CREATES Research Papers

from School of Economics and Management, University of Aarhus
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2013-15: Assessing Relative Volatility/Intermittency/Energy Dissipation

Ole E. Barndorff-Nielsen, Mikko S. Pakkanen and Jürgen Schmiegel

2013-14: Forecasting US Recessions: The Role of Sentiments

Charlotte Christiansen, Jonas Nygaard Eriksen and Stig V. Møller

2013-13: Bond return predictability in expansions and recessions

Tom Engsted, Stig V. Møller and Magnus Sander

2013-12: The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

Martin M. Andreasen, Jesus Fernandez-Villaverde and Juan F. Rubio-Ramírez

2013-11: Changes in persistence, spurious regressions and the Fisher hypothesis

Robinson Kruse, Daniel Ventosa-Santaulària and Antonio E. Noriega

2013-10: Bias-corrected estimation in potentially mildly explosive autoregressive models

Hendrik Kaufmannz and Robinson Kruse

2013-09: Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman K. van Dijk

2013-08: Fractional cointegration rank estimation

Katarzyna Lasak and Carlos Velasco

2013-07: Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns

Sílvia Gonçalves, Ulrich Hounyo and Nour Meddahi

2013-06: Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets

Debopam Bhattacharya, Pascaline Dupas and Shin Kanaya

2013-05: Asymptotic analysis of the Forward Search

Soren Johansen and Bent Nielsen

2013-04: Housing market volatility in the OECD area: Evidence from VAR based return decompositions

Tom Engsted and Thomas Quistgaard Pedersen

2013-03: It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model

Stefano Grassi and Paolo Santucci de Magistris

2013-02: Risk premia in energy markets

Almut E. D. Veraart and Luitgard Veraart

2013-01: Limit theorems for power variations of ambit fields driven by white noise

Mikko S. Pakkanen

2012-58: Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries

Tom Engsted and Thomas Quistgaard Pedersen

2012-57: A test for the rank of the volatility process: the random perturbation approach

Jean Jacod and Mark Podolskij

2012-56: And Now, The Rest of the News: Volatility and Firm Specific News Arrival

Robert F. Engle, Martin Klint Hansen and Asger Lunde

2012-55: A Non-standard Empirical Likelihood for Time Series

Daniel J. Nordman, Helle Bunzel and Soumendra N. Lahiri

2012-54: Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis

Matthew T. Holt and Timo Teräsvirta

2012-53: Multivariate Variance Targeting in the BEKK-GARCH Model

Rasmus Søndergaard Pedersen and Anders Rahbek

2012-52: Asymptotic theory for Brownian semi-stationary processes with application to turbulence

José Manuel Corcuera, Emil Hedevang, Mikko S. Pakkanen and Mark Podolskij

2012-51: Stock Return and Cash Flow Predictability: The Role of Volatility Risk

Tim Bollerslev, Lai Xu and Hao Zhou

2012-50: GARCH Option Valuation: Theory and Evidence

Peter F. Christoffersen, Kris Jacobs and Chayawat Ornthanalai

2012-49: Nonlinear Kalman Filtering in Affine Term Structure Models

Peter F. Christoffersen, Christian Dorion, Kris Jacobs and Karoui, Lot?fi

2012-48: Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach

Peter F. Christoffersen, Vihang Errunza, Kris Jacobs and Hugues Langlois

2012-47: The role of initial values in nonstationary fractional time series models

Soren Johansen and Morten Ørregaard Nielsen

2012-46: The Selection of ARIMA Models with or without Regressors

Soren Johansen, Marco Riani and Anthony C. Atkinson

2012-45: Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics

Peter Reinhard Hansen and Allan Timmermann

2012-44: Exponential GARCH Modeling with Realized Measures of Volatility

Peter Reinhard Hansen and Zhuo Huang

2012-43: Choice of Sample Split in Out-of-Sample Forecast Evaluation

Peter Reinhard Hansen and Allan Timmermann

2012-42: End-of-the-year economic growth and time-varying expected returns

Stig Vinther Møller and Jesper Rangvid

2012-41: Let's Do It Again: Bagging Equity Premium Predictors

Eric Hillebrand, Tae-Hwy Lee and Marcelo C. Medeiros

2012-40: Limit theorems for non-degenerate U-statistics of continuous semimartingales

Mark Podolskij, Christian Schmidt and Johanna Fasciati Ziegel

2012-39: Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model

H. Peter Boswijk, Michael Jansson and Morten Ørregaard Nielsen

2012-38: Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions

Anders Bredahl Kock and Laurent A. F. Callot

2012-37: Estimating High-Dimensional Time Series Models

Marcelo C. Medeiros and Eduardo F. Mendes

2012-36: Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models

Giuseppe Cavaliere, Anders Rahbek and Robert Taylor

2012-35: The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums

Daniela Osterrieder and Peter C. Schotman

2012-34: Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy

Nektarios Aslanidis and Charlotte Christiansen

2012-33: Integration of European Bond Markets

Charlotte Christiansen

2012-32: Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM

Olaf Posch and Andreas Schrimpf

2012-31: Asymptotic Theory for Regressions with Smoothly Changing Parameters

Eric Hillebrand, Marcelo C. Medeiros and Junyue Xu

2012-30: Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models

Eric Hillebrand and Marcelo C. Medeiros

2012-29: Unit Root Vector Autoregression with volatility Induced Stationarity

Anders Rahbek and Heino Bohn Nielsen

2012-28: Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?

Johannes Tang Kristensen

2012-27: Housing price forecastability: A factor analysis

Lasse Bork and Stig Vinther Møller

2012-26: Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces

Lei Pan, Olaf Posch and Michel van der Wel

2012-25: Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates

Heejoon Han and Dennis Kristensen

2012-24: Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs

Zhenjiang Qin