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