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