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~institution:"Centre for Analytical Finance <Århus>"
~subject:"Stochastic process"
~subject:"Time series analysis"
~subject:"Yield curve"
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Stochastic process
Time series analysis
Yield curve
Theorie
70
Theory
70
Option pricing theory
14
Optionspreistheorie
14
Zinsstruktur
11
Stochastischer Prozess
10
Estimation
7
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Schätzung
7
Statistical test
7
Statistischer Test
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Volatility
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Volatilität
7
ARCH model
6
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Maximum likelihood estimation
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Schätztheorie
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CAPM
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Option trading
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Optionsgeschäft
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Cointegration
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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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Regressionsanalyse
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Statistical distribution
3
Statistische Verteilung
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Book / Working Paper
26
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Arbeitspapier
23
Graue Literatur
23
Non-commercial literature
23
Working Paper
23
Language
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English
26
Author
All
Barndorff-Nielsen, Ole E.
6
Mikkelsen, Peter
3
Shephard, Neil G.
3
Taulbjerg, Jes
3
Christiansen, Charlotte
2
Di Miscia, Orazio
2
Busch, Thomas
1
Daniels, Kenneth N.
1
Koulikov, Dmitri
1
Levendorskij, Sergej Z.
1
Myhre Lildholt, Peter
1
Nicolato, Elisa
1
Rahbek, Anders
1
Schmid, Wolfgang
1
Shepard, Neil
1
Shin Jensen, Malene
1
Stelzer, Robert
1
Søndergaard Rasmussen, Nicki
1
Sørensen, Helle
1
Sørensen, Michael
1
Tolver Jensen, Søren
1
Tzotchev, Dobromir
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
200
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
93
Ekonomiska forskningsinstitutet <Stockholm>
49
European University Institute / Department of Economics
31
University of Exeter / Department of Economics
13
Econometrisch Instituut <Rotterdam>
12
Springer Fachmedien Wiesbaden
12
Umeå universitet
11
Erasmus Research Institute of Management
8
Australian National University / Faculty of Economics and Commerce
7
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
7
Umeå Universitet / Institutionen för Nationalekonomi
7
Aarhus Universitet / Afdeling for Nationaløkonomi
6
European University Institute / Department of Law
6
Gottfried Wilhelm Leibniz Universität Hannover
6
London School of Economics and Political Science
6
Banque de France / Direction des Etudes Economiques et de la Recherche
5
Centre for Quantitative Economics & Computing
5
Christian-Albrechts-Universität zu Kiel
5
Federal Reserve System / Division of Research and Statistics
5
Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät
5
Rodney L. White Center for Financial Research
5
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
5
University of Cambridge / Department of Applied Economics
5
University of Strathclyde / Department of Economics
5
Birkbeck College / Department of Economics
4
Center for Economic Research <Tilburg>
4
Centre for Economic Policy Research
4
Escola de Pós-Graduação em Economia <Rio de Janeiro>
4
Federal Reserve Bank of New York
4
Federal Reserve Bank of San Francisco
4
Institut für Höhere Studien
4
Institut für Weltwirtschaft
4
Instituto Valenciano de Investigaciones Económicas
4
Shakai-Keizai-Kenkyūsho <Osaka>
4
Studiecentrum voor Economisch en Sociaal Onderzoek / Vakgroep Macro-Economie
4
Universität Basel / Institut für Statistik und Ökonometrie
4
Weierstraß-Institut für Angewandte Analysis und Stochastik
4
Bonn Graduate School of Economics
3
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Published in...
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
26
Source
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ECONIS (ZBW)
26
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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:
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
Power variation and time change
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491700
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
Regime switching in the yield curve
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702287
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