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institution:"Københavns Universitet / Økonomisk Institut"
type_genre:"Non-commercial literature"
~institution:"Centre for Analytical Finance <Århus>"
~subject:"ARCH model"
~subject:"Stochastischer Prozess"
~type_genre:"Collection of articles of several authors"
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ARCH model
Stochastischer Prozess
Theorie
118
Theory
118
Option pricing theory
14
Optionspreistheorie
14
Yield curve
11
Zinsstruktur
11
Monte Carlo simulation
9
Monte-Carlo-Simulation
9
Estimation
8
Estimation theory
8
Schätztheorie
8
Schätzung
8
Stochastic process
8
Time series analysis
8
Volatility
8
Volatilität
8
Zeitreihenanalyse
8
Core
7
Incomplete market
7
Statistical test
7
Statistischer Test
7
Unvollkommener Markt
7
ARCH-Modell
6
CAPM
6
Cointegration
6
Kointegration
6
Game theory
5
Markov chain
5
Markov-Kette
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Spieltheorie
5
Adverse Selektion
4
Adverse selection
4
Allgemeines Gleichgewicht
4
General equilibrium
4
Option trading
4
Optionsgeschäft
4
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Type of publication
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Book / Working Paper
14
Type of publication (narrower categories)
All
Non-commercial literature
Collection of articles of several authors
Arbeitspapier
14
Graue Literatur
14
Working Paper
14
Language
All
English
14
Author
All
Barndorff-Nielsen, Ole E.
4
Shephard, Neil G.
3
Rahbek, Anders
2
Christiansen, Charlotte
1
Di Miscia, Orazio
1
Jensen, Morten Berg
1
Koulikov, Dmitri
1
Kristensen, Dennis
1
Levendorskij, Sergej Z.
1
Lunde, Asger
1
Myhre Lildholt, Peter
1
Nicolato, Elisa
1
Schenk-Hoppé, Klaus Reiner
1
Sørensen, Helle
1
Tolver Jensen, Søren
1
Venardos, Emmanouil
1
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Institution
All
Københavns Universitet / Økonomisk Institut
Centre for Analytical Finance <Århus>
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
52
Ekonomiska forskningsinstitutet <Stockholm>
7
Erasmus Research Institute of Management
5
European University Institute / Department of Economics
5
Shakai-Keizai-Kenkyūsho <Osaka>
5
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
4
Econometrisch Instituut <Rotterdam>
4
Aarhus Universitet / Afdeling for Nationaløkonomi
3
Australian National University / Faculty of Economics and Commerce
3
Judge Institute of Management Studies
3
Weierstraß-Institut für Angewandte Analysis und Stochastik
3
Bonn Graduate School of Economics
2
Center for Economic Research <Tilburg>
2
Centre for Economic Policy Research
2
Federal Reserve System / Division of Research and Statistics
2
HWWA-Institut für Wirtschaftsforschung
2
Institutionen för Skogsekonomi <Ume°a>
2
Instituto Valenciano de Investigaciones Económicas
2
Kansantaloustieteen Laitos <Helsinki>
2
National Institute of Economic and Social Research
2
School of Economics and Finance <Brisbane>
2
Social Systems Research Institute
2
University of British Columbia / Finance Division
2
University of Essex / Department of Economics
2
University of Exeter / Department of Economics
2
Universität Mannheim
2
Université de Montréal / Département de sciences économiques
2
Aarhus Universitet / Centre for Non-Linear Economic Modelling
1
Agricultural Land Markets - Efficiency and Regulation
1
Australian National University / Research School of Pacific and Asian Studies / Economics Division
1
Bachelier Finance Society
1
Banca d'Italia / Servizio Studi
1
Banca nazionale del lavoro / Ufficio scenari economici
1
Banca nazionale del lavoro / Ufficio studi
1
Brown University / Department of Economics
1
Centro Internazionale Matematico Estivo
1
Chambre de commerce et d'industrie de Paris
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Conference on Applied Probability and Time Series Analysis <1995, Athen>
1
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Published in...
All
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
13
Discussion papers / Department of Economics, University of Copenhagen
1
Source
All
ECONIS (ZBW)
14
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1
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:
2
Power variation and time change
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491700
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
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:
5
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:
6
Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, Dennis
(
contributor
);
Rahbek, Anders
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702284
Saved in:
7
Poverty traps and business cycles in a stochastic overlapping generations economy with S-shaped law of motion
Schenk-Hoppé, Klaus Reiner
(
contributor
)
-
2002
Persistent link: https://www.econbiz.de/10001705850
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
Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type
Nicolato, Elisa
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001663272
Saved in:
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