Fingerprint The fingerprint is based on mining the text of the scientific documents related to the associated persons. Based on that an index of weighted terms is created, which defines the key subjects of research unit

Jump Mathematics
Semimartingale Mathematics
Volatility Mathematics
Loans Business & Economics
High-frequency Data Mathematics
Limit Theorems Mathematics
Assets Business & Economics
Costs Business & Economics

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No photo of Torben Andersen

Torben Andersen

Person: Academic

No photo of Scott Ross Baker
No photo of Efraim Benmelech

Efraim Benmelech

Person: Academic


Research Output 1957 2019

Dividend Dynamics, Learning, and Expected Stock Index Returns

Jagannathan, R. & Liu, B., Feb 1 2019, In : Journal of Finance. 74, 1, p. 401-448 48 p.

Research output: Contribution to journalArticle

Learning dynamics
Stock index
Time horizon
1 Citations

Nonparametric implied lévy densities

Qin, L. & Todorov, V., Apr 1 2019, In : Annals of Statistics. 47, 2, p. 1025-1060 36 p.

Research output: Contribution to journalArticle

Integrated Squared Error
Relative Stability
Density Estimates
Density Estimator

Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale

Todorov, V., Feb 1 2019, In : Stochastic Processes and their Applications. 129, 2, p. 419-451 33 p.

Research output: Contribution to journalArticle

Nonparametric Inference
Spectral Measure
Spectral density

Grants 2013 2020