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subject:"Schätztheorie"
~subject:"Zeitreihenanalyse"
~subject:"Volatility"
~institution:"Centre for Analytical Finance <Århus>"
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Schätztheorie
Zeitreihenanalyse
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
Estimation theory
5
Markov chain
5
Markov-Kette
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
CAPM
4
Option trading
4
Optionsgeschäft
4
Cointegration
3
Einheitswurzeltest
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Hedging
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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
17
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Arbeitspapier
17
Graue Literatur
17
Non-commercial literature
17
Working Paper
17
Language
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English
17
Author
All
Myhre Lildholt, Peter
2
Sørensen, Helle
2
Barndorff-Nielsen, Ole E.
1
Busch, Thomas
1
Christensen, Bent Jesper
1
Christiansen, Charlotte
1
Hansen, Peter Reinhard
1
Koulikov, Dmitri
1
Lunde, Asger
1
Nicolato, Elisa
1
Nielsen, Jens Perch
1
Rahbek, Anders
1
Schmid, Wolfgang
1
Shephard, Neil G.
1
Stegenborg Larsen, Kristian
1
Strunk Hansen, Charlotte
1
Søndergaard Rasmussen, Nicki
1
Sørensen, Michael
1
Tanggaard, Carsten
1
Tolver Jensen, Søren
1
Tzotchev, Dobromir
1
Venardos, Emmanouil
1
Ørregaard Nielsen, Morten
1
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Institution
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
241
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
64
Ekonomiska forskningsinstitutet <Stockholm>
58
European University Institute / Department of Economics
49
Umeå universitet
23
University of New England / Department of Econometrics
18
Center for Economic Research <Tilburg>
17
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
14
Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät
13
Forschungsinstitut zur Zukunft der Arbeit
12
University of Exeter / Department of Economics
12
Universität Basel / Institut für Statistik und Ökonometrie
12
Birkbeck College / Department of Economics
10
Federal Reserve System / Division of Research and Statistics
10
Umeå Universitet / Institutionen för Nationalekonomi
10
Econometrisch Instituut <Rotterdam>
9
Rodney L. White Center for Financial Research
9
Centre for Quantitative Economics & Computing
8
Institut für Weltwirtschaft
8
Internationaler Währungsfonds / Research Department
8
Rutgers University / Department of Economics
8
Aarhus Universitet / Afdeling for Nationaløkonomi
7
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
7
Institut für Höhere Studien
7
University of Cambridge / Department of Applied Economics
7
Australian National University / Faculty of Economics and Commerce
6
Deutsche Forschungsgemeinschaft
6
European University Institute / Department of Law
6
Gottfried Wilhelm Leibniz Universität Hannover
6
Instituto Valenciano de Investigaciones Económicas
6
Svenska Handelshögskolan <Helsinki>
6
Universitetet i Oslo / Økonomisk institutt
6
University of Strathclyde / Department of Economics
6
Centre for Microdata Methods and Practice <London>
5
Christian-Albrechts-Universität zu Kiel
5
Institute of Finance and Accounting <London>
5
Johns Hopkins University / Department of Economics
5
Københavns Universitet / Økonomisk Institut
5
London School of Economics and Political Science
5
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
17
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ECONIS (ZBW)
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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
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
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
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:
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
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:
7
Diffusion models for exchange rates in a target zone
Stegenborg Larsen, Kristian
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001767507
Saved in:
8
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:
9
Parametric inference for diffusion processes observed at discrete points in time : a survey
Sørensen, Helle
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702316
Saved in:
10
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:
11
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:
12
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
13
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:
14
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:
15
New evidence on the implied-realized volatility relation
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001587518
Saved in:
16
Simulated likelihood approximations for stochastic volatility models
Sørensen, Helle
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563848
Saved in:
17
Boundary and bias correction in kernel hazard estimation
Nielsen, Jens Perch
(
contributor
); …
-
2000
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001543238
Saved in:
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