Hans Mikkelsen

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The new class of Fractionally Integrated Generalized AutoRegressive Conditionally Heteroskedastic (FIGARCH) processes is introduced. The conditional variance of the process implies a slow hyperbolic rate of decay for the influence of lagged squared innovations. Unlike I(d) processes for the mean, Maximum Likelihood Estimates (MLE) of the F IGARCH parameters(More)
Recent empirical "ndings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a(More)
Recent financial institution research at MKMV has focused on the implications of the fact that certain large banks and non-bank financial institutions behave as combinations of two quite different businesses: a financial asset portfolio and franchise or service business. This dual-business behavior can potentially have a non-intuitive impact on EDF levels.(More)
The fraction of extractable extracellular polymeric substances (EPS) and the shear sensitivity (k(ss)) are key parameters with respect to sludge dewatering, affecting the dry matter content of dewatered sludge and the dewatering rate and conditioner demand, respectively. Methods are described for determination of the two key parameters by use of the same(More)
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