- Udgivet
Extracting Information from the Data: A European View on Empirical Macro
Johansen, Søren & Juselius, K., 2005, Department of Applied Mathematics and Statistics, s. 1-26.Publikation: Working paper › Forskning
- Udgivet
A Representation Theory for a Class of Vector Autoregressive Models for Fractional Processes
Johansen, Søren, 2005, Department of Applied Mathematics and Statistics, s. 1-22.Publikation: Working paper › Forskning
- Udgivet
Outlier detection algorithms for least squares time series regression
Johansen, Søren & Nielsen, B., 2014, Copenhagen: Økonomisk institut, Københavns Universitet, 39 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 23, Bind 2014).Publikation: Working paper › Forskning
- Udgivet
An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator
Johansen, Søren & Nielsen, B., 2008, Department of Economics, University of Copenhagen, 35 s.Publikation: Working paper › Forskning
- Udgivet
Likelihood based inference for cointegration of non stationary time series
Johansen, Søren, 1993, København, s. 30.Publikation: Working paper › Forskning
- Udgivet
Estimating Systems of Trending Variables
Johansen, Søren, 1991, Københavns Univiversitet, s. 35.Publikation: Working paper › Forskning
- Udgivet
The Role of Ancillarity in Inference for Non-Stationary Variables
Johansen, Søren, 1994, København, s. 21.Publikation: Working paper › Forskning
- Udgivet
Recursive Estimation in Cointegrated VAR-Models
Johansen, Søren & Hansen, Henrik, 1993, København, s. 20.Publikation: Working paper › Forskning
- Udgivet
Cointegration. Overview and Development
Johansen, Søren, 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, s. 1-22.Publikation: Working paper › Forskning
- Udgivet
Confronting the Economic Model with the Data
Johansen, Søren, 2005, Department of Applied Mathematics and Statistics, s. 1-13.Publikation: Working paper › Forskning
- Udgivet
Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate
Johansen, Søren, Juselius, Katarina, Frydman, R. & Goldberg, M., 2007, Department of Economics, University of Copenhagen, 33 s.Publikation: Working paper › Forskning
- Udgivet
Asymptotic analysis of the Forward Search
Johansen, Søren & Nielsen, B., 2013, Kbh.: Økonomisk institut, Københavns Universitet, 39 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 1, Bind 13).Publikation: Working paper › Forskning
- Udgivet
A Likelihood Analysis of The I(2) Model
Johansen, Søren, 1994, København, s. 26.Publikation: Working paper › Forskning
- Udgivet
A Statistical Analysis of Cointegration for I(2) Variables
Johansen, Søren, 1991, Københavns Universitet, s. 26.Publikation: Working paper › Forskning
- Udgivet
Identification of the Long-Run and the Short-Run Structure. An Application to the ISLM Model
Johansen, Søren & Juselius, Katarina, 1992, Københavns Universitet, s. 35.Publikation: Working paper › Forskning
- Udgivet
The Role of the Constant Term in Cointegration Analysis of Nonstationary Variables
Johansen, Søren, 1992, Københavns Universitet, s. 26.Publikation: Working paper › Forskning
- Udgivet
Determination of Cointegration Rank in the Presence of Linear Trend
Johansen, Søren, 1991, Københavns Universitet, s. 15.Publikation: Working paper › Forskning
- Udgivet
More on testing exact rational expectations in vector autoregressive models: Restricted drift term
Johansen, Søren & Swensen, A. R., 2003, Københavns Universitet, s. 1-11.Publikation: Working paper › Forskning
- Udgivet
An I(2) Cointegration Analysis of the Purchasing Power Parity between Australia and USA
Johansen, Søren, 1991, København, Kbh.Univ., s. 25.Publikation: Working paper › Forskning
- Udgivet
Trend-Stationarity in the I(2) Cointegration Model
Jørgensen, C., Kongsted, H. C. & Rahbek, Anders, 1996, Department of Economics, University of Copenhagen, 35 s.Publikation: Working paper › Forskning
- Udgivet
Ordering claim size distributions and mixed Poisson probabilities
Kaas, R. & Hesselager, O., 1995, København: Lab. of Actuarial Math., Kbh. Univ., 12 s.Publikation: Working paper › Forskning
- Udgivet
A simple proof of a result of asmussen
