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institution:"Centre for Analytical Finance <Århus>"
subject:"Risiko"
~subject:"Cointegration"
~subject:"Monte Carlo simulation"
~type_genre:"Non-commercial literature"
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Risiko
Cointegration
Monte Carlo simulation
Theorie
66
Theory
66
Option pricing theory
13
Optionspreistheorie
13
Yield curve
11
Zinsstruktur
11
Estimation
7
Monte-Carlo-Simulation
7
Schätzung
7
Statistical test
7
Statistischer Test
7
Stochastic process
7
Stochastischer Prozess
7
Volatility
7
Volatilität
7
ARCH model
6
ARCH-Modell
6
Time series analysis
6
Zeitreihenanalyse
6
Estimation theory
5
Markov chain
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Markov-Kette
5
Schätztheorie
5
CAPM
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Option trading
4
Optionsgeschäft
4
Einheitswurzeltest
3
Hedging
3
Kleinste-Quadrate-Methode
3
Kointegration
3
Least squares method
3
Probability theory
3
Regression analysis
3
Regressionsanalyse
3
Unit root test
3
Wahrscheinlichkeitsrechnung
3
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Book / Working Paper
12
Type of publication (narrower categories)
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Non-commercial literature
Arbeitspapier
12
Graue Literatur
12
Working Paper
12
Language
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English
12
Author
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Nielsen, Morten Ørregaard
2
Schmidli, Hanspeter
2
Di Miscia, Orazio
1
Engsted, Tom
1
Grasselli, M.R.
1
Hurd, T.R.
1
Mikkelsen, Peter
1
Schmid, Wolfgang
1
Stentoft, Lars
1
Søndergaard Rasmussen, Nicki
1
Taulbjerg, Jes
1
Tzotchev, Dobromir
1
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Institution
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Centre for Analytical Finance <Århus>
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
37
European University Institute / Department of Economics
17
Ekonomiska forskningsinstitutet <Stockholm>
15
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
8
Aarhus Universitet / Afdeling for Nationaløkonomi
7
University of Exeter / Department of Economics
6
University of Southampton / Department of Economics
6
Australian National University / Faculty of Economics and Commerce
5
Georgetown University / Economics Department
5
National Bureau of Economic Research
5
National Institute of Economic and Social Research
5
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
5
University of Canterbury / Dept. of Economics and Finance
5
Chambre de commerce et d'industrie de Paris
4
European University Institute / Department of Law
4
Svenska Handelshögskolan <Helsinki>
4
Umeå universitet
4
Birkbeck College / Department of Economics
3
Brown University / Department of Economics
3
Center for Economic Research <Tilburg>
3
Federal Reserve Bank of New York
3
Foerder Institute for Economic Research <Tēl-Āvîv>
3
Gottfried Wilhelm Leibniz Universität Hannover
3
Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg>
3
Institute of Finance and Accounting <London>
3
Københavns Universitet / Økonomisk Institut
3
Leibniz-Institut für Wirtschaftsforschung Halle
3
Nationalekonomiska Institutionen <Lund>
3
Robert Schuman Centre for Advanced Studies
3
University of New England / Department of Econometrics
3
University of Strathclyde / Department of Economics
3
Universität Dortmund / Wirtschafts- und Sozialwissenschaftliche Fakultät
3
Australian National University / Research School of Pacific and Asian Studies / Economics Division
2
Bank für Internationalen Zahlungsausgleich
2
California Agricultural Experiment Station / Department of Agricultural and Resource Economics
2
Centre for Economic Policy Research
2
Centre for International Macroeconomics
2
Centro Studi Luca d'Agliano <Turin>
2
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
2
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
12
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ECONIS (ZBW)
12
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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
Cointegration and exponential-affine models of the term structure
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709212
Saved in:
5
Misspecification versus bubbles in hyperinflation data : comment
Engsted, Tom
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660135
Saved in:
6
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:
7
Improving the least-squares Monte-Carlo approach
Søndergaard Rasmussen, Nicki
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724269
Saved in:
8
Asymptotics of ruin probabilities for risk processes under optimal reinsurance policies : the large claim case
Schmidli, Hanspeter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724275
Saved in:
9
Asymptotics of ruin probabilities for risk processes under optimal reinsurance policies : the small claim case
Schmidli, Hanspeter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724276
Saved in:
10
A Monte Carlo method for exponential hedging of contingent claims
Grasselli, M.R.
(
contributor
);
Hurd, T.R.
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724279
Saved in:
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