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~institution:"Centre for Analytical Finance <Århus>"
~subject:"Time series analysis"
~subject:"Volatilität"
~subject:"Yield curve"
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Time series analysis
Volatilität
Yield curve
Theorie
70
Theory
70
Option pricing theory
14
Optionspreistheorie
14
Zinsstruktur
11
Stochastic process
10
Stochastischer Prozess
10
Estimation
7
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Schätzung
7
Statistical test
7
Statistischer Test
7
Volatility
7
ARCH model
6
ARCH-Modell
6
Zeitreihenanalyse
6
Estimation theory
5
Markov chain
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Markov-Kette
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Schätztheorie
5
CAPM
4
Option trading
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Optionsgeschäft
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Cointegration
3
Einheitswurzeltest
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Hedging
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Kleinste-Quadrate-Methode
3
Kointegration
3
Least squares method
3
Probability theory
3
Regression analysis
3
Regressionsanalyse
3
Statistical distribution
3
Statistische Verteilung
3
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Book / Working Paper
23
Type of publication (narrower categories)
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Arbeitspapier
23
Graue Literatur
23
Non-commercial literature
23
Working Paper
23
Language
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English
23
Author
All
Mikkelsen, Peter
3
Taulbjerg, Jes
3
Christiansen, Charlotte
2
Di Miscia, Orazio
2
Myhre Lildholt, Peter
2
Barndorff-Nielsen, Ole E.
1
Busch, Thomas
1
Christensen, Bent Jesper
1
Daniels, Kenneth N.
1
Hansen, Peter Reinhard
1
Koulikov, Dmitri
1
Lunde, Asger
1
Nicolato, Elisa
1
Rahbek, Anders
1
Schmid, Wolfgang
1
Shephard, Neil G.
1
Shin Jensen, Malene
1
Strunk Hansen, Charlotte
1
Søndergaard Rasmussen, Nicki
1
Sørensen, Helle
1
Tolver Jensen, Søren
1
Tzotchev, Dobromir
1
Venardos, Emmanouil
1
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Institution
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
335
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
62
Ekonomiska forskningsinstitutet <Stockholm>
52
European University Institute / Department of Economics
39
University of Exeter / Department of Economics
12
Umeå universitet
11
Rodney L. White Center for Financial Research
10
Econometrisch Instituut <Rotterdam>
9
Birkbeck College / Department of Economics
8
Internationaler Währungsfonds / Research Department
8
Umeå Universitet / Institutionen för Nationalekonomi
8
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
7
Federal Reserve Bank of San Francisco
7
Institute of Finance and Accounting <London>
7
Springer Fachmedien Wiesbaden
7
Banque de France / Direction des Etudes Economiques et de la Recherche
6
Centre for Quantitative Economics & Computing
6
European University Institute / Department of Law
6
Federal Reserve Bank of New York
6
Gottfried Wilhelm Leibniz Universität Hannover
6
Institut für Weltwirtschaft
6
Instituto Valenciano de Investigaciones Económicas
6
International Monetary Fund
6
Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät
6
Svenska Handelshögskolan <Helsinki>
6
Australian National University / Faculty of Economics and Commerce
5
Christian-Albrechts-Universität zu Kiel
5
Erasmus Research Institute of Management
5
Federal Reserve System / Division of Research and Statistics
5
London School of Economics and Political Science
5
The Wharton Financial Institutions Center
5
University of Cambridge / Department of Applied Economics
5
University of Strathclyde / Department of Economics
5
World Bank
5
Centre for Economic Policy Research
4
Escola de Pós-Graduação em Economia <Rio de Janeiro>
4
Forschungsinstitut zur Zukunft der Arbeit
4
Institut für Höhere Studien
4
Sonderforschungsbereich 303 Information und die Koordination wirtschaftlicher Aktivitäten, Universität Bonn
4
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Published in...
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
23
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ECONIS (ZBW)
23
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1
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
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:
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
Regime switching in the yield curve
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702287
Saved in:
9
Sources of seasonal fractional integration in macroeconomic time series
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719173
Saved in:
10
Estimation of GARCH models based on open, close, high, and low prices
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719178
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