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Content
2004
2003
- 02-24 On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions
by Svenstrup, Mikkel
- 02-21 Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
by Svenstrup, Mikkel
- 02-19 Multivariate Term Structure Models with Level and Heteroskedasticity Effects
by Christiansen, Charlotte
- 02-10 Deposit Insurance and the Risk Premium in Bank Deposit Rates
by Bartholdy, Jan & Boyle, G. W. & Stover, R. D.
- 03-9 Local Linear Density Estimation for Filtered Survival Data, with Bias Correction
by Nielsen, Jens Perch & Tanggaard, Carsten & Jones, M. C.
- 03-8 Volatility-Spillover E ffects in European Bond Markets
by Christiansen, Charlotte
- 03-7 Objectives And Theoretical Foundations Of The European Commission’S 1999 Action Plan Concerning The Framework For Financial Markets
by Balling, Morten
- 03-6 Errors in Trade Classification: Consequences and Remedies
by Tanggaard, Carsten
- 03-5 Further Evidence on Hedge Funds Performance
by Christiansen, Claus Bang & Madsen, Peter Brink & Christensen, Michael
- 03-4 Evaluating Danish Mutual Fund Performance
by Christensen, Michael
- 03-3 Denmark - A chapter on the Danish Bond Market
by Christiansen, Charlotte & Engsted, Tom & Jakobsen, Svend & Tanggaard, Carsten
- 03-2 An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002
by Christiansen, Charlotte & Engsted, Tom & Jakobsen, Svend & Tanggaard, Carsten
- 03-1 A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability
by Belter, Klaus & Engsted, Tom & Tanggaard, Carsten
- 02-9 The Educational Asset Market: A Finance Perspective on Human Capital Investment
by Christiansen, Charlotte & Nielsen, Helena Skyt
- 02-8 Aktiemarkedet
by Engsted, Tom
- 02-7 Estimating intractable non-linear term structure models
by Mikkelsen, Peter
- 02-6 Estimating quadratic term structure models by non-linear filtering
by Taulbjerg, Jes
- 02-5 Conditional moment testing, term premia and affine term structure models
by Taulbjerg, Jes
- 02-4 Co-integration and exponential-affine models of the term structure
by Taulbjerg, Jes
2002
- 02-23 Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model
by Jensen, Malene Shin & Svenstrup, Mikkel
- 02-22 Mortgage Choice - The Danish Case
by Svenstrup, Mikkel
- 02-20 The Pros and Cons of Butterfly Barbells
by Christensen, Michael
- 02-18 Improving the Least-Squares Monte-Carlo Approach
by Rasmussen, Nicki Søndergaard
- 02-17 Efficient Control Variates for Monte-Carlo Valuation of American Options
by Rasmussen, Nicki Søndergaard
- 02-16 Finite Difference Computation of State-Prices in Term Structure Models: with Applications to Calibration and MBS Analysis
by Rasmussen, Nicki Søndergaard
- 02-15 Hedging with a Misspecified Model
by Rasmussen, Nicki Søndergaard
- 02-14 Long-Run Forecasting in Multicointegrated Systems
by Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels
- 02-13 Regime Switching in the Yield Curve
by Christiansen, Charlotte
- 02-12 Testing for Multiple Types of Marginal Investor in Ex-day Pricing
by Bartholdy, Jan & Briown, Kate
- 02-11 Unbiased Estimation of Expected Return Using CAPM
by Bartholdy, Jan & Peare, Paula
- 01-11 Prediction of Mortalities. A Comparative Danish Study
by Fledelius, P. & Perch Nielsen, Jens
- 02-3 Revisiting the shape of the yield curve: the effect of interest rate volatility
by Christiansen, Charlotte & Lund, Jesper
- 02-2 Misspecification versus bubbles in hyperinflation data: Comment
by Engsted, Tom
- 02-1 The comovement of US and UK stock markets
by Engsted, Tom & Tanggaard, Carsten
2001
- 01-12 Long Maturity Forward Rates
by Christiansen, Charlotte
- 01-10 Two-Dimensional Hazard Estimation for Longevity Analysis
by Fledelius, P. & Guillen, Montserrat & Perch Nielsen, Jens & Vogelius, M.
- 01-9 A New Test for Speculative Bubbles Based on Return Variance Decompositions
by Engsted, Tom & Tanggaard, Carsten
- 01-8 On Finite Dimensional HJM Representations
by Mikkelsen, Peter
- 01-7 MCMC Based Estimation of Term Structure Models
by Mikkelsen, Peter
- 01-6 Cross-Currency LIBOR Market Models
by Mikkelsen, Peter
- 01-5 A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities
by Grosen, Anders & Jensen, Bjarke & Løchte Jørgensen, Peter
- 01-4 Life Insurance Liabilities at Market Value
by Grosen, Anders & Løchte Jørgensen, Peter
- 01-3 Bootstrap Inference in Semiparametric Generalized Additive Models
by Härdle, Wolfgang & Huet, Sylvie & Mammen, Enno & Sperlich, Stefan
- 01-2 Estimating Multiplicative and Additive Hazard Functions by Kernel Methods
by Linton, Oliver B. & Perch Nielsen, Jens & Van de Geer, Sara
- 01-1 Real Supply Shocks and the Money Growth-Inflation Relationship
by Christensen, Michael
2000
- 00-16 Global Polynomial Kernel Hazard Estimation
by Perch Nielsen, Jens & Tanggaard, Carsten
- 00-15 Quantifying the "Peso Problem" Bias: A Switching Regime Approach
by Bødskov Andersen, Allan
- 00-14 Credit Spreads and the Term Structure of Interest Rates
by Christiansen, Charlotte
- 00-13 Was the Honeymoon Effect Effective? An Analysis of the EMS Target Zone
by Bødskov Andersen, Allan
- 00-12 Exchange Rate Dynamics in a General Equilibrium Model with Decreasing Returns to Labor
by Bødskov Andersen, Allan
- 00-11 Narrow Banking
by Peare, Paula
- 00-10 Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach
by Engsted, Tom & Mammen, Enno & Tanggaard, Carsten
- 00-9 The Relation Between Asset Returns and Inflation at Short and Long Horizons
by Engsted, Tom & Tanggaard, Carsten
- 00-8 Measuring Noise in the Permanent Income Hypothesis
by Engsted, Tom
- 00-7 Boundary and Bias Correction in Kernel Hazard Estimation
by Perch Nielsen, Jens & Tanggaard, Carsten
- 00-6 Variable Bandwidth Kernel Hazard Estimators
by Perch Nielsen, Jens
- 00-5 Super-Efficient Prediction Based on High-Quality Marker Information
by Perch Nielsen, Jens
- 00-4 Kernel Density Estimation of Actuarial Loss Functions
by Bolance, Catalina & Guillen, Montserrat & Perch Nielsen, Jens
- 00-3 Longevity Studies Based on Kernel Hazard Estimation
by Felipe, Angie & Guillen, Montserrat & Perch Nielsen, Jens
- 00-2 Uncovered Interest Parity and Policy Behavior New Evidence
by Christensen, Michael
- 00-1 Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model
by Christiansen, Charlotte & Strunk Hansen, Charlotte
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