European Business Schools Librarian's Group

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

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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 EBLSG

The raw data

Top papers by Abstract Accesses last month (2024-12)

PaperAccesses
On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions
Mikkel Svenstrup
17
Multivariate Term Structure Models with Level and Heteroskedasticity Effects
Charlotte Christiansen
17
Was the Honeymoon Effect Effective? An Analysis of the EMS Target Zone.
Allan Bødskov Andersen
16
Denmark - A chapter on the Danish Bond Market
Charlotte Christiansen, Tom Engsted, Svend Jakobsen, Carsten Tanggaard
16
A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability
Klaus Belter, Tom Engsted, Carsten Tanggaard
15
Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
Mikkel Svenstrup
14
Kernel Density Estimation of Actuarial Loss Functions.
Catalina Bolance, Montserrat Guillen, Jens Perch Nielsen
14
An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002
Charlotte Christiansen, Tom Engsted, Svend Jakobsen, Carsten Tanggaard
14
Long Maturity Forward Rates.
Charlotte Christiansen
14
Volatility-Spillover E ffects in European Bond Markets
Charlotte Christiansen
13
Conditional moment testing, term premia and affine term structure models
Jes Taulbjerg
13
Errors in Trade Classification: Consequences and Remedies.
Carsten Tanggaard
13
Local Linear Density Estimation for Filtered Survival Data, with Bias Correction
Jens Perch Nielsen, Carsten Tanggaard, M. C. Jones
13
Estimating the Consumption-Capital Asset Pricing Model without Consumption Data: Evidence from Denmark
Anne-Sofie Reng Rasmussen
13
On Finite Dimensional HJM Representations.
Peter Mikkelsen
13
Long-Run Forecasting in Multicointegrated Systems
Boriss Siliverstovs, Tom Engsted, Niels Haldrup
13
Credit Spreads and the Term Structure of Interest Rates.
Charlotte Christiansen
13
Life Insurance Liabilities at Market Value.
Anders Grosen, Peter Løchte Jørgensen
13
Boundary and Bias Correction in Kernel Hazard Estimation
Jens Perch Nielsen, Carsten Tanggaard
13

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Top papers by Downloads last month (2024-12)

