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institution:"Centre for Analytical Finance <Århus>"
subject:"Risiko"
~subject:"Cointegration"
~subject:"Monte Carlo simulation"
~subject:"Monte-Carlo-Simulation"
~subject:"Statistical test"
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Risiko
Cointegration
Monte Carlo simulation
Monte-Carlo-Simulation
Statistical test
Theorie
70
Theory
70
Option pricing theory
14
Optionspreistheorie
14
Yield curve
11
Zinsstruktur
11
Stochastic process
10
Stochastischer Prozess
10
Estimation
7
Schätzung
7
Statistischer Test
7
Volatility
7
Volatilität
7
ARCH model
6
ARCH-Modell
6
Time series analysis
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
Einheitswurzeltest
3
Hedging
3
Kleinste-Quadrate-Methode
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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Book / Working Paper
18
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Arbeitspapier
18
Graue Literatur
18
Non-commercial literature
18
Working Paper
18
Language
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English
18
Author
All
Hansen, Peter Reinhard
2
Lunde, Asger
2
Nielsen, Morten Ørregaard
2
Schmidli, Hanspeter
2
Taulbjerg, Jes
2
Barndorff-Nielsen, Ole E.
1
Di Miscia, Orazio
1
Engsted, Tom
1
Grasselli, M.R.
1
Hurd, T.R.
1
Jakubenas, Paulius
1
Mikkelsen, Peter
1
Schmid, Wolfgang
1
Shephard, Neil G.
1
Stentoft, Lars
1
Søndergaard Rasmussen, Nicki
1
Tzotchev, Dobromir
1
Ørregaard Nielsen, Morten
1
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Institution
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
233
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
52
Ekonomiska forskningsinstitutet <Stockholm>
20
European University Institute / Department of Economics
19
OECD
15
Center for Economic Research <Tilburg>
9
Edward Elgar Publishing
9
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
9
University of Exeter / Department of Economics
9
Aarhus Universitet / Afdeling for Nationaløkonomi
8
Organisation for Economic Co-operation and Development
8
University of Southampton / Department of Economics
8
Australian National University / Faculty of Economics and Commerce
7
Brown University / Department of Economics
7
Econometrisch Instituut <Rotterdam>
7
University of Dundee / Department of Economic Studies
7
Chambre de commerce et d'industrie de Paris
6
Columbia University / Department of Economics
6
Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften
5
European University Institute / Department of Law
5
Federal Reserve System / Board of Governors
5
Georgetown University / Economics Department
5
National Institute of Economic and Social Research
5
Umeå universitet
5
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
5
University of Canterbury / Dept. of Economics and Finance
5
Centre for Quantitative Economics & Computing
4
Forschungsinstitut zur Zukunft der Arbeit
4
Gottfried Wilhelm Leibniz Universität Hannover
4
Institute of Finance and Accounting <London>
4
Johns Hopkins University / Department of Economics
4
Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund>
4
State University of New York at Albany / Department of Economics
4
Svenska Handelshögskolan <Helsinki>
4
Trinity College Dublin / Department of Economics
4
University of California Davis / Department of Economics
4
University of Cambridge / Department of Applied Economics
4
Université de Montréal / Département de sciences économiques
4
Birkbeck College / Department of Economics
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
18
Source
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ECONIS (ZBW)
18
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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
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:
3
Power variation and time change
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491700
Saved in:
4
Nonparametric estimation of diffusion process : a closer look
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002506769
Saved in:
5
Efficient inference in multivariate fractionally integrated time series models
Ørregaard Nielsen, Morten
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001922185
Saved in:
6
Testing the significance of calendar effects
Hansen, Peter Reinhard
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732977
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
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:
9
Anyway, can we price European options with Lévy processes?
Jakubenas, Paulius
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702320
Saved in:
10
Improving the least-squares Monte-Carlo approach
Søndergaard Rasmussen, Nicki
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724269
Saved in:
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