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subject:"Kapitaleinkommen"
subject:"Risk"
~institution:"Centre for Analytical Finance <Århus>"
~subject:"Volatility"
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Kapitaleinkommen
Risk
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
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
Cointegration
3
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
11
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Arbeitspapier
11
Graue Literatur
11
Non-commercial literature
11
Working Paper
11
Language
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English
11
Author
All
Lunde, Asger
2
Schmidli, Hanspeter
2
Strunk Hansen, Charlotte
2
Barndorff-Nielsen, Ole E.
1
Christensen, Bent Jesper
1
Christiansen, Charlotte
1
Hansen, Peter Reinhard
1
Jensen, Morten Berg
1
Myhre Lildholt, Peter
1
Nicolato, Elisa
1
Shephard, Neil G.
1
Sørensen, Helle
1
Tuypens, Bjorn E.
1
Venardos, Emmanouil
1
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Institution
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
526
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
19
Ekonomiska forskningsinstitutet <Stockholm>
16
European University Institute / Department of Economics
15
Rodney L. White Center for Financial Research
15
Birkbeck College / Department of Economics
12
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
12
Institute of Finance and Accounting <London>
10
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
9
Edward Elgar Publishing
9
Svenska Handelshögskolan <Helsinki>
9
Federal Reserve System / Board of Governors
8
Federal Reserve System / Division of Research and Statistics
8
Internationaler Währungsfonds / Research Department
8
University of Exeter / Department of Economics
8
Chambre de commerce et d'industrie de Paris
7
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
7
The Wharton Financial Institutions Center
7
University of Chicago / Center for Research in Security Prices
7
Australian National University / Faculty of Economics and Commerce
6
Centre for Economic Policy Research
6
Erasmus Research Institute of Management
6
University of Dundee / Department of Economic Studies
6
Federal Reserve Bank of San Francisco
5
Georgetown University / Economics Department
5
Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg>
5
Instituto Valenciano de Investigaciones Económicas
5
International Center for Financial Asset Management and Engineering
5
International Monetary Fund
5
University of British Columbia / Finance Division
5
University of Southampton / Department of Economics
5
Brown University / Department of Economics
4
Center for Economic Research <Tilburg>
4
Centre for Quantitative Economics & Computing
4
European University Institute / Department of Law
4
Federal Reserve Bank of New York
4
Forschungsinstitut zur Zukunft der Arbeit
4
Massachusetts Institute of Technology / Department of Economics
4
Springer Fachmedien Wiesbaden
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
11
Source
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ECONIS (ZBW)
11
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1
Proxying for expected returns with price earnings ratios
Strunk Hansen, Charlotte
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491493
Saved in:
2
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:
3
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:
4
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:
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
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:
7
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:
8
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:
9
Simulated likelihood approximations for stochastic volatility models
Sørensen, Helle
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563848
Saved in:
10
The NIG-S&ARCH model : a fat tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
Jensen, Morten Berg
(
contributor
);
Lunde, Asger
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563855
Saved in:
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