PaperDownloads
Measuring Noise in the Permanent Income Hypothesis
Tom Engsted
1
The comovement of US and UK stock markets.
Tom Engsted, Carsten Tanggaard
1
The Educational Asset Market: A Finance Perspective on Human Capital Investment
Charlotte Christiansen, Helena Skyt Nielsen
1
Regime Switching in the Yield Curve
Charlotte Christiansen
1
Efficient Control Variates for Monte-Carlo Valuation of American Options
Nicki Søndergaard Rasmussen
1
Variable Bandwidth Kernel Hazard Estimators
Jens Perch Nielsen
1
Evaluating Danish Mutual Fund Performance
Michael Christensen
1
Estimating the Consumption-Capital Asset Pricing Model without Consumption Data: Evidence from Denmark
Anne-Sofie Reng Rasmussen
1
A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability
Klaus Belter, Tom Engsted, Carsten Tanggaard
1
Local Linear Density Estimation for Filtered Survival Data, with Bias Correction
Jens Perch Nielsen, Carsten Tanggaard, M. C. Jones
1
Testing for Multiple Types of Marginal Investor in Ex-day Pricing
Jan Bartholdy, Kate Briown
1
Exchange Rate Dynamics in a General Equilibrium Model with Decreasing Returns to Labor.
Allan Bødskov Andersen
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
Volatility-Spillover E ffects in European Bond Markets
Charlotte Christiansen
1
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods.
Oliver B. Linton, Jens Perch Nielsen, Sara Van de Geer
1
The Pros and Cons of Butterfly Barbells
Michael Christensen
1
Was the Honeymoon Effect Effective? An Analysis of the EMS Target Zone.
Allan Bødskov Andersen
1
MCMC Based Estimation of Term Structure Models.
Peter Mikkelsen
1
Bootstrap Inference in Semiparametric Generalized Additive Models.
Wolfgang Härdle, Sylvie Huet, Enno Mammen, Stefan Sperlich
1
Kernel Density Estimation of Actuarial Loss Functions.
Catalina Bolance, Montserrat Guillen, Jens Perch Nielsen
1
Errors in Trade Classification: Consequences and Remedies.
Carsten Tanggaard
1
Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model
Malene Shin Jensen, Mikkel Svenstrup
1
Finite Difference Computation of State-Prices in Term Structure Models: with Applications to Calibration and MBS Analysis
Nicki Søndergaard Rasmussen
1
Long Maturity Forward Rates.
Charlotte Christiansen
1
Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach.
Tom Engsted, Enno Mammen, Carsten Tanggaard
1
Credit Spreads and the Term Structure of Interest Rates.
Charlotte Christiansen
1
Mortgage Choice - The Danish Case
Mikkel Svenstrup
1
Improving the Least-Squares Monte-Carlo Approach
Nicki Søndergaard Rasmussen
1
A New Test for Speculative Bubbles Based on Return Variance Decompositions.
Tom Engsted, Carsten Tanggaard
1
Longevity Studies Based on Kernel Hazard Estimation.
Angie Felipe, Montserrat Guillen, Jens Perch Nielsen
1
Boundary and Bias Correction in Kernel Hazard Estimation
Jens Perch Nielsen, Carsten Tanggaard
1
Hedging with a Misspecified Model
Nicki Søndergaard Rasmussen
1
Life Insurance Liabilities at Market Value.
Anders Grosen, Peter Løchte Jørgensen
1
Quantifying the "Peso Problem" Bias: A Switching Regime Approach.
Allan Bødskov Andersen
1
An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002
Charlotte Christiansen, Tom Engsted, Svend Jakobsen, Carsten Tanggaard
1
On Finite Dimensional HJM Representations.
Peter Mikkelsen
1
Speculative bubbles in stock prices? Tests based on the price-dividend ratio.
Tom Engsted, Carsten Tanggaard
1
Estimating intractable non-linear term structure models
Peter Mikkelsen
1
Revisiting the shape of the yield curve: the effect of interest rate volatility.
Charlotte Christiansen, Jesper Lund
1
Multivariate Term Structure Models with Level and Heteroskedasticity Effects
Charlotte Christiansen
1
Long-Run Forecasting in Multicointegrated Systems
Boriss Siliverstovs, Tom Engsted, Niels Haldrup
1
A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities.
Anders Grosen, Bjarke Jensen, Peter Løchte Jørgensen
1
Misspecification versus bubbles in hyperinflation data: Comment.
Tom Engsted
1
Cross-Currency LIBOR Market Models.
Peter Mikkelsen
1
OBJECTIVES AND THEORETICAL FOUNDATIONS OF THE EUROPEAN COMMISSION’S 1999 ACTION PLAN CONCERNING THE FRAMEWORK FOR FINANCIAL MARKETS
Morten Balling
1
Global Polynomial Kernel Hazard Estimation.
Jens Perch Nielsen, Carsten Tanggaard
1

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Top papers by Abstract Accesses last 3 months (2024-10 to 2024-12)

PaperAccesses
On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions
Mikkel Svenstrup
49
Multivariate Term Structure Models with Level and Heteroskedasticity Effects
Charlotte Christiansen
42
Was the Honeymoon Effect Effective? An Analysis of the EMS Target Zone.
Allan Bødskov Andersen
41
Denmark - A chapter on the Danish Bond Market
Charlotte Christiansen, Tom Engsted, Svend Jakobsen, Carsten Tanggaard
40
Quantifying the "Peso Problem" Bias: A Switching Regime Approach.
Allan Bødskov Andersen
40
Credit Spreads and the Term Structure of Interest Rates.
Charlotte Christiansen
40
Hedging with a Misspecified Model
Nicki Søndergaard Rasmussen
39
Volatility-Spillover E ffects in European Bond Markets
Charlotte Christiansen
37
Conditional moment testing, term premia and affine term structure models
Jes Taulbjerg
36
Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.
Charlotte Christiansen, Charlotte Strunk Hansen
36
MCMC Based Estimation of Term Structure Models.
Peter Mikkelsen
36
Errors in Trade Classification: Consequences and Remedies.
Carsten Tanggaard
36
Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
Mikkel Svenstrup
36
Evaluating Danish Mutual Fund Performance
Michael Christensen
36
A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability
Klaus Belter, Tom Engsted, Carsten Tanggaard
36
Boundary and Bias Correction in Kernel Hazard Estimation
Jens Perch Nielsen, Carsten Tanggaard
36

