# Finance Research Group Working Papers

From University of Aarhus, Aarhus School of Business, Department of Business Studies

The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark.

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- F-2009-05: A Consistent Pricing Model for Index Options and Volatility Derivatives
*Rama Cont* and *Thomas Kokholm*
- F-2009-04: Investment Timing, Liquidity, and Agency Costs of Debt
*Stefan Hirth* and *Marliese Uhrig-Homburg*
- F-2009-03: Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach
*Lasse Bork*
- F-2009-02: The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks
*Leonidas Tsiaras*
- F-2009-01: Sato Processes in Default Modeling
*Thomas Kokholm* and *Elisa Nicolato*
- F-2008-07: On the Generalized Brownian Motion and its Applications in Finance
*Esben Høg*, *Per Frederiksen* and *Daniel Schiemert*
- F-2008-06: Volatility and realized quadratic variation of differenced returns: A wavelet method approach
*Esben Høg*
- F-2008-05: Time Charters with Purchase Options in Shipping: Valuation and Risk Management
*Peter Jørgensen* and *Domenico De Giovanni*
- F-2008-04: Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns
*Stig Vinther Møller*
- F-2008-03: Private benefits in corporate control transactions
*Thomas Poulsen*
- F-2008-02: Investment decisions with benefits of control
*Thomas Poulsen*
- F-2008-01: Pricing of Traffic Light Options and other Correlation Derivatives
*Thomas Kokholm*
- F-2007-03: Lapse Rate Modeling: A Rational Expectation Approach
*Domenico De Giovanni*
- F-2007-02: Pricing the Option to Surrender in Incomplete Markets
*Andrea Consiglio* and *Domenico De Giovanni*
- F-2006-97: Dispersed Trading and the Prevention of Market Failure: The Case of the Copenhagen Stock Exchange
*David C. Porter*, *Carsten Tanggaard*, *Daniel G. Weaver* and *Wei Yu*
- F-2006-09: Lognormal Approximation of Complex Path-dependent Pension Scheme Payoffs
*Peter Jørgensen*
- F-2006-08: Traffic Light Options
*Peter Løchte*
- F-2006-06: Paying for Market Quality
*Amber Anand*, *Carsten Tanggaard* and *Daniel G. Weaver*
- F-2006-05: How well do financial and macroeconomic variables predict stock returns: Time-series and cross-sectional evidence
*Anne-Sofie Reng Rasmussen*
- F-2006-04: Improving the asset pricing ability of the Consumption-Capital Asset Pricing Model?
*Anne-Sofie Reng Rasmussen*
- F-2006-03: Conducting event studies on a small stock exchange
*Jan Bartholdy*, *Dennis Olson* and *Paula Peare*
- F-2006-02: Debt and Taxes: Evidence from bank-financed unlisted firms
*Jan Bartholdy* and *Cesario Mateus*
- F-2006-01: The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application
*Espen P. Høg* and *Per H. Frederiksen*
- F-2005-05: Realized Bond-Stock Correlation: Macroeconomic Announcement Effects
*Charlotte Christiansen* and *Angelo Ranaldo*
- F-2005-04: GSE Funding Advantages and Mortgagor Benefits: Answers from Asset Pricing
*Søren Willemann*
- F-2005-03: Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates
*Charlotte Christiansen*
- F-2005-02: Do More Economists Hold Stocks?
*Charlotte Christiansen*, *Juanna Schröter Joensen* and *Jesper Rangvid*
- F-2005-01: Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence
*Michael Christensen*
- F-2004-01: Decomposing European bond and equity volatility
*Charlotte Christiansen*