergej Z.
1
Mikkelsen, Peter
1
Myhre Lildholt, Peter
1
Nicolato, Elisa
1
Shepard, Neil
1
Stelzer, Robert
1
Søndergaard Rasmussen, Nicki
1
Taulbjerg, Jes
1
Tolver Jensen, Søren
1
Uchida, Masayuki
1
Venardos, Emmanouil
1
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Institution
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
119
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
93
Ekonomiska forskningsinstitutet <Stockholm>
51
European University Institute / Department of Economics
33
Econometrisch Instituut <Rotterdam>
14
Umeå universitet
12
Springer Fachmedien Wiesbaden
10
Umeå Universitet / Institutionen för Nationalekonomi
8
University of Exeter / Department of Economics
8
University of Strathclyde / Department of Economics
8
Aarhus Universitet / Afdeling for Nationaløkonomi
7
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
7
Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften
7
London School of Economics and Political Science
7
Australian National University / Faculty of Economics and Commerce
6
Erasmus Research Institute of Management
6
European University Institute / Department of Law
6
Gottfried Wilhelm Leibniz Universität Hannover
6
Shakai-Keizai-Kenkyūsho <Osaka>
6
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
6
Center for Economic Research <Tilburg>
5
Centre for Quantitative Economics & Computing
5
Christian-Albrechts-Universität zu Kiel
5
Instituto Valenciano de Investigaciones Económicas
5
Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät
5
Social Systems Research Institute
5
University of British Columbia / Finance Division
5
University of Cambridge / Department of Applied Economics
5
University of Southampton / Department of Economics
5
Escola de Pós-Graduação em Economia <Rio de Janeiro>
4
Federal Reserve Bank of St. Louis
4
Institut für Höhere Studien
4
Københavns Universitet / Økonomisk Institut
4
Universität Basel / Institut für Statistik und Ökonometrie
4
Université de Montréal / Département de sciences économiques
4
Birkbeck College / Department of Economics
3
Bonn Graduate School of Economics
3
Centre for Economic Policy Research
3
Conference on Applied Probability and Time Series Analysis <1995, Athen>
3
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
24
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ECONIS (ZBW)
24
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1
Testing the martingale restriction for option implied densities
Busch, Thomas
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491622
Saved in:
2
Power variation and time change
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491700
Saved in:
3
Impact of jumps on returns and realised variances : econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491746
Saved in:
4
Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Lévy-processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002106417
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
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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