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~subject:"Zeitreihenanalyse"
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Zeitreihenanalyse
Theorie
69
Theory
69
Option pricing theory
29
Optionspreistheorie
29
Volatility
23
Volatilität
23
Stochastic process
21
Stochastischer Prozess
21
Yield curve
14
Zinsstruktur
14
Estimation theory
13
Schätztheorie
13
Time series analysis
13
Monte Carlo simulation
12
Monte-Carlo-Simulation
12
Option trading
12
Optionsgeschäft
12
Estimation
11
Schätzung
11
ARCH model
10
ARCH-Modell
10
Denmark
10
Dänemark
10
CAPM
8
Statistical test
8
Statistischer Test
8
Cointegration
7
Kointegration
7
Maximum likelihood estimation
7
Maximum-Likelihood-Schätzung
7
USA
7
United States
7
Markov chain
6
Markov-Kette
6
Kleinste-Quadrate-Methode
5
Least squares method
5
Probability theory
5
Statistical distribution
5
Statistische Verteilung
5
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Book / Working Paper
13
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Arbeitspapier
11
Graue Literatur
11
Non-commercial literature
11
Working Paper
11
Language
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English
13
Author
All
Koulikov, Dmitri
2
Myhre Lildholt, Peter
2
Ørregaard Nielsen, Morten
2
Bibby, Bo Martin
1
Brunetti, Celso
1
Busch, Thomas
1
Christensen, Bent Jesper
1
Christiansen, Charlotte
1
Hansen, Peter Reinhard
1
Jones, M. C.
1
Lunde, Asger
1
Nielsen, Jens Perch
1
Rahbek, Anders
1
Skovgaard, Ib Michael
1
Søndergaard Rasmussen, Nicki
1
Sørensen, Michael
1
Tanggaard, Carsten
1
Tolver Jensen, Søren
1
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Institution
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Centre for Analytical Finance <Århus>
13
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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)
13
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Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high-frequency options data
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599144
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2
A comparison of volatility models : does anything beat a GARCH(1,1)?
Hansen, Peter Reinhard
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563856
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3
Diffusion-type models with given marginal and autocorrelation function
Bibby, Bo Martin
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001748916
Saved in:
4
Sources of seasonal fractional integration in macroeconomic time series
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719173
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5
Time series modelling of daily log-price ranges for SF/USD and USD/GBP
Brunetti, Celso
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719176
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6
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:
7
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
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8
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:
9
Modeling sequences of long memory non-negative covariance stationary random variables
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001793903
Saved in:
10
Long memory ARCH models : specification and quasi-maximum likelihood estimation
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001851132
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