Kalashnikov, V. & Konstantinides, D., 1999, København: Lab. of Actuarial Math. Univ. of Copenhagen, s. 7.Publikation: Working paper › Forskning
- Udgivet
Power tailed ruin probabilities in the presence of small claims and risky investments
Kalashnikov, V. & Norberg, R., 1999, København: Lab. of Actuarial Math. Univ. of Copenhagen, s. 16.Publikation: Working paper › Forskning
- Udgivet
Asymptotically correct bounds of geometric convolutions with subexponential components
Kalashnikov, V. & Tsitsiashvili, G., 1998, København: Lab. of Actuarial Math. Univ. of Copenhagen, s. 16.Publikation: Working paper › Forskning
- Udgivet
A simple proof of the Cramér formula
Kalashnikov, V., 1997, København: Lab. of Actuarial Math. Univ. of Copenhagen, s. 10.Publikation: Working paper › Forskning
- Udgivet
Some estimates of geometric sums
Kalashnikov, V. & Bon, J., 1999, Paris: Université du Paris-Sud, s. 15.Publikation: Working paper › Forskning
- Udgivet
Minimum norm estimation under parameter constraints with an application to insurance (Working Paper)
Kleffe, J. & Norberg, R., 1997, København: Lab. of Actuarial Math. Univ. of Copenhagen, s. 19.Publikation: Working paper › Forskning
- Udgivet
Statistical analysis of missing data with the help of generalized replicated models
Kleffe, J., 1992, København, 13 s.Publikation: Working paper › Forskning
- Udgivet
Allosteric stabilization of calcium and lipid binding engages three synaptotagmins in fast exocytosis
Kobbersmed, J. R. L., Berns, M. M. M., Ditlevsen, Susanne, Sørensen, Jakob Balslev & Walter, Alexander Matthias, 23 okt. 2021, bioRxiv, s. 1-56.Publikation: Working paper › Preprint › Forskning
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Large Deviations and Ruin Probabilities for Solutions to Stochastic Recurrence Equations with Heavy-Tailed Innovations
Konstantinides, D. G. & Mikosch, Thomas Valentin, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, s. 1-32.Publikation: Working paper › Forskning
- Udgivet
Worst Case Portfolio Optimization and HJB-Systems.
Korn, R. & Steffensen, Mogens, 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, s. 1-17.Publikation: Working paper › Forskning
- Udgivet
How to Invest Optimally in Corporate Bonds: A Reduced-Form Approach
Kraft, H. & Steffensen, Mogens, 2005, Københavns Universitet: H.C.Ø.-Tryk, s. 1-32.Publikation: Working paper › Forskning
- Udgivet
Optimal Consumption and Insurance: A Continuous-Time Markov Chain Approach.
Kraft, H. & Steffensen, Mogens, 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, s. 1-21.Publikation: Working paper › Forskning
- Udgivet
Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, D. & Rahbek, Anders, 2002, København, s. 1-30.Publikation: Working paper › Forskning
- Udgivet
Asymptotics of the QMLE for General ARCH(q) Models
Kristensen, D. & Rahbek, Anders, 2005, Department of Applied Mathematics and Statistics, s. 1-37.Publikation: Working paper › Forskning
- Udgivet
Purity in chromatically localized algebraic K-theory
Land, M., Mathew, A., Meier, L. & Tamme, G., 2020, (arXiv).Publikation: Working paper › Preprint › Forskning
- Udgivet
On Cox Processes and Credit Risky Bonds
Lando, D., 1994, København: Museum Tusculanum, s. 31.Publikation: Working paper › Forskning
- Udgivet
On Jump-diffusion Option Pricing from the Viewpoint of Semimartingale Characteristics
Lando, D., 1995, København, s. 25.Publikation: Working paper › Forskning
- Udgivet
An Introduction to Regime Switching Time Series Models
Lange, Theis & Rahbek, Anders, 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, s. 1-16.Publikation: Working paper › Forskning
- Udgivet
Estimation and Asymptotic Inference in the First Order AR-ARCH Model
Lange, Theis, Rahbek, Anders & Jensen, S. T., 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, s. 1-23.Publikation: Working paper › Forskning
- Udgivet
Models Combining Group Symmetry and Conditional Independence in a Multivariate Normal Distribution
Madsen, J. & Andersson, S. A., 1995, København, s. 56.Publikation: Working paper › Forskning
- Udgivet
Use of the three stage model for improving the estimate of the survival function.
