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CREATES Research Papers

From School of Economics and Management, University of Aarhus
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2015-51: Exponential Smoothing, Long Memory and Volatility Prediction Downloads
Tommaso Proietti
2015-50: Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach Downloads
Shin Kanaya
2015-49: Credit policies before and during the financial crisis Downloads
Palle Sørensen
2015-48: The Role of Credit in Predicting US Recessions Downloads
Harri Pönkä
2015-47: Testing constancy of unconditional variance in volatility models by misspecification and specification tests Downloads
Annastiina Silvennoinen and Timo Teräsvirta
2015-46: A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method Downloads
Asger Lunde, Anne Floor Brix and Wei Wei
2015-45: Inference from high-frequency data: A subsampling approach Downloads
Ulrich Hounyo, Mark Podolskij, Nopporn Thamrongrat and Bezirgen Veliyev
2015-44: Expected Business Conditions and Bond Risk Premia Downloads
Jonas Nygaard Eriksen
2015-43: Hybrid scheme for Brownian semistationary processes Downloads
Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen
2015-42: Rough electricity: a new fractal multi-factor model of electricity spot prices Downloads
Mikkel Bennedsen
2015-41: Parametric Portfolio Policies with Common Volatility Dynamics Downloads
Yunus Emre Ergemen and Abderrahim Taamouti
2015-40: Forecasting the Global Mean Sea Level, a Continuous-Time State-Space Approach Downloads
Lorenzo Boldrini
2015-39: The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach Downloads
Lorenzo Boldrini and Eric Hillebrand
2015-38: Supervision in Factor Models Using a Large Number of Predictors Downloads
Lorenzo Boldrini and Eric Hillebrand
2015-37: Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints Downloads
Markku Lanne and Jani Luoto
2015-36: Nonlinear dynamic interrelationships between real activity and stock returns Downloads
Markku Lanne and Henri Nyberg
2015-35: Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence Downloads
Yunus Emre Ergemen and Carlos Velasco
2015-34: A Jump-Diffusion Model with Stochastic Volatility and Durations Downloads
Wei Wei and Denis Pelletier
2015-33: Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval Downloads
Nina Munkholt Jakobsen and Michael Sørensen
2015-32: Which pricing approach for options under GARCH with non-normal innovations? Downloads
ean-Guy Simonato and Lars Stentoft
2015-31: Treatment Effects with Many Covariates and Heteroskedasticity Downloads
Matias Cattaneo, Michael Jansson and Whitney K. Newey
2015-30: Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach Downloads
Davide Delle Monache, Stefano Grassi and Paolo Santucci de Magistris
2015-29: Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation Downloads
Laurent Callot and Johannes Kristensen
2015-28: Seasonal Changes in Central England Temperatures Downloads
Tommaso Proietti and Eric Hillebrand
2015-27: Nonstationary ARCH and GARCH with t-distributed Innovations Downloads
Rasmus Pedersen and Anders Rahbek
2015-26: A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation Downloads
Ulrich Hounyo and Rasmus T. Varneskov
2015-25: Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination Downloads
Bent Jesper Christensen and Rasmus T. Varneskov
2015-24: Generalised partial autocorrelations and the mutual information between past and future Downloads
Tommaso Proietti and Alessandra Luati
2015-23: Data revisions and the statistical relation of global mean sea-level and temperature Downloads
Eric Hillebrand, Soren Johansen and Torben Schmith
2015-22: Space-time modeling of electricity spot prices Downloads
Girum Abate and Niels Haldrup
2015-21: Validity of Edgeworth expansions for realized volatility estimators Downloads
Ulrich Hounyo and Bezirgen Veliyev
2015-20: International Sign Predictability of Stock Returns: The Role of the United States Downloads
Henri Nyberg and Harri Pönkä
2015-19: A Markov Chain Estimator of Multivariate Volatility from High Frequency Data Downloads
Peter Hansen, Guillaume Horel, Asger Lunde and Ilya Archakov
2015-18: A Martingale Decomposition of Discrete Markov Chains Downloads
Peter Hansen
2015-17: Counting Processes for Retail Default Modeling Downloads
Nicholas M. Kiefer and C. Erik Larson
2015-16: Identification and estimation of non-Gaussian structural vector autoregressions Downloads
Markku Lanne, Mika Meitz and Pentti Saikkonen
2015-15: Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets Downloads
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
2015-14: Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting Downloads
Tim Bollerslev, Andrew Patton and Rogier Quaedvlieg
2015-13: Dynamic Factor Models for the Volatility Surface Downloads
Michel van der Wel, Sait Ozturk and Dick van Dijk
2015-12: EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area Downloads
Tommaso Proietti, Martyna Marczak and Gianluigi Mazzi
2015-11: Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) Downloads
Arianna Agosto, Giuseppe Cavaliere, Dennis Kristensen and Anders Rahbek
2015-10: Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models Downloads
Laurent Callot, Mehmet Caner, Anders Kock and Juan Andreas Riquelme
2015-09: Unbalanced Regressions and the Predictive Equation Downloads
Daniela Osterrieder, Daniel Ventosa-Santaulària and J Vera-Valdés
2015-08: Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis Downloads
Alfonso Irarrazabal and Juan Parra-Alvarez
2015-07: Option Valuation with Observable Volatility and Jump Dynamics Downloads
Peter Christoffersen, Bruno Feunou and Yoontae Jeon
2015-06: Oil Volatility Risk and Expected Stock Returns Downloads
Peter Christoffersen and Xuhui (Nick) Pan
2015-05: Equity Portfolio Management Using Option Price Information Downloads
Peter Christoffersen and Xuhui (Nick) Pan
2015-04: Understanding volatility dynamics in the EU-ETS market Downloads
María Eugenia Sanin Vázquez, Maria Mansanet-Bataller and Francesco Violante
2015-03: Weak diffusion limits of dynamic conditional correlation models Downloads
Christian Hafner, Sébastien Laurent and Francesco Violante
2015-02: Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions Downloads
Tim Bollerslev, Andrew Patton and Wenjing Wang
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