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An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses

Christensen, Bent Jesper; Wel, Michael van der - 2010

Persistent link: https://www.econbiz.de/10003947812

The effect of long memory in volatility on stock market fluctuations

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: The review of economics and statistics 89 (2007) 4, pp. 684-700

Persistent link: https://www.econbiz.de/10003567153

The effect of long memory in volatility on stock market fluctuations

Christensen, Bent Jesper (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003221231

Latent utility shocks in a structural empirical asset pricing model

Christensen, Bent Jesper (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002481916

Latent utility shocks in a structural empirical asset pricing model

Christensen, Bent Jesper (contributor); … - 2004 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10002507048

Management and employee compensation policy, and matched data on private firms : a no arbitrage asset pricing approach to on-the-job search and the wage distribution

Christensen, Bent Jesper (contributor) - 2001 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001622243

An Asset Pricing Approach to Testing General Term Structure Models

Christensen, Bent Jesper - 2018

We develop a new empirical approach to term structure analysis that allows testing for time-varying risk premiums and arbitrage opportunities in models with both unobservable factors and factors identified as the innovations to observed macroeconomic variables. Factors may play double roles as...

Persistent link: https://www.econbiz.de/10012940646

Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market

Asmussen, Søren; Christensen, Bent Jesper; Thøgersen, … - In: Insurance / Mathematics & economics 87 (2019), pp. 92-100

Persistent link: https://www.econbiz.de/10012058923

An asset pricing approach to testing general term structure models

Christensen, Bent Jesper; Wel, Michel van der - In: Journal of financial economics 134 (2019) 1, pp. 165-191

Persistent link: https://www.econbiz.de/10012166772