Finance Working Papers, Department of Business Studies, Aarhus School of Business, University of Aarhus

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Top 10 Papers by Abstract Accesses Last Month (2012-04)

Paper	Accesses
Finite Difference Computation of State-Prices in Term Structure Models: with Applications to Calibration and MBS Analysis Nicki Søndergaard Rasmussen	4
An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002 Charlotte Christiansen, Tom Engsted, Svend Jakobsen and Carsten Tanggaard	4
Cross-Currency LIBOR Market Models. Peter Mikkelsen	3
Testing for Multiple Types of Marginal Investor in Ex-day Pricing Jan Bartholdy and Kate Briown	2
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods. Oliver B. Linton, Jens Perch Nielsen and Sara Van de Geer	2
The comovement of US and UK stock markets. Tom Engsted and Carsten Tanggaard	2
Estimating intractable non-linear term structure models Peter Mikkelsen	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	1
The Educational Asset Market: A Finance Perspective on Human Capital Investment Charlotte Christiansen and Helena Skyt Nielsen	1
On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions Mikkel Svenstrup	1
Quantifying the "Peso Problem" Bias: A Switching Regime Approach. Allan Bødskov Andersen	1
Estimating quadratic term structure models by non-linear filtering Jes Taulbjerg	1
Misspecification versus bubbles in hyperinflation data: Comment. Tom Engsted	1
Estimating the Consumption-Capital Asset Pricing Model without Consumption Data: Evidence from Denmark Anne-Sofie Reng Rasmussen	1
Mortgage Choice - The Danish Case Mikkel Svenstrup	1
Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup Mikkel Svenstrup	1
Variable Bandwidth Kernel Hazard Estimators Jens Perch Nielsen	1
OBJECTIVES AND THEORETICAL FOUNDATIONS OF THE EUROPEAN COMMISSION’S 1999 ACTION PLAN CONCERNING THE FRAMEWORK FOR FINANCIAL MARKETS Morten Balling	1
The Pros and Cons of Butterfly Barbells Michael Christensen	1
Speculative bubbles in stock prices? Tests based on the price-dividend ratio. Tom Engsted and Carsten Tanggaard	1
Measuring Noise in the Permanent Income Hypothesis Tom Engsted	1
The Relation Between Asset Returns and Inflation at Short and Long Horizons. Tom Engsted and Carsten Tanggaard	1

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Top 10 Papers by File Downloads Last Month (2012-04)

Paper	Downloads
Cross-Currency LIBOR Market Models. Peter Mikkelsen	1
The comovement of US and UK stock markets. Tom Engsted and Carsten Tanggaard	1

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Top 10 Papers by Abstract Accesses Last 3 Months (2012-02 - 2012-04)

Paper	Downloads
An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002 Charlotte Christiansen, Tom Engsted, Svend Jakobsen and Carsten Tanggaard	18
Finite Difference Computation of State-Prices in Term Structure Models: with Applications to Calibration and MBS Analysis Nicki Søndergaard Rasmussen	17
Misspecification versus bubbles in hyperinflation data: Comment. Tom Engsted	9
Testing for Multiple Types of Marginal Investor in Ex-day Pricing Jan Bartholdy and Kate Briown	9
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	8
Cross-Currency LIBOR Market Models. Peter Mikkelsen	8
Improving the Least-Squares Monte-Carlo Approach Nicki Søndergaard Rasmussen	6
Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model Malene Shin Jensen and Mikkel Svenstrup	6
Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup Mikkel Svenstrup	6
Deposit Insurance and the Risk Premium in Bank Deposit Rates Jan Bartholdy, G. W. Boyle and R. D. Stover	5
Errors in Trade Classification: Consequences and Remedies. Carsten Tanggaard	5
Denmark - A chapter on the Danish Bond Market Charlotte Christiansen, Tom Engsted, Svend Jakobsen and Carsten Tanggaard	5

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Top 10 Papers by File Downloads Last 3 Months (2012-02 - 2012-04)

Paper	Downloads
Cross-Currency LIBOR Market Models. Peter Mikkelsen	4
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	3
Improving the Least-Squares Monte-Carlo Approach Nicki Søndergaard Rasmussen	2
Misspecification versus bubbles in hyperinflation data: Comment. Tom Engsted	1
Further Evidence on Hedge Funds Performance. Claus Bang Christiansen, Peter Brink Madsen and Michael Christensen	1
The comovement of US and UK stock markets. Tom Engsted and Carsten Tanggaard	1
Exchange Rate Dynamics in a General Equilibrium Model with Decreasing Returns to Labor. Allan Bødskov Andersen	1
Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model Malene Shin Jensen and Mikkel Svenstrup	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	1
Multivariate Term Structure Models with Level and Heteroskedasticity Effects Charlotte Christiansen	1
Efficient Control Variates for Monte-Carlo Valuation of American Options Nicki Søndergaard Rasmussen	1

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