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Top papers by Downloads last 3 months (2024-10 to 2024-12)

PaperDownloads
Mortgage Choice - The Danish Case
Mikkel Svenstrup
3
Local Linear Density Estimation for Filtered Survival Data, with Bias Correction
Jens Perch Nielsen, Carsten Tanggaard, M. C. Jones
2
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods.
Oliver B. Linton, Jens Perch Nielsen, Sara Van de Geer
1
Volatility-Spillover E ffects in European Bond Markets
Charlotte Christiansen
1
On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions
Mikkel Svenstrup
1
Exchange Rate Dynamics in a General Equilibrium Model with Decreasing Returns to Labor.
Allan Bødskov Andersen
1
Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
Mikkel Svenstrup
1
Errors in Trade Classification: Consequences and Remedies.
Carsten Tanggaard
1
Kernel Density Estimation of Actuarial Loss Functions.
Catalina Bolance, Montserrat Guillen, Jens Perch Nielsen
1
Bootstrap Inference in Semiparametric Generalized Additive Models.
Wolfgang Härdle, Sylvie Huet, Enno Mammen, Stefan Sperlich
1
MCMC Based Estimation of Term Structure Models.
Peter Mikkelsen
1
Was the Honeymoon Effect Effective? An Analysis of the EMS Target Zone.
Allan Bødskov Andersen
1
The Pros and Cons of Butterfly Barbells
Michael Christensen
1
Efficient Control Variates for Monte-Carlo Valuation of American Options
Nicki Søndergaard Rasmussen
1
Regime Switching in the Yield Curve
Charlotte Christiansen
1
The comovement of US and UK stock markets.
Tom Engsted, Carsten Tanggaard
1
Measuring Noise in the Permanent Income Hypothesis
Tom Engsted
1
The Educational Asset Market: A Finance Perspective on Human Capital Investment
Charlotte Christiansen, Helena Skyt Nielsen
1
Testing for Multiple Types of Marginal Investor in Ex-day Pricing
Jan Bartholdy, Kate Briown
1
A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability
Klaus Belter, Tom Engsted, Carsten Tanggaard
1
Evaluating Danish Mutual Fund Performance
Michael Christensen
1
Estimating the Consumption-Capital Asset Pricing Model without Consumption Data: Evidence from Denmark
Anne-Sofie Reng Rasmussen
1
Variable Bandwidth Kernel Hazard Estimators
Jens Perch Nielsen
1
A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities.
Anders Grosen, Bjarke Jensen, Peter Løchte Jørgensen
1
Long-Run Forecasting in Multicointegrated Systems
Boriss Siliverstovs, Tom Engsted, Niels Haldrup
1
Multivariate Term Structure Models with Level and Heteroskedasticity Effects
Charlotte Christiansen
1
Speculative bubbles in stock prices? Tests based on the price-dividend ratio.
Tom Engsted, Carsten Tanggaard
1
On Finite Dimensional HJM Representations.
Peter Mikkelsen
1
Revisiting the shape of the yield curve: the effect of interest rate volatility.
Charlotte Christiansen, Jesper Lund
1
Estimating intractable non-linear term structure models
Peter Mikkelsen
1
Quantifying the "Peso Problem" Bias: A Switching Regime Approach.
Allan Bødskov Andersen
1
An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002
Charlotte Christiansen, Tom Engsted, Svend Jakobsen, Carsten Tanggaard
1
Global Polynomial Kernel Hazard Estimation.
Jens Perch Nielsen, Carsten Tanggaard
1
OBJECTIVES AND THEORETICAL FOUNDATIONS OF THE EUROPEAN COMMISSION’S 1999 ACTION PLAN CONCERNING THE FRAMEWORK FOR FINANCIAL MARKETS
Morten Balling
1
Cross-Currency LIBOR Market Models.
Peter Mikkelsen
1
Misspecification versus bubbles in hyperinflation data: Comment.
Tom Engsted
1
Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach.
Tom Engsted, Enno Mammen, Carsten Tanggaard
1
Long Maturity Forward Rates.
Charlotte Christiansen
1
Finite Difference Computation of State-Prices in Term Structure Models: with Applications to Calibration and MBS Analysis
Nicki Søndergaard Rasmussen
1
Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model
Malene Shin Jensen, Mikkel Svenstrup
1
Hedging with a Misspecified Model
Nicki Søndergaard Rasmussen
1
Life Insurance Liabilities at Market Value.
Anders Grosen, Peter Løchte Jørgensen
1
Boundary and Bias Correction in Kernel Hazard Estimation
Jens Perch Nielsen, Carsten Tanggaard
1
A New Test for Speculative Bubbles Based on Return Variance Decompositions.
Tom Engsted, Carsten Tanggaard
1
Longevity Studies Based on Kernel Hazard Estimation.
Angie Felipe, Montserrat Guillen, Jens Perch Nielsen
1
Improving the Least-Squares Monte-Carlo Approach
Nicki Søndergaard Rasmussen
1
Credit Spreads and the Term Structure of Interest Rates.
Charlotte Christiansen
1

