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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

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

PaperAccesses
Testing for Multiple Types of Marginal Investor in Ex-day Pricing
Jan Bartholdy and Kate Briown
14
Variable Bandwidth Kernel Hazard Estimators
Jens Perch Nielsen
12
Uncovered Interest Parity and Policy Behavior New Evidence.
Michael Christensen
9
Life Insurance Liabilities at Market Value.
Anders Grosen and Peter Løchte Jørgensen
9
Credit Spreads and the Term Structure of Interest Rates.
Charlotte Christiansen
8
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
8
An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002
Charlotte Christiansen, Tom Engsted, Svend Jakobsen and Carsten Tanggaard
8
Volatility-Spillover E ffects in European Bond Markets
Charlotte Christiansen
7
MCMC Based Estimation of Term Structure Models.
Peter Mikkelsen
7
OBJECTIVES AND THEORETICAL FOUNDATIONS OF THE EUROPEAN COMMISSION’S 1999 ACTION PLAN CONCERNING THE FRAMEWORK FOR FINANCIAL MARKETS
Morten Balling
7
Regime Switching in the Yield Curve
Charlotte Christiansen
7
The Pros and Cons of Butterfly Barbells
Michael Christensen
7
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods.
Oliver B. Linton, Jens Perch Nielsen and Sara Van de Geer
7
Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model
Malene Shin Jensen and Mikkel Svenstrup
7
Denmark - A chapter on the Danish Bond Market
Charlotte Christiansen, Tom Engsted, Svend Jakobsen and Carsten Tanggaard
7
Hedging with a Misspecified Model
Nicki Søndergaard Rasmussen
7
Global Polynomial Kernel Hazard Estimation.
Jens Perch Nielsen and Carsten Tanggaard
7
A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities.
Anders Grosen, Bjarke Jensen and Peter Løchte Jørgensen
7
Cross-Currency LIBOR Market Models.
Peter Mikkelsen
7

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

PaperDownloads
OBJECTIVES AND THEORETICAL FOUNDATIONS OF THE EUROPEAN COMMISSION’S 1999 ACTION PLAN CONCERNING THE FRAMEWORK FOR FINANCIAL MARKETS
Morten Balling
2
Estimating the Consumption-Capital Asset Pricing Model without Consumption Data: Evidence from Denmark
Anne-Sofie Reng Rasmussen
1
Mortgage Choice - The Danish Case
Mikkel Svenstrup
1
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
1

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

PaperDownloads
Variable Bandwidth Kernel Hazard Estimators
Jens Perch Nielsen
32
Credit Spreads and the Term Structure of Interest Rates.
Charlotte Christiansen
29
Testing for Multiple Types of Marginal Investor in Ex-day Pricing
Jan Bartholdy and Kate Briown
27
Life Insurance Liabilities at Market Value.
Anders Grosen and Peter Løchte Jørgensen
24
A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities.
Anders Grosen, Bjarke Jensen and Peter Løchte Jørgensen
21
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
20
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods.
Oliver B. Linton, Jens Perch Nielsen and Sara Van de Geer
19
Further Evidence on Hedge Funds Performance.
Claus Bang Christiansen, Peter Brink Madsen and Michael Christensen
19
An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002
Charlotte Christiansen, Tom Engsted, Svend Jakobsen and Carsten Tanggaard
19
Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.
Charlotte Christiansen and Charlotte Strunk Hansen
18
Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model
Malene Shin Jensen and Mikkel Svenstrup
18
Was the Honeymoon Effect Effective? An Analysis of the EMS Target Zone.
Allan Bødskov Andersen
18
Volatility-Spillover E ffects in European Bond Markets
Charlotte Christiansen
18
Co-integration and exponential-affine models of the term structure
Jes Taulbjerg
18
Super-Efficient Prediction Based on High-Quality Marker Information
Jens Perch Nielsen
18

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

PaperDownloads
OBJECTIVES AND THEORETICAL FOUNDATIONS OF THE EUROPEAN COMMISSION’S 1999 ACTION PLAN CONCERNING THE FRAMEWORK FOR FINANCIAL MARKETS
Morten Balling
2
Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
Mikkel Svenstrup
1
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
1
Errors in Trade Classification: Consequences and Remedies.
Carsten Tanggaard
1
Estimating the Consumption-Capital Asset Pricing Model without Consumption Data: Evidence from Denmark
Anne-Sofie Reng Rasmussen
1
Credit Spreads and the Term Structure of Interest Rates.
Charlotte Christiansen
1
Mortgage Choice - The Danish Case
Mikkel Svenstrup
1
On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions
Mikkel Svenstrup
1
Global Polynomial Kernel Hazard Estimation.
Jens Perch Nielsen and Carsten Tanggaard
1
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
1
On Finite Dimensional HJM Representations.
Peter Mikkelsen
1

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