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