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Finance Working Papers
from University of Aarhus, Aarhus School of Business, Department of Business Studies EDIRC .
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04-2: Estimating the Consumption-Capital Asset Pricing Model without Consumption Data: Evidence from Denmark
Anne-Sofie Reng Rasmussen 04-1: Speculative bubbles in stock prices? Tests based on the price-dividend ratio
Tom Engsted and Carsten Tanggaard 03-9: Local Linear Density Estimation for Filtered Survival Data, with Bias Correction
Jens Perch Nielsen , Carsten Tanggaard and M. C. Jones 03-8: Volatility-Spillover E ffects in European Bond Markets
Charlotte Christiansen 03-7: OBJECTIVES AND THEORETICAL FOUNDATIONS OF THE EUROPEAN COMMISSION’S 1999 ACTION PLAN CONCERNING THE FRAMEWORK FOR FINANCIAL MARKETS
Morten Balling 03-6: Errors in Trade Classification: Consequences and Remedies
Carsten Tanggaard 03-5: Further Evidence on Hedge Funds Performance
Claus Bang Christiansen , Peter Brink Madsen and Michael Christensen 03-4: Evaluating Danish Mutual Fund Performance
Michael Christensen 03-3: Denmark - A chapter on the Danish Bond Market
Charlotte Christiansen , Tom Engsted , Svend Jakobsen and Carsten Tanggaard 03-2: An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002
Charlotte Christiansen , Tom Engsted , Svend Jakobsen and Carsten Tanggaard 03-1: 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 02-24: On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions
Mikkel Svenstrup 02-23: Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model
Malene Shin Jensen and Mikkel Svenstrup 02-22: Mortgage Choice - The Danish Case
Mikkel Svenstrup 02-21: Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
Mikkel Svenstrup 02-20: The Pros and Cons of Butterfly Barbells
Michael Christensen 02-19: Multivariate Term Structure Models with Level and Heteroskedasticity Effects
Charlotte Christiansen 02-18: Improving the Least-Squares Monte-Carlo Approach
Nicki Søndergaard Rasmussen 02-17: Efficient Control Variates for Monte-Carlo Valuation of American Options
Nicki Søndergaard Rasmussen 02-16: Finite Difference Computation of State-Prices in Term Structure Models: with Applications to Calibration and MBS Analysis
Nicki Søndergaard Rasmussen 02-15: Hedging with a Misspecified Model
Nicki Søndergaard Rasmussen 02-14: Long-Run Forecasting in Multicointegrated Systems
Boriss Siliverstovs , Tom Engsted and Niels Haldrup 02-13: Regime Switching in the Yield Curve
Charlotte Christiansen 02-12: Testing for Multiple Types of Marginal Investor in Ex-day Pricing
Jan Bartholdy and Kate Briown 02-11: Unbiased Estimation of Expected Return Using CAPM
Jan Bartholdy and Paula Peare 02-10: Deposit Insurance and the Risk Premium in Bank Deposit Rates
Jan Bartholdy , Glenn Boyle and R. D. Stover 02-9: The Educational Asset Market: A Finance Perspective on Human Capital Investment
Charlotte Christiansen and Helena Skyt Nielsen 02-8: Aktiemarkedet
Tom Engsted 02-7: Estimating intractable non-linear term structure models
Peter Mikkelsen 02-6: Estimating quadratic term structure models by non-linear filtering
Jes Taulbjerg 02-5: Conditional moment testing, term premia and affine term structure models
Jes Taulbjerg 02-4: Co-integration and exponential-affine models of the term structure
Jes Taulbjerg 02-3: Revisiting the shape of the yield curve: the effect of interest rate volatility
Charlotte Christiansen and Jesper Lund 02-2: Misspecification versus bubbles in hyperinflation data: Comment
Tom Engsted 02-1: The comovement of US and UK stock markets
Tom Engsted and Carsten Tanggaard 01-12: Long Maturity Forward Rates
Charlotte Christiansen 01-11: Prediction of Mortalities. A Comparative Danish Study
P. Fledelius and Jens Perch Nielsen 01-10: Two-Dimensional Hazard Estimation for Longevity Analysis
P. Fledelius , Montserrat Guillen , Jens Perch Nielsen and M. Vogelius 01-9: A New Test for Speculative Bubbles Based on Return Variance Decompositions
Tom Engsted and Carsten Tanggaard 01-8: On Finite Dimensional HJM Representations
Peter Mikkelsen 01-7: MCMC Based Estimation of Term Structure Models
Peter Mikkelsen 01-6: Cross-Currency LIBOR Market Models
Peter Mikkelsen 01-5: A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities
Anders Grosen , Bjarke Jensen and Peter Løchte Jørgensen 01-4: Life Insurance Liabilities at Market Value
Anders Grosen and Peter Løchte Jørgensen 01-3: Bootstrap Inference in Semiparametric Generalized Additive Models
Wolfgang Karl Härdle , Sylvie Huet , Enno Mammen and Stefan Sperlich 01-2: Estimating Multiplicative and Additive Hazard Functions by Kernel Methods
Oliver Bruce Linton , Jens Perch Nielsen and Sara Van de Geer 01-1: Real Supply Shocks and the Money Growth-Inflation Relationship
Michael Christensen 00-16: Global Polynomial Kernel Hazard Estimation
Jens Perch Nielsen and Carsten Tanggaard 00-15: Quantifying the "Peso Problem" Bias: A Switching Regime Approach
Allan Bødskov Andersen 00-14: Credit Spreads and the Term Structure of Interest Rates
Charlotte Christiansen 00-13: Was the Honeymoon Effect Effective? An Analysis of the EMS Target Zone
Allan Bødskov Andersen 00-12: Exchange Rate Dynamics in a General Equilibrium Model with Decreasing Returns to Labor
Allan Bødskov Andersen 00-11: Narrow Banking
Paula Peare 00-10: 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 00-9: The Relation Between Asset Returns and Inflation at Short and Long Horizons
Tom Engsted and Carsten Tanggaard 00-8: Measuring Noise in the Permanent Income Hypothesis
Tom Engsted 00-7: Boundary and Bias Correction in Kernel Hazard Estimation
Jens Perch Nielsen and Carsten Tanggaard 00-6: Variable Bandwidth Kernel Hazard Estimators
Jens Perch Nielsen 00-5: Super-Efficient Prediction Based on High-Quality Marker Information
Jens Perch Nielsen 00-4: Kernel Density Estimation of Actuarial Loss Functions
Catalina Bolance , Montserrat Guillen and Jens Perch Nielsen 00-3: Longevity Studies Based on Kernel Hazard Estimation
Angie Felipe , Montserrat Guillen and Jens Perch Nielsen 00-2: Uncovered Interest Parity and Policy Behavior New Evidence
Michael Christensen 00-1: Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model
Charlotte Christiansen and Charlotte Strunk Hansen
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