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institution:"Centre for Analytical Finance <Århus>"
subject:"Risiko"
~institution:"Unité Mixte de Recherche Théorie Economique, Modélisation et Applications"
~subject:"Cointegration"
~subject:"Monte Carlo simulation"
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Risiko
Cointegration
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Theorie
134
Theory
134
Option pricing theory
14
Optionspreistheorie
14
Yield curve
13
Zinsstruktur
13
Stochastic process
12
Stochastischer Prozess
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Monte-Carlo-Simulation
11
Asymmetric information
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Asymmetrische Information
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Estimation theory
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Time series analysis
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Maximum likelihood estimation
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English
17
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Lardic, Sandrine
4
Mignon, Valérie
4
Nielsen, Morten Ørregaard
2
Schmidli, Hanspeter
2
Di Miscia, Orazio
1
Dubois, Emmanuel
1
Engsted, Tom
1
Grasselli, M.R.
1
Hong, Han
1
Hurd, T.R.
1
Mikkelsen, Peter
1
Murtin, Fabrice
1
Scaillet, Olivier
1
Schmid, Wolfgang
1
Stentoft, Lars
1
Søndergaard Rasmussen, Nicki
1
Tamer, Elie T.
1
Taulbjerg, Jes
1
Tzotchev, Dobromir
1
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Centre for Analytical Finance <Århus>
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
National Bureau of Economic Research
219
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
37
Ekonomiska forskningsinstitutet <Stockholm>
19
European University Institute / Department of Economics
19
Edward Elgar Publishing
9
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
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University of Exeter / Department of Economics
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Aarhus Universitet / Afdeling for Nationaløkonomi
7
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University of Dundee / Department of Economic Studies
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Chambre de commerce et d'industrie de Paris
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University of Southampton / Department of Economics
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National Institute of Economic and Social Research
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Umeå universitet
5
University of Canterbury / Dept. of Economics and Finance
5
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4
European University Institute / Department of Law
4
State University of New York at Albany / Department of Economics
4
Svenska Handelshögskolan <Helsinki>
4
Birkbeck College / Department of Economics
3
Brown University / Department of Economics
3
Center for Economic Research <Tilburg>
3
Centre for Quantitative Economics & Computing
3
Federal Reserve Bank of New York
3
Federal Reserve System / Division of Research and Statistics
3
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
12
Documents de travail / THEMA
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ECONIS (ZBW)
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1
Nonparametric estimation of diffusion process : a closer look
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002506769
Saved in:
2
Semiparametric estimation in time series regressioon with long range dependence
Nielsen, Morten Ørregaard
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491368
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
The exact maximum likelihood estimation of ARFIMA processes and model selection criteria : a Monte Carlo study
Lardic, Sandrine
(
contributor
);
Mignon, Valérie
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001760400
Saved in:
5
Frequeny-domain estimation of fractionally integrated processes : impact of short-term components on the bandwidth choice
Lardic, Sandrine
(
contributor
);
Mignon, Valérie
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001760407
Saved in:
6
The exact maximum likelihood-based test for fractional cointegration : critical values, power and size /Emmanuel Dubois; Sandrine Lardic; Valérie Mignon
Dubois, Emmanuel
(
contributor
);
Lardic, Sandrine
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001906795
Saved in:
7
Cointegration and exponential-affine models of the term structure
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709212
Saved in:
8
Misspecification versus bubbles in hyperinflation data : comment
Engsted, Tom
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660135
Saved in:
9
Optimal residual based tests for fractional cointegration and exchange rate dynamics
Nielsen, Morten Ørregaard
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702310
Saved in:
10
Fractional cointegration and term structure of interest rates
Lardic, Sandrine
(
contributor
);
Mignon, Valérie
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001724127
Saved in:
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