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Top papers by Abstract Accesses all months (from 2002-06)

PaperAccesses
Credit Spreads and the Term Structure of Interest Rates.
Charlotte Christiansen
1955
Revisiting the shape of the yield curve: the effect of interest rate volatility.
Charlotte Christiansen, Jesper Lund
1820
Cross-Currency LIBOR Market Models.
Peter Mikkelsen
1517
Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.
Charlotte Christiansen, Charlotte Strunk Hansen
1474
MCMC Based Estimation of Term Structure Models.
Peter Mikkelsen
1473
A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities.
Anders Grosen, Bjarke Jensen, Peter Løchte Jørgensen
1412
Real Supply Shocks and the Money Growth-Inflation Relationship.
Michael Christensen
1344
An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002
Charlotte Christiansen, Tom Engsted, Svend Jakobsen, Carsten Tanggaard
1305
Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach.
Tom Engsted, Enno Mammen, Carsten Tanggaard
1184
Bootstrap Inference in Semiparametric Generalized Additive Models.
Wolfgang Härdle, Sylvie Huet, Enno Mammen, Stefan Sperlich
1171

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Top papers by Downloads all months (from 2002-06)

PaperDownloads
Credit Spreads and the Term Structure of Interest Rates.
Charlotte Christiansen
372
Revisiting the shape of the yield curve: the effect of interest rate volatility.
Charlotte Christiansen, Jesper Lund
364
Cross-Currency LIBOR Market Models.
Peter Mikkelsen
353
Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.
Charlotte Christiansen, Charlotte Strunk Hansen
346
MCMC Based Estimation of Term Structure Models.
Peter Mikkelsen
230
Evaluating Danish Mutual Fund Performance
Michael Christensen
205
Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach.
Tom Engsted, Enno Mammen, Carsten Tanggaard
173
Quantifying the "Peso Problem" Bias: A Switching Regime Approach.
Allan Bødskov Andersen
171
The Relation Between Asset Returns and Inflation at Short and Long Horizons.
Tom Engsted, Carsten Tanggaard
167
The comovement of US and UK stock markets.
Tom Engsted, Carsten Tanggaard
146

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