Malani, H. M. & Nielsen, J. P., 1991, København: Museum Tusculanum, 23 s.Publikation: Working paper › Forskning
- Udgivet
Probabilities of ruin when the safety loading tends to zero
Malinovski, V., 1998, København: Lab. of Actuarial Math. Univ. of Copenhagen, s. 1-36.Publikation: Working paper › Forskning
- Udgivet
Counterexamples in self-testing
Mancinska, Laura & Schmidt, Simon, 2023, arxiv.org, 20 s.Publikation: Working paper › Preprint › Forskning
- Udgivet
On the torsion-freeness property for divisible discrete quantum subgroups
Martos Prieto, Ruben, 2021, arxiv.org, 32 s.Publikation: Working paper › Preprint › Forskning
- Udgivet
Binomial financial market in context of algebra of stochastic exponents and martingales
Melnikov, A. V., 1999, København: Lab. of Actuarial Math. Univ. of Copenhagen, s. 10.Publikation: Working paper › Forskning
- Udgivet
Scaling Limits for Workload Process
Mikosch, Thomas Valentin & Samorodnitsky, G., 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, s. 1-31.Publikation: Working paper › Forskning
- Udgivet
Modeling dependence and tails of financial time series
Mikosch, Thomas Valentin, 2002, Københavns Universitet: H.C.Ø.-Tryk, s. 1-75.Publikation: Working paper › Forskning
- Udgivet
How to Model Multivariate Extremes if One Must?
Mikosch, Thomas Valentin, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, s. 1-18.Publikation: Working paper › Forskning
- Udgivet
Tail Probabilities for Regression Estimators
Mikosch, Thomas Valentin & Vries, C. G. D., 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, s. 32.Publikation: Working paper › Forskning
- Udgivet
Stock Market Risk-Return Inference. An Unconditional non-Parametric Approach
Mikosch, Thomas Valentin & Starica, C., 2005, Københavns Universitet: <Forlag uden navn>, s. 1-40.Publikation: Working paper › Forskning
- Udgivet
Stable limits of martingale transforms with application to the estimation of Garch parameters
Mikosch, Thomas Valentin & Straumann, D. Y., 2003, Københavns Universitet: H.C.Ø.-Tryk, s. 1-24.Publikation: Working paper › Forskning
- Udgivet
Prediction of outstanding payments in a Poisson cluster model
Mikosch, Thomas Valentin, Jessen, A. H. & Samorodnitsky, G., 2009, 24 s.Publikation: Working paper › Forskning
- Udgivet
Copulas: Tales and Facts
Mikosch, Thomas Valentin, 2005, Laboratory of Actuarial Mathematics: H.C.Ø.-Tryk, s. 1-13.Publikation: Working paper › Forskning
- Udgivet
Activity Rates with Very Heavy Tails
Mikosch, Thomas Valentin & Resnick, S., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, s. 1-23.Publikation: Working paper › Forskning
- Udgivet
Weak convergence of the function-indexed integrated periodogram for infinite variance processes
Mikosch, Thomas Valentin, Can, S. U. & Samorodnitsky, G., 2009, 21 s.Publikation: Working paper › Forskning
- Udgivet
- Udgivet
Integro-differential equations for evaluating the distribution of some jump processes
Møller, C. M., 1994, København: Lab. of Actuarial Math., Kbh. Univ., 11 s.Publikation: Working paper › Forskning
- Udgivet
Numerical evaluation of Markov transition probabilities based on the discretized product integral.
