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Department of Business Studies, Aarhus School of Business, University of Aarhus Finance Working Papers, Department of Business Studies, Aarhus School of Business, University of Aarhus

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The statistics for 2010-06, 2012-04 (half month), 2012-05 and 2012-06 have unfortunately been lost. We regret this.

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Papers at EBSLG

Number of papers at EBSLG

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Top 10 Papers by Abstract Accesses Last Month (2017-08)

PaperAccesses
Credit Spreads and the Term Structure of Interest Rates.
Charlotte Christiansen
13
Variable Bandwidth Kernel Hazard Estimators
Jens Perch Nielsen
11
Was the Honeymoon Effect Effective? An Analysis of the EMS Target Zone.
Allan Bødskov Andersen
9
Further Evidence on Hedge Funds Performance.
Claus Bang Christiansen, Peter Brink Madsen and Michael Christensen
9
Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.
Charlotte Christiansen and Charlotte Strunk Hansen
9
Life Insurance Liabilities at Market Value.
Anders Grosen and Peter Løchte Jørgensen
9
Testing for Multiple Types of Marginal Investor in Ex-day Pricing
Jan Bartholdy and Kate Briown
8
A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities.
Anders Grosen, Bjarke Jensen and Peter Løchte Jørgensen
8
Super-Efficient Prediction Based on High-Quality Marker Information
Jens Perch Nielsen
8
Volatility-Spillover E ffects in European Bond Markets
Charlotte Christiansen
7
An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002
Charlotte Christiansen, Tom Engsted, Svend Jakobsen and Carsten Tanggaard
7
Measuring Noise in the Permanent Income Hypothesis
Tom Engsted
7
Quantifying the "Peso Problem" Bias: A Switching Regime Approach.
Allan Bødskov Andersen
7
A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability
Klaus Belter, Tom Engsted and Carsten Tanggaard
7
Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
Mikkel Svenstrup
7
Multivariate Term Structure Models with Level and Heteroskedasticity Effects
Charlotte Christiansen
7
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods.
Oliver B. Linton, Jens Perch Nielsen and Sara Van de Geer
7
Improving the Least-Squares Monte-Carlo Approach
Nicki Søndergaard Rasmussen
7
Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach.
Tom Engsted, Enno Mammen and Carsten Tanggaard
7
Co-integration and exponential-affine models of the term structure
Jes Taulbjerg
7

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Top 10 Papers by File Downloads Last Month (2017-08)

PaperDownloads
Credit Spreads and the Term Structure of Interest Rates.
Charlotte Christiansen
1
On Finite Dimensional HJM Representations.
Peter Mikkelsen
1
Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
Mikkel Svenstrup
1
On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions
Mikkel Svenstrup
1

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Top 10 Papers by Abstract Accesses Last 3 Months (2017-06 - 2017-08)

PaperDownloads
Variable Bandwidth Kernel Hazard Estimators
Jens Perch Nielsen
33
Testing for Multiple Types of Marginal Investor in Ex-day Pricing
Jan Bartholdy and Kate Briown
33
Credit Spreads and the Term Structure of Interest Rates.
Charlotte Christiansen
25
Further Evidence on Hedge Funds Performance.
Claus Bang Christiansen, Peter Brink Madsen and Michael Christensen
24
A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability
Klaus Belter, Tom Engsted and Carsten Tanggaard
23
Denmark - A chapter on the Danish Bond Market
Charlotte Christiansen, Tom Engsted, Svend Jakobsen and Carsten Tanggaard
23
The Pros and Cons of Butterfly Barbells
Michael Christensen
21
Life Insurance Liabilities at Market Value.
Anders Grosen and Peter Løchte Jørgensen
21
Co-integration and exponential-affine models of the term structure
Jes Taulbjerg
20
Improving the Least-Squares Monte-Carlo Approach
Nicki Søndergaard Rasmussen
20
Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
Mikkel Svenstrup
20
Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.
Charlotte Christiansen and Charlotte Strunk Hansen
20
A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities.
Anders Grosen, Bjarke Jensen and Peter Løchte Jørgensen
20

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Top 10 Papers by File Downloads Last 3 Months (2017-06 - 2017-08)

PaperDownloads
Improving the Least-Squares Monte-Carlo Approach
Nicki Søndergaard Rasmussen
3
Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
Mikkel Svenstrup
2
Was the Honeymoon Effect Effective? An Analysis of the EMS Target Zone.
Allan Bødskov Andersen
1
Kernel Density Estimation of Actuarial Loss Functions.
Catalina Bolance, Montserrat Guillen and Jens Perch Nielsen
1
On Finite Dimensional HJM Representations.
Peter Mikkelsen
1
Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model
Malene Shin Jensen and Mikkel Svenstrup
1
Super-Efficient Prediction Based on High-Quality Marker Information
Jens Perch Nielsen
1
On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions
Mikkel Svenstrup
1
Credit Spreads and the Term Structure of Interest Rates.
Charlotte Christiansen
1
The comovement of US and UK stock markets.
Tom Engsted and Carsten Tanggaard
1

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