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institution:"Centre for Analytical Finance <Århus>"
subject:"Risiko"
~source:"econis"
~subject:"Regression analysis"
~subject:"Stochastischer Prozess"
~subject:"Volatilität"
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Risiko
Regression analysis
Stochastischer Prozess
Volatilität
Theorie
70
Theory
70
Option pricing theory
14
Optionspreistheorie
14
Yield curve
11
Zinsstruktur
11
Stochastic process
10
Estimation
7
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Schätzung
7
Statistical test
7
Statistischer Test
7
Volatility
7
ARCH model
6
ARCH-Modell
6
Time series analysis
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Zeitreihenanalyse
6
Estimation theory
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Markov chain
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Markov-Kette
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Option trading
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Optionsgeschäft
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Probability theory
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Book / Working Paper
19
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Arbeitspapier
16
Graue Literatur
16
Non-commercial literature
16
Working Paper
16
Language
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English
19
Author
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Barndorff-Nielsen, Ole E.
7
Shephard, Neil G.
3
Schmidli, Hanspeter
2
Shepard, Neil
2
Strunk Hansen, Charlotte
2
Christensen, Bent Jesper
1
Christiansen, Charlotte
1
Di Miscia, Orazio
1
Hansen, Peter Reinhard
1
Levendorskij, Sergej Z.
1
Lunde, Asger
1
Myhre Lildholt, Peter
1
Nicolato, Elisa
1
Nielsen, Morten Ørregaard
1
Stelzer, Robert
1
Sørensen, Helle
1
Sørensen, Michael
1
Tuypens, Bjorn E.
1
Uchida, Masayuki
1
Venardos, Emmanouil
1
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Institution
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
424
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
75
Ekonomiska forskningsinstitutet <Stockholm>
18
European University Institute / Department of Economics
15
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
15
Springer Fachmedien Wiesbaden
13
Edward Elgar Publishing
9
Federal Reserve System / Division of Research and Statistics
9
Institute of Finance and Accounting <London>
9
University of Exeter / Department of Economics
9
Australian National University / Faculty of Economics and Commerce
8
Birkbeck College / Department of Economics
8
Center for Economic Research <Tilburg>
7
Chambre de commerce et d'industrie de Paris
7
Erasmus Research Institute of Management
7
Internationaler Währungsfonds / Research Department
7
Massachusetts Institute of Technology / Department of Economics
7
Rodney L. White Center for Financial Research
7
Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund>
7
Svenska Handelshögskolan <Helsinki>
7
University of Southampton / Department of Economics
7
Centre for Economic Policy Research
6
Federal Reserve System / Board of Governors
6
Forschungsinstitut zur Zukunft der Arbeit
6
Instituto Valenciano de Investigaciones Económicas
6
University of Dundee / Department of Economic Studies
6
Aarhus Universitet / Afdeling for Nationaløkonomi
5
Brown University / Department of Economics
5
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
5
Econometrisch Instituut <Rotterdam>
5
Georgetown University / Economics Department
5
Judge Institute of Management Studies
5
Umeå Universitet / Institutionen för Nationalekonomi
5
Bonn Graduate School of Economics
4
Centre for Quantitative Economics & Computing
4
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
4
Christian-Albrechts-Universität zu Kiel
4
Deutsche Forschungsgemeinschaft
4
European University Institute / Department of Law
4
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Published in...
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
19
Source
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ECONIS (ZBW)
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1
Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Lévy-processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002106417
Saved in:
2
Term structure of interest models : concept and estimation problem in a continuous-time setting
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002507013
Saved in:
3
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:
4
Proxying for expected returns with price earnings ratios
Strunk Hansen, Charlotte
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491493
Saved in:
5
Power variation and time change
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491700
Saved in:
6
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:
7
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:
8
Small diffusion asymptotics for discretely sampled stochastic differential equations
Sørensen, Michael
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660122
Saved in:
9
Econometric analysis of realised covariation : high frequency covariance, regression and correlation in financial economics
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001686826
Saved in:
10
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:
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