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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.
Contact information at EDIRC.

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