Výsledky vyhledávání - "CARSTEN TANGGAARD"

Akademický článek

Global Polynomial Kernel Hazard Estimation

Autor: MUNIR HIABU, MARÍA DOLORES MARTÍNEZ-MIRANDA, JENS PERCH NIELSEN, JAAP SPREEUW, CARSTEN TANGGAARD, ANDRÉS M. VILLEGAS

Publikováno v: Revista Colombiana de Estadística, Vol 38, Iss 2, Pp 399-411

This paper introduces a new bias reducing method for kernel hazard estimation. The method is called global polynomial adjustment (GPA). It is a global correction which is applicable to any kernel hazard estimator. The estimator works well from a theo

Externí odkaz: https://doaj.org/article/ddb400a6673f41669d3c00a281418630

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Global Polynomial Kernel Hazard Estimation

Autor: Andrés M. Villegas, Jens Perch Nielsen, Munir Hiabu, Carsten Tanggaard, Jaap Spreeuw, María Dolores Martínez-Miranda

Publikováno v: Revista Colombiana de Estadística, Vol 38, Iss 2, Pp 399-411
Revista Colombiana de Estadística
Repositorio UN
Universidad Nacional de Colombia
instacron:Universidad Nacional de Colombia

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6de09d35111338d2291f3245ee9d7671
https://doi.org/10.15446/rce.v38n2.51668

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Asymmetric Information, Self-selection, and Pricing of Insurance Contracts: The Simple No-Claims Case

Autor: Carsten Tanggaard, Catherine Donnelly, Martin Englund, Jens Perch Nielsen

Publikováno v: Journal of Risk and Insurance. 81:757-780

This article presents an optional bonus-malus contract based on a priori risk classification of the underlying insurance contract. By inducing self-selection, the purchase of the bonus-malus contract can be used as a screening device. This gives an e

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::390a46594a89fe26db57b11f5d9e6167
https://doi.org/10.1111/j.1539-6975.2013.01520.x

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Pitfalls in VAR based return decompositions: A clarification

Autor: Carsten Tanggaard, Tom Engsted, Thomas Pedersen

Publikováno v: Engsted, T, Pedersen, T Q & Tanggaard, C 2012, ' Pitfalls in VAR based return decompositions: A clarification ', Journal of Banking & Finance, vol. 36, no. 5, pp. 1255–1265 . https://doi.org/10.1016/j.jbankfin.2011.11.004

We analyze the pitfalls involved in VAR based return decompositions. First, we show that recent criticism of such decompositions is misplaced and builds on invalid VAR models and erroneous interpretations. Second, we derive the requirements needed fo

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f96d011bd6867f3a477a889949b714dd
https://doi.org/10.1016/j.jbankfin.2011.11.004

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The comovement of US and German bond markets

Autor: Tom Engsted, Carsten Tanggaard

Publikováno v: Engsted, T & Tanggaard, C 2007, ' The comovement of US and German bond markets ', International Review of Financial Analysis, vol. 16, no. 2, pp. 172-182 .
Engsted, T & Tanggaard, C 2004, ' The comovement of US and German bond markets ' Paper presented at, 18/12/2010, .

We use a vector-autoregression, with parameter estimates corrected for small-sample bias, to decompose US and German unexpected bond returns into three ‘news’ components: news about future inflation, news about future real interest rates, and new

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2bf2fb6d159c15654f9bc5f3bc7a6812
https://doi.org/10.1016/j.irfa.2006.03.002

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A new daily dividend-adjusted index for the Danish stock market, 1985-2002: Construction, statistical properties, and return predictability

Autor: Carsten Tanggaard, Klaus Belter, Tom Engsted

Publikováno v: Belter, K, Engsted, T & Tanggaard, C 2005, ' A new daily dividend-adjusted index for the Danish stock market, 1985-2002: Construction, statistical properties, and return predictability ', Research in International Business and Finance, vol. 19, no. 1, pp. 53-70 .

We present a new dividend-adjusted blue chip index for the Danish stock market covering the period 1985–2002. In contrast to other indices on the Danish stock market, the index is calculated on a daily basis. In the first part of the paper a detail

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6e6579600f52622c968618024b9bfd45
https://doi.org/10.1016/j.ribaf.2004.10.003

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Yield Curve Estimation by Kernel Smoothing Methods

Autor: Oliver Linton, Enno Mammen, Carsten Tanggaard, Jens Perch Nielsen

Publikováno v: Linton, O, Mammen, E, Nielsen, J P & Tanggaard, C 2001, ' Yield Curve Estimation by Kernel Smoothing Methods ', Journal of Econometrics, vol. 105, no. 1, pp. 185-223 .

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::602b407d4603c9f2fb52983aeb2348a5
https://doi.org/10.1016/s0304-4076(01)00075-6

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A cointegration analysis of Danish zero-coupon bond yields

Autor: Tom Engsted, Carsten Tanggaard

Publikováno v: Engsted, T & Tanggaard, C 1994, ' A cointegration analysis of Danish zero-coupon bond yields ', Applied Financial Economics, no. Nr.4, pp. 265-278 .

This paper presents the results of a cointegration analysis of the term structure of interest rates, using newly-constructed yields on pure discount bonds from the Danish bond market in the period 1976 to 1991. Systems of interest rates of different

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2760e267a7744451701d15c70ea12652
https://doi.org/10.1080/758530893

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The Log-Linear Return Approximation, Bubbles, and Predictability

Autor: Thomas Pedersen, Carsten Tanggaard, Tom Engsted

Publikováno v: Engsted, T, Pedersen, T Q & Tanggaard, C 2012, ' The Log-Linear Return Approximation, Bubbles, and Predictability ', Journal of Financial and Quantitative Analysis, vol. 47, no. 3, pp. 643-665 . https://doi.org/10.1017/S0022109012000191

We study in detail the log-linear return approximation introduced by Campbell and Shiller (1988a). First, we derive an upper bound for the mean approximation error, given stationarity of the log dividend-price ratio. Next, we simulate various rationa

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e33022fcf0a02f408bcbbeb813f2f306
https://doi.org/10.2139/ssrn.1655265

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Local linear density estimation for filtered survival data, with bias correction

Autor: Carsten Tanggaard, Jens Perch Nielsen, M. C. Jones

Publikováno v: Nielsen, J P, Tanggaard, C & Jones, M C 2009, ' Local linear density estimation for filtered survival data, with bias correction ', Statistics, vol. 43, no. 2, pp. 167-186 . https://doi.org/10.1080/02331880701736648

A class of local linear kernel density estimators based on weighted least-squares kernel estimation is considered within the framework of Aalen's multiplicative intensity model. This model includes the filtered data model that, in turn, allows for tr

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9c68c2ce480fe95dcfc7bbc7a4bc43f3
http://oro.open.ac.uk/22511/1/local_linear_density.pdf

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