Møller, C. M., 1990, København: Museum Tusculanum, 20 s.Publikation: Working paper › Forskning
- Udgivet
A counting process approach to stochastic interest
Møller, C. M., 1994, København: Lab. of Actuarial Math., Kbh. Univ., 12 s.Publikation: Working paper › Forskning
- Udgivet
The probability of ruin in view of the Doléans equation
Møller, C. M., 1994, København: Lab. of Actuarial Math., Kbh. Univ., 8 s.Publikation: Working paper › Forskning
- Udgivet
Asymptotic results for the risk process based on marked point processes.
Møller, C. M., 1991, København: Museum Tusculanum, 22 s.Publikation: Working paper › Forskning
- Udgivet
Select mortality and other durational effects modelled by partially observed Markov chains.
Møller, C. M., 1990, København: Museum Tusculanum, 29 s.Publikation: Working paper › Forskning
- Udgivet
Bayes prediction based on point processes and martingales
Møller, C. M., 1995, København: Lab. of Actuarial Math., Kbh. Univ., 17 s.Publikation: Working paper › Forskning
- Udgivet
Martingale results in risk theory with a view to ruin probabilities and diffusions
Møller, C. M., 1993, 16 s.Publikation: Working paper › Forskning
- Udgivet
A stochastic version of Thiele's differential equation
Møller, C. M., 1993, 16 s.Publikation: Working paper › Forskning
- Udgivet
The distribution of first entry time with applications to ruin probabilities
Møller, C. M., 1994, København: Lab. of Actuarial Math., Kbh. Univ., 11 s.Publikation: Working paper › Forskning
- Udgivet
Stochastic differential equations for ruin probabilities
Møller, C. M., 1993, 17 s.Publikation: Working paper › Forskning
- Udgivet
Risk-minimizing hedging strategies for insurance payment processes
Møller, T., 1998, København: Lab. of Actuarial Math. Univ. of Copenhagen, s. 22.Publikation: Working paper › Forskning
- Udgivet
Risk-minimizing hedging strategies for unit-linked life insurance contracts
Møller, T., 1997, København: Lab. of Actuarial Math. Univ. of Copenhagen, s. 26.Publikation: Working paper › Forskning
- Udgivet
Risk-minimization for unit-linked insurance contracts in two- and multi-period models
Møller, T., 1999, København: Lab. of Actuarial Math. Univ. of Copenhagen, s. 22.Publikation: Working paper › Forskning
- Udgivet
On transformations of actuarial valuation principles
Møller, T., 1999, København: Lab. of Actuarial Math. Univ. of Copenhagen, s. 24.Publikation: Working paper › Forskning
- Udgivet
On valuation and risk management at the interface of insurance and finance
Møller, T., 2002, Københavns Universitet: H.C.Ø.-Tryk, s. 1-31.Publikation: Working paper › Forskning
- Udgivet
Static Hedging of Barrier Options Under General Asset Dynamics: Unification and Application
Nalholm, M., 2005, Finance Research Unit / Copenhagen University, s. 1-42.Publikation: Working paper › Forskning
- Udgivet
Tuning Stochastic Gradient Algorithms for Statistical Inference via Large-Sample Asymptotics
Negrea, J., Yang, Jun, Feng, H., Roy, D. M. & Huggins, J. H., 2023, arXiv preprint, 42 s.Publikation: Working paper › Preprint › Forskning
- Udgivet
Balanced credibility estimation
Neuhaus, W., 1995, København: Lab. of Actuarial Math., Kbh. Univ., 21 s.Publikation: Working paper › Forskning
- Udgivet
Optimal estimation under linear constraints
Neuhaus, W., 1995, København: Lab. of Actuarial Math., Kbh. Univ., 17 s.Publikation: Working paper › Forskning
- Udgivet
Community rating and equalisation
Neuhaus, W., 1995, København: Lab. of Actuarial Math., Kbh. Univ., 36 s.Publikation: Working paper › Forskning
- Udgivet
Bartlett correction of the unit root test in autoregressive models
Nielsen, B., 1995, København, s. 12.Publikation: Working paper › Forskning
