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Optimal control of investment, premium and deductible for a non-life insurance company
Christensen, Bent Jesper; Parra-Alvarez, Juan Carlos; … - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 384-405
Persistent link: https://www.econbiz.de/10012793933
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Optimal control of investment, premium and deductible for a non-life insurance company
Christensen, Bent Jesper; Parra-Alvarez, Juan Carlos; … - 2020
Persistent link: https://www.econbiz.de/10012318220
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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas (contributor);  … - 2008
We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices. Realized volatility is separated into its continuous and jump components, and the...
Persistent link: https://www.econbiz.de/10003762693
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Optimal inference in dynamic models with conditional moment restrictions
Christensen, Bent Jesper (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003774664
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Market power markets : evidence from forward prices of electricity
Christensen, Bent Jesper (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003774698
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Semiparametric inference in a GARCH-in-Mean model
Christensen, Bent Jesper (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003774701
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The exact likelihood function for an empirical job search model
Christensen, Bent Jesper; Kiefer, Nicholas Maximilian - 1990
Persistent link: https://www.econbiz.de/10000786806
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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: Journal of econometrics 133 (2006) 1, pp. 343-371
Persistent link: https://www.econbiz.de/10003354581
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The information content of treasury bond options concerning future volatility and price jumps
Busch, Thomas (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003286582
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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003341264