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subject:"Risiko"
institution:"Centre for Analytical Finance <Århus>"
~subject:"Time series analysis"
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Risiko
Time series analysis
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
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7
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Statistical test
7
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Volatility
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Volatilität
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ARCH model
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ARCH-Modell
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Zeitreihenanalyse
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Estimation theory
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Markov chain
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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CAPM
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Option trading
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Optionsgeschäft
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Cointegration
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Kointegration
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Least squares method
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Probability theory
3
Regression analysis
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3
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8
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8
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8
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8
Working Paper
8
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English
8
Author
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Schmidli, Hanspeter
2
Busch, Thomas
1
Christiansen, Charlotte
1
Koulikov, Dmitri
1
Myhre Lildholt, Peter
1
Rahbek, Anders
1
Søndergaard Rasmussen, Nicki
1
Tolver Jensen, Søren
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
269
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
52
Ekonomiska forskningsinstitutet <Stockholm>
50
European University Institute / Department of Economics
36
Umeå universitet
15
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
9
Australian National University / Faculty of Economics and Commerce
8
Econometrisch Instituut <Rotterdam>
8
University of Exeter / Department of Economics
8
University of Southampton / Department of Economics
8
Centre for Quantitative Economics & Computing
7
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
7
Edward Elgar Publishing
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European University Institute / Department of Law
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7
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6
Chambre de commerce et d'industrie de Paris
6
Federal Reserve System / Board of Governors
6
Gottfried Wilhelm Leibniz Universität Hannover
6
University of Dundee / Department of Economic Studies
6
Center for Economic Research <Tilburg>
5
Christian-Albrechts-Universität zu Kiel
5
Escola de Pós-Graduação em Economia <Rio de Janeiro>
5
London School of Economics and Political Science
5
University of Cambridge / Department of Applied Economics
5
University of Strathclyde / Department of Economics
5
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4
Forschungsinstitut zur Zukunft der Arbeit
4
Georgetown University / Economics Department
4
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4
Institute of Finance and Accounting <London>
4
Trinity College Dublin / Department of Economics
4
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Zentrum für Europäische Wirtschaftsforschung
4
Centre for Economic Policy Research
3
Federal Reserve Bank of New York
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
8
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ECONIS (ZBW)
8
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1
Testing the martingale restriction for option implied densities
Busch, Thomas
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491622
Saved in:
2
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:
3
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:
4
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:
5
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
6
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:
7
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:
8
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:
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