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~institution:"Centre for Analytical Finance <Århus>"
~subject:"Time series analysis"
~subject:"Yield curve"
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Time series analysis
Yield curve
Theorie
70
Theory
70
Option pricing theory
14
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14
Zinsstruktur
11
Stochastic process
10
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Working Paper
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English
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Author
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Mikkelsen, Peter
3
Taulbjerg, Jes
3
Christiansen, Charlotte
2
Di Miscia, Orazio
2
Busch, Thomas
1
Daniels, Kenneth N.
1
Koulikov, Dmitri
1
Myhre Lildholt, Peter
1
Rahbek, Anders
1
Schmid, Wolfgang
1
Shin Jensen, Malene
1
Søndergaard Rasmussen, Nicki
1
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Tzotchev, Dobromir
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
163
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
54
Ekonomiska forskningsinstitutet <Stockholm>
49
European University Institute / Department of Economics
31
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11
University of Exeter / Department of Economics
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Econometrisch Instituut <Rotterdam>
8
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Banque de France / Direction des Etudes Economiques et de la Recherche
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London School of Economics and Political Science
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Springer Fachmedien Wiesbaden
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University of Strathclyde / Department of Economics
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
17
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ECONIS (ZBW)
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Cointegration and exponential-affine models of the term structure
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709212
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2
Conditional moment testing, term premia and affine term structural models
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709215
Saved in:
3
Estimating quadratic term structure models by non-linear filtering
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709219
Saved in:
4
Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
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5
MCMC based estimation of term structure models
Mikkelsen, Peter
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001607781
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6
On finite dimensional HJM representations
Mikkelsen, Peter
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001607785
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7
Regime switching in the yield curve
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702287
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8
Cross-currency LIBOR market models
Mikkelsen, Peter
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563858
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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
Sources of seasonal fractional integration in macroeconomic time series
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719173
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