Finance Working Papers,
University of Aarhus, Aarhus School of Business, Department of Business Studies
Fulltext files are files downloaded from the EBLSG server, Redirected files are files downloaded from a server maintained by the publisher of a working paper series.
The statistics for 2010-06, 2012-04 (half month), 2012-05 and 2012-06 have unfortunately been lost. We regret this.
Paper | Accesses |
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 |
Paper | Downloads |
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 |
Paper | Downloads |
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 |
Questions (including download problems) about the papers in this series should be directed to Helle Vinbaek Stenholt ()
Report other problems with accessing this service to Sune Karlsson ().