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subject:"Time series analysis"
~institution:"Centre for Analytical Finance <Århus>"
~subject:"Kleinste-Quadrate-Methode"
~subject:"Volatility"
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Time series analysis
Kleinste-Quadrate-Methode
Volatility
Theorie
70
Theory
70
Option pricing theory
14
Optionspreistheorie
14
Yield curve
11
Zinsstruktur
11
Stochastic process
10
Stochastischer Prozess
10
Estimation
7
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Schätzung
7
Statistical test
7
Statistischer Test
7
Volatilität
7
ARCH model
6
ARCH-Modell
6
Zeitreihenanalyse
6
Estimation theory
5
Markov chain
5
Markov-Kette
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Schätztheorie
5
CAPM
4
Option trading
4
Optionsgeschäft
4
Cointegration
3
Einheitswurzeltest
3
Hedging
3
Kointegration
3
Least squares method
3
Probability theory
3
Regression analysis
3
Regressionsanalyse
3
Statistical distribution
3
Statistische Verteilung
3
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Type of publication
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Book / Working Paper
15
Type of publication (narrower categories)
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Arbeitspapier
15
Graue Literatur
15
Non-commercial literature
15
Working Paper
15
Language
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English
15
Author
All
Myhre Lildholt, Peter
2
Søndergaard Rasmussen, Nicki
2
Barndorff-Nielsen, Ole E.
1
Busch, Thomas
1
Christensen, Bent Jesper
1
Christiansen, Charlotte
1
Hansen, Peter Reinhard
1
Koulikov, Dmitri
1
Lunde, Asger
1
Nicolato, Elisa
1
Nielsen, Morten Ørregaard
1
Rahbek, Anders
1
Shephard, Neil G.
1
Stentoft, Lars
1
Strunk Hansen, Charlotte
1
Sørensen, Helle
1
Tolver Jensen, Søren
1
Venardos, Emmanouil
1
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Institution
All
Centre for Analytical Finance <Århus>
National Bureau of Economic Research
241
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
54
Ekonomiska forskningsinstitutet <Stockholm>
46
European University Institute / Department of Economics
40
Umeå universitet
11
Econometrisch Instituut <Rotterdam>
9
Birkbeck College / Department of Economics
8
Umeå Universitet / Institutionen för Nationalekonomi
8
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
7
Internationaler Währungsfonds / Research Department
7
Rodney L. White Center for Financial Research
7
Centre for Quantitative Economics & Computing
6
European University Institute / Department of Law
6
Gottfried Wilhelm Leibniz Universität Hannover
6
Instituto Valenciano de Investigaciones Económicas
6
Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät
6
Svenska Handelshögskolan <Helsinki>
6
University of Exeter / Department of Economics
6
Center for Economic Research <Tilburg>
5
Christian-Albrechts-Universität zu Kiel
5
Institut für Weltwirtschaft
5
Institute of Finance and Accounting <London>
5
London School of Economics and Political Science
5
University of Cambridge / Department of Applied Economics
5
University of Strathclyde / Department of Economics
5
Australian National University / Faculty of Economics and Commerce
4
Escola de Pós-Graduação em Economia <Rio de Janeiro>
4
Federal Reserve Bank of New York
4
Forschungsinstitut zur Zukunft der Arbeit
4
Institut für Höhere Studien
4
Sonderforschungsbereich 303 Information und die Koordination wirtschaftlicher Aktivitäten, Universität Bonn
4
Springer Fachmedien Wiesbaden
4
Studiecentrum voor Economisch en Sociaal Onderzoek / Vakgroep Macro-Economie
4
The Wharton Financial Institutions Center
4
University of Southampton / Department of Economics
4
Universität Basel / Institut für Statistik und Ökonometrie
4
Aarhus Universitet / Afdeling for Nationaløkonomi
3
Centre for Economic Policy Research
3
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
3
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Published in...
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
15
Source
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ECONIS (ZBW)
15
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1
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:
2
Testing the martingale restriction for option implied densities
Busch, Thomas
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491622
Saved in:
3
Impact of jumps on returns and realised variances : econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491746
Saved in:
4
Consistent preordering with an estimated criterion function, with an application to evaluation and comparison of volatility models
Hansen, Peter Reinhard
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732980
Saved in:
5
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:
6
Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
Saved in:
7
Sources of seasonal fractional integration in macroeconomic time series
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719173
Saved in:
8
Estimation of GARCH models based on open, close, high, and low prices
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719178
Saved in:
9
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
10
Finite difference computation of state-prices in termstructure models : with applications to calibration and MBS analysis
Søndergaard Rasmussen, Nicki
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724266
Saved in:
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