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institution:"Centre for Analytical Finance <Århus>"
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Search: subject_exact:"Zinsstrukturmodell"
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Yield curve
13
Zinsstruktur
13
Theorie
11
Theory
11
Markov chain
3
Markov-Kette
3
Interest rate derivative
2
Monte Carlo simulation
2
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2
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2
Nonlinear regression
2
Option pricing theory
2
Optionspreistheorie
2
Statistical test
2
Statistischer Test
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Zinsderivat
2
1993-2002
1
Arbitrage
1
CAPM
1
Cointegration
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Credit derivative
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Credit rating
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Credit risk
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Denmark
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Dänemark
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Einheitswurzeltest
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Erwartungsbildung
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Estimation theory
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Expectation formation
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Financial economics
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Kapitalmarkttheorie
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Kointegration
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Kreditderivat
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Kreditrisiko
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Kreditwürdigkeit
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Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
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Rendite
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English
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Mikkelsen, Peter
3
Taulbjerg, Jes
3
Christiansen, Charlotte
2
Di Miscia, Orazio
2
Shin Jensen, Malene
2
Daniels, Kenneth N.
1
Schmid, Wolfgang
1
Svenstrup, Mikkel
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Tzotchev, Dobromir
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
273
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
13
Federal Reserve Bank of San Francisco
12
Ekonomiska forskningsinstitutet <Stockholm>
10
Federal Reserve Bank of St. Louis
8
International Monetary Fund
8
University of Exeter / Department of Economics
7
Banque de France / Direction des Etudes Economiques et de la Recherche
6
Federal Reserve Bank of Cleveland
5
Rodney L. White Center for Financial Research
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World Bank
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Banco Central do Brasil
4
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Springer Fachmedien Wiesbaden
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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Deutsche Forschungsgemeinschaft
3
Erasmus Research Institute of Management
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Europäische Zentralbank
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Innocenzo Gasparini Institute for Economic Research <Mailand>
3
International Center for Financial Asset Management and Engineering
3
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3
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3
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2
Bank of England / Economics Division
2
Center for Economic Analysis <Boulder, Colo.>
2
Center for Economic Research <Tilburg>
2
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
2
Escola de Pós-Graduação em Economia <Rio de Janeiro>
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Goethe-Universität Frankfurt am Main
2
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2
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
13
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ECONIS (ZBW)
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1
The effect of credit ratings on credit default swap spreads and credit spreads
Daniels, Kenneth N.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491575
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
Estimation of continuous-time interest rate models : a nonparametric approach
Di Miscia, Orazio
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002506978
Saved in:
4
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:
5
Efficient control variates and strategies for Bermudean swaptions in a Libor market model
Shin Jensen, Malene
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748910
Saved in:
6
An empirical study of the term structure of interest rates in Denmark, 1993 - 2002
Christiansen, Charlotte
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732981
Saved in:
7
Regime switching in the yield curve
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702287
Saved in:
8
Cointegration and exponential-affine models of the term structure
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709212
Saved in:
9
Conditional moment testing, term premia and affine term structural models
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709215
Saved in:
10
Estimating quadratic term structure models by non-linear filtering
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709219
Saved in:
11
MCMC based estimation of term structure models
Mikkelsen, Peter
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001607781
Saved in:
12
On finite dimensional HJM representations
Mikkelsen, Peter
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001607785
Saved in:
13
Cross-currency LIBOR market models
Mikkelsen, Peter
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563858
Saved in:
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