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CREATES Research Papers

from School of Economics and Management, University of Aarhus
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2014-56: The Risk Premia Embedded in Index Options Downloads
Torben G. Andersen, Nicola Fusari and Viktor Todorov
2014-55: Forecasting Long Memory Series Subject to Structural Change: A Two-Stage Approach Downloads
Gustavo Fruet Dias and Fotis Papailias
2014-54: On spectral distribution of high dimensional covariation matrices Downloads
Claudio Heinrich and Mark Podolskij
2014-53: Cross listing: price discovery dynamics and exchange rate effects Downloads
Cristina M. Scherrer
2014-52: Testing the maximal rank of the volatility process for continuous diffusions observed with noise Downloads
Tobias Fissler and Mark Podolskij
2014-51: Ambit fields: survey and new challenges Downloads
Mark Podolskij
2014-50: On non-standard limits of Brownian semi-stationary Downloads
Kerstin Gärtner and Mark Podolskij
2014-49: Tail Risk Premia and Return Predictability Downloads
Tim Bollerslev, Viktor Todorov and Lai Xu
2014-48: Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns Downloads
Tim Bollerslev, Sophia Zhengzi Li and Viktor Todorov
2014-47: Dynamic term structure models: The best way to enforce the zero lower bound Downloads
Martin M. Andreasen and Andrew Meldrum
2014-46: On the Selection of Common Factors for Macroeconomic Forecasting Downloads
Alessandro Giovannelli and Tommaso Proietti
2014-45: Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors Downloads
Nektarios Aslanidis, Charlotte Christiansen, Neophytos Lambertides and Christos S. Savva
2014-44: Deterministic and stochastic trends in the Lee-Carter mortality model Downloads
Laurent Callot, Niels Haldrup and Malene Kallestrup Lamb
2014-43: On the identification of fractionally cointegrated VAR models with the F(d) condition Downloads
Paolo Santucci de Magistris and Federico Carlini
2014-42: Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice Downloads
Laurent A. F. Callot, Anders B. Kock and Marcelo C. Medeiros
2014-41: Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy Downloads
Laurent A. F. Callot and Johannes Tang Kristensen
2014-40: Optimal hedging with the cointegrated vector autoregressive model Downloads
Søren Johansen and Lukasz Gatarek
2014-39: Outlier detection algorithms for least squares time series regression Downloads
Søren Johansen and Bent Nielsen
2014-38: Times Series: Cointegration Downloads
Søren Johansen
2014-37: Forecasting Medium and Large Datasets with Vector Autoregressive Moving Average (VARMA) Models Downloads
Gustavo Fruet Dias and George Kapetanios
2014-36: Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso Downloads
Mehmet Caner and Anders Bredahl Kock
2014-35: Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading Downloads
Ulrich Hounyo
2014-34: Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models Downloads
Morten Ørregaard Nielsen
2014-33: Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 Downloads
Massimiliano Caporin, Luca Corazzini and Michele Costola
2014-32: The wild tapered block bootstrap Downloads
Ulrich Hounyo
2014-31: Factor Structure in Commodity Futures Return and Volatility Downloads
Peter F. Christoffersen, Asger Lunde and Kasper V. Olesen
2014-30: ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models Downloads
Michael Creel and Dennis Kristensen
2014-29: Chasing volatility - A persistent multiplicative error model with jumps Downloads
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
2014-28: Fama on bubbles Downloads
Tom Engsted
2014-27: Volatility jumps and their economic determinants Downloads
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
2014-26: Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? Downloads
Markku Lanne, Jani Luoto and Henri Nyberg
2014-25: Bootstrapping Kernel-Based Semiparametric Estimators Downloads
Matias D. Cattaneo and Michael Jansson
2014-24: A fractionally cointegrated VAR analysis of price discovery in commodity futures markets Downloads
Sepideh Dolatabadi, Morten Ørregaard Nielsen and Ke Xu
2014-23: A fractionally cointegrated VAR analysis of economic voting and political support Downloads
Maggie E. C. Jones, Morten Ørregaard Nielsen and Micha l Ksawery Popiel
2014-22: Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets Downloads
Giuseppe Cavaliere, Morten Ørregaard Nielsen and Robert Taylor
2014-21: Discretization of Lévy semistationary processes with application to estimation Downloads
Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen
2014-20: Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach Downloads
Martyna Marczak and Tommaso Proietti
2014-19: Discriminating between fractional integration and spurious long memory Downloads
Niels Haldrup and Robinson Kruse
2014-18: Extreme negative coexceedances in South Eastern European stock markets Downloads
Dragan Tevdovski
2014-17: Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models Downloads
Markku Lanne and Henri Nyberg
2014-16: Simulation of multivariate diffusion bridges Downloads
Mogens Bladt, Samuel Finch and Michael Sørensen
2014-15: On an Estimation Method for an Alternative Fractionally Cointegrated Model Downloads
Federico Carlini and Katarzyna Łasak
2014-14: Functional limit theorems for generalized variations of the fractional Brownian sheet Downloads
Mikko S. Pakkanen and Anthony Réveillac
2014-13: Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification Downloads
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
2014-12: Forecasting with the Standardized Self-Perturbed Kalman Filter Downloads
Stefano Grassi, Nima Nonejad and Paolo Santucci de Magistris
2014-11: Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition Downloads
Yukai Yang
2014-10: Price discovery in dual-class shares across multiple markets Downloads
Marcelo Fernandes and Cristina M. Scherrer
2014-09: A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market Downloads
Stan Hurn, Annastiina Silvennoinen and Timo Teräsvirta
2014-08: Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications Downloads
Timo Teräsvirta and Yukai Yang
2014-07: Noncausal Bayesian Vector Autoregression Downloads
Markku Lanne and Jani Luoto
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