Finance 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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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 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 Jørgensen
01-4: Life Insurance Liabilities at Market Value: Anders Grosen and Peter Jørgensen
01-3: Bootstrap Inference in Semiparametric Generalized Additive Models: Wolfgang Härdle, Sylvie Huet, Enno Mammen and Stefan Sperlich
01-2: Estimating Multiplicative and Additive Hazard Functions by Kernel Methods: Oliver 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