- Udgivet
Likelihood Ratio Testing for Cointegration Ranks in I(2) Models
Nielsen, Heino Bohn & Rahbek, Anders, 2003, nr. 11 udg., Københavns Universitet, s. 1-25.Publikation: Working paper › Forskning
- Udgivet
Likelihood Ratio Testing for Cointegration Ranks in I(2) Models
Nielsen, Heino Bohn & Rahbek, Anders, 2003, Københavns Universitet, s. 1-22.Publikation: Working paper › Forskning
- Udgivet
Abramson's square root law formulated for kernel hazard estimation
Nielsen, J. P., 1992, University of Copenhagen: Lab. of Actuarial Mathematics, 11 s.Publikation: Working paper › Forskning
- Udgivet
Double integrals with respect to counting process martingales and the predictability issue in survival analysis
Nielsen, J. P., 1992, København, 17 s.Publikation: Working paper › Forskning
- Udgivet
A framework for consistent prediction rules based on markers
Nielsen, J. P. & Jewell, N. P., 1992, København, 18 s.Publikation: Working paper › Forskning
- Udgivet
A transformation approach to bias correction in kernel hazard estimation
Nielsen, J. P., 1992, København, 18 s.Publikation: Working paper › Forskning
- Udgivet
A multiplicative bias reduction method for nonparametric regression
Nielsen, J. P. & Linton, O., 1992, University of Copenhagen: Lab. of Actuarial Mathematics, 10 s.Publikation: Working paper › Forskning
- Udgivet
Marker dependent hazard estimation
Nielsen, J. P., 1992, København, 21 s.Publikation: Working paper › Forskning
- Udgivet
Optimal Bonus Strategies in Life Insurance: The Markov Chain Interest Rate Case
Nielsen, P. H., 2003, Københavns Universitet, s. 1-22.Publikation: Working paper › Forskning
- Udgivet
Utility Maximization and Risk Minimization in Life and pension Insurance
Nielsen, P. H., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, s. 1-32.Publikation: Working paper › Forskning
- Udgivet
Incomplete Observations and Coarsening at Random
Nielsen, S. F., 1995, København: Museum Tusculanum, s. 19.Publikation: Working paper › Forskning
- Udgivet
Inference and Missing at Random: Asymptotic Results
Nielsen, S. F., 1995, København, s. 20.Publikation: Working paper › Forskning
- Udgivet
Survival analysis with coarsely observed covariates
Nielsen, S. F., 2002, København, s. 1-29.Publikation: Working paper › Forskning
- Udgivet
Local linear estimate equations: Uniform consistency and rate convergence
Nielsen, S. F., 2002, Københavns Universitet, s. 1-20.Publikation: Working paper › Forskning
- Udgivet
Vasicek beyond the normal
Norberg, R., 1998, København: Lab. of Actuarial Math. Univ. of Copenhagen, s. 21.Publikation: Working paper › Forskning
- Udgivet
On the vandermonde matrix and its role in mathematical finance
Norberg, R., 1999, København: Lab. of Acturarial Math. Univ. of Copenhagen, s. 8.Publikation: Working paper › Forskning
- Udgivet
Stochastic calculus in actuarial science
Norberg, R., 1995, København: Lab. of Actuarial Math., Kbh. Univ., 23 s.Publikation: Working paper › Forskning
- Udgivet
A markov chain financial market
Norberg, R., 1999, København: Lab. of Acturarial Math. Univ. of Copenhagen, s. 25.Publikation: Working paper › Forskning
- Udgivet
Reserves in life and pension insurance.
Norberg, R., 1990, København: Kbh.Universitet, 16 s.Publikation: Working paper › Forskning
- Udgivet
Hattendorff's theorem generally stated.
Norberg, R., 1991, København: Museum Tusculanum, 12 s.Publikation: Working paper › Forskning
- Udgivet
Prediction of outstanding liabilities: II Model variations and extensions
Norberg, R., 1997, København: Lab. of Actuarial Math. Univ. of Copenhagen, s. 22.Publikation: Working paper › Forskning
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