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

Editor:
For technical questions regarding this series, please contact (Helle Vinbaek Stenholt)
Series handle: repec:hhb:aarfin

• 04-2 Estimating the Consumption-Capital Asset Pricing Model without Consumption Data: Evidence from Denmark
  by Rasmussen, Anne-Sofie Reng [Downloadable!]
• 04-1 Speculative bubbles in stock prices? Tests based on the price-dividend ratio
  by Engsted, Tom & Tanggaard, Carsten [Downloadable!]

• 03-9 Local Linear Density Estimation for Filtered Survival Data, with Bias Correction
  by Nielsen, Jens Perch & Tanggaard, Carsten & Jones, M. C. [Downloadable!]
• 03-8 Volatility-Spillover E ffects in European Bond Markets
  by Christiansen, Charlotte [Downloadable!]
• 03-7 Objectives And Theoretical Foundations Of The European Commission’S 1999 Action Plan Concerning The Framework For Financial Markets
  by Balling, Morten [Downloadable!]
• 03-6 Errors in Trade Classification: Consequences and Remedies
  by Tanggaard, Carsten [Downloadable!]
• 03-5 Further Evidence on Hedge Funds Performance
  by Christiansen, Claus Bang & Madsen, Peter Brink & Christensen, Michael [Downloadable!]
• 03-4 Evaluating Danish Mutual Fund Performance
  by Christensen, Michael [Downloadable!]
• 03-3 Denmark - A chapter on the Danish Bond Market
  by Christiansen, Charlotte & Engsted, Tom & Jakobsen, Svend & Tanggaard, Carsten [Downloadable!]
• 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 [Downloadable!]
• 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 [Downloadable!]
• 02-24 On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions
  by Svenstrup, Mikkel [Downloadable!]
• 02-21 Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
  by Svenstrup, Mikkel [Downloadable!]
• 02-19 Multivariate Term Structure Models with Level and Heteroskedasticity Effects
  by Christiansen, Charlotte [Downloadable!]
• 02-10 Deposit Insurance and the Risk Premium in Bank Deposit Rates
  by Bartholdy, Jan & Boyle, G. W. & Stover, R. D.
• 02-9 The Educational Asset Market: A Finance Perspective on Human Capital Investment
  by Christiansen, Charlotte & Nielsen, Helena Skyt [Downloadable!]
• 02-8 Aktiemarkedet
  by Engsted, Tom
• 02-7 Estimating intractable non-linear term structure models
  by Mikkelsen, Peter [Downloadable!]
• 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

• 02-23 Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model
  by Jensen, Malene Shin & Svenstrup, Mikkel [Downloadable!]
• 02-22 Mortgage Choice - The Danish Case
  by Svenstrup, Mikkel [Downloadable!]
• 02-20 The Pros and Cons of Butterfly Barbells
  by Christensen, Michael [Downloadable!]
• 02-18 Improving the Least-Squares Monte-Carlo Approach
  by Rasmussen, Nicki Søndergaard [Downloadable!]
• 02-17 Efficient Control Variates for Monte-Carlo Valuation of American Options
  by Rasmussen, Nicki Søndergaard [Downloadable!]
• 02-16 Finite Difference Computation of State-Prices in Term Structure Models: with Applications to Calibration and MBS Analysis
  by Rasmussen, Nicki Søndergaard [Downloadable!]
• 02-15 Hedging with a Misspecified Model
  by Rasmussen, Nicki Søndergaard [Downloadable!]
• 02-14 Long-Run Forecasting in Multicointegrated Systems
  by Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels [Downloadable!]
• 02-13 Regime Switching in the Yield Curve
  by Christiansen, Charlotte [Downloadable!]
• 02-12 Testing for Multiple Types of Marginal Investor in Ex-day Pricing
  by Bartholdy, Jan & Briown, Kate [Downloadable!]
• 02-11 Unbiased Estimation of Expected Return Using CAPM
  by Bartholdy, Jan & Peare, Paula
• 02-3 Revisiting the shape of the yield curve: the effect of interest rate volatility
  by Christiansen, Charlotte & Lund, Jesper [Downloadable!]
• 02-2 Misspecification versus bubbles in hyperinflation data: Comment
  by Engsted, Tom [Downloadable!]
• 02-1 The comovement of US and UK stock markets
  by Engsted, Tom & Tanggaard, Carsten [Downloadable!]
• 01-11 Prediction of Mortalities. A Comparative Danish Study
  by Fledelius, P. & Perch Nielsen, Jens

• 01-12 Long Maturity Forward Rates
  by Christiansen, Charlotte [Downloadable!]
• 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 [Downloadable!]
• 01-8 On Finite Dimensional HJM Representations
  by Mikkelsen, Peter [Downloadable!]
• 01-7 MCMC Based Estimation of Term Structure Models
  by Mikkelsen, Peter [Downloadable!]
• 01-6 Cross-Currency LIBOR Market Models
  by Mikkelsen, Peter [Downloadable!]
• 01-5 A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities
  by Grosen, Anders & Jensen, Bjarke & Løchte Jørgensen, Peter [Downloadable!]
• 01-4 Life Insurance Liabilities at Market Value
  by Grosen, Anders & Løchte Jørgensen, Peter [Downloadable!]
• 01-3 Bootstrap Inference in Semiparametric Generalized Additive Models
  by Härdle, Wolfgang & Huet, Sylvie & Mammen, Enno & Sperlich, Stefan [Downloadable!]
• 01-2 Estimating Multiplicative and Additive Hazard Functions by Kernel Methods
  by Linton, Oliver B. & Perch Nielsen, Jens & Van de Geer, Sara [Downloadable!]
• 01-1 Real Supply Shocks and the Money Growth-Inflation Relationship
  by Christensen, Michael

• 00-16 Global Polynomial Kernel Hazard Estimation
  by Perch Nielsen, Jens & Tanggaard, Carsten [Downloadable!]
• 00-15 Quantifying the "Peso Problem" Bias: A Switching Regime Approach
  by Bødskov Andersen, Allan [Downloadable!]
• 00-14 Credit Spreads and the Term Structure of Interest Rates
  by Christiansen, Charlotte [Downloadable!]
• 00-13 Was the Honeymoon Effect Effective? An Analysis of the EMS Target Zone
  by Bødskov Andersen, Allan [Downloadable!]
• 00-12 Exchange Rate Dynamics in a General Equilibrium Model with Decreasing Returns to Labor
  by Bødskov Andersen, Allan [Downloadable!]
• 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 [Downloadable!]
• 00-9 The Relation Between Asset Returns and Inflation at Short and Long Horizons
  by Engsted, Tom & Tanggaard, Carsten [Downloadable!]
• 00-8 Measuring Noise in the Permanent Income Hypothesis
  by Engsted, Tom [Downloadable!]
• 00-7 Boundary and Bias Correction in Kernel Hazard Estimation
  by Perch Nielsen, Jens & Tanggaard, Carsten [Downloadable!]
• 00-6 Variable Bandwidth Kernel Hazard Estimators
  by Perch Nielsen, Jens [Downloadable!]
• 00-5 Super-Efficient Prediction Based on High-Quality Marker Information
  by Perch Nielsen, Jens [Downloadable!]
• 00-4 Kernel Density Estimation of Actuarial Loss Functions
  by Bolance, Catalina & Guillen, Montserrat & Perch Nielsen, Jens [Downloadable!]
• 00-3 Longevity Studies Based on Kernel Hazard Estimation
  by Felipe, Angie & Guillen, Montserrat & Perch Nielsen, Jens [Downloadable!]
• 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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This page was last updated on 2008-8-30.