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CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2017-20: A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices Downloads
Tommaso Proietti and Alessandro Giovannelli
2017-19: Statistical tests for equal predictive ability across multiple forecasting methods Downloads
Daniel Borup and Martin Thyrsgaard
2017-18: Bootstrap-Based Inference for Cube Root Consistent Estimators Downloads
Matias D. Cattaneo, Michael Jansson and Kenichi Nagasawa
2017-17: Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles Downloads
Massimo Franchi and Søren Johansen
2017-16: Does the ARFIMA really shift? Downloads
Davide Delle Monache, Stefano Grassi and Paolo Santucci de Magistris
2017-15: A Non-Structural Investigation of VIX Risk Neutral Density Downloads
Andrea Barletta, Paolo Santucci de Magistris and Francesco Violante
2017-14: The Extended Perturbation Method: New Insights on the New Keynesian Model Downloads
Martin M. Andreasen and Anders Kronborg
2017-13: Picking Funds with Confidence Downloads
Niels S. Grønborg, Asger Lunde, Allan Timmermann and Russ Wermers
2017-12: The role of cointegration for optimal hedging with heteroscedastic error term Downloads
Lukasz Gatarek and Søren Johansen
2017-11: Cointegration between trends and their estimators in state space models and CVAR models Downloads
Soren Johansen and Morten Tabor
2017-10: Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability Downloads
Jeroen V.K. Rombouts, Lars Stentoft and Francesco Violante
2017-09: Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations Downloads
Thomas Pedersen and Erik Christian Montes Schütte
2017-08: Insight into the Female Longevity Puzzle: Using Register Data to Analyse Mortality and Cause of Death Behaviour Across Socio-economic Groups Downloads
Malene Kallestrup-Lamb and Carsten P.T. Rosenskjold
2017-07: Modeling and forecasting electricity price jumps in the Nord Pool power market Downloads
Oskar Knapik
2017-06: The Walking Debt Crisis Downloads
Tobias Basse, Robinson Kruse and Christoph Wegener
2017-05: Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis Downloads
Matthew T. Holt and Timo Teräsvirta
2017-04: Sir Clive Granger's contributions to nonlinear time series and econometrics Downloads
Timo Teräsvirta
2017-03: A regime-switching stochastic volatility model for forecasting electricity prices Downloads
Peter Exterkate and Oskar Knapik
2017-02: Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form Downloads
Giuseppe Cavaliere, Morten Nielsen and Robert Taylor
2017-01: Predicting Bond Betas using Macro-Finance Variables Downloads
Nektarios Aslanidis, Charlotte Christiansen and Andrea Cipollini
2016-33: Estimation of the global regularity of a multifractional Brownian motion Downloads
Joachim Lebovits and Mark Podolskij
2016-32: A New Index of Housing Sentiment Downloads
Lasse Bork, Stig V. Møller and Thomas Pedersen
2016-31: Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure Downloads
Carlos Vladimir Rodríguez-Caballero
2016-30: Forecasting daily political opinion polls using the fractionally cointegrated VAR model Downloads
Morten Nielsen and Sergei Shibaev
2016-29: Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation Downloads
Hossein Asgharian, Charlotte Christiansen, Rangan Gupta and Ai Jun Hou
2016-28: The Drift Burst Hypothesis Downloads
Kim Christensen, Roel Oomen and Roberto Renò
2016-27: Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach Downloads
Kim Christensen, Ulrich Hounyo and Mark Podolskij
2016-26: Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia Downloads
Martin M. Andreasen, Tom Engsted, Stig V. Møller and Magnus Sander
2016-25: Smoothing price discovery measures over time in a continuous-time setting Downloads
Gustavo Fruet Dias, Marcelo Fernandes and Cristina M. Scherrer
2016-24: Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes Downloads
Shin Kanaya
2016-23: A Dynamic Multi-Level Factor Model with Long-Range Dependence Downloads
Yunus Emre Ergemen and Carlos Vladimir Rodríguez-Caballero
2016-22: The cointegrated vector autoregressive model with general deterministic terms Downloads
Soren Johansen and Morten Nielsen
2016-21: Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data Downloads
Mikkel Bennedsen
2016-20: Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach Downloads
Andrea Barletta, Paolo Santucci de Magistris and Francesco Violante
2016-19: Volume, Volatility and Public News Announcements Downloads
Tim Bollerslev, Jia Li and Yuan Xue
2016-18: Tightness of M-estimators for multiple linear regression in time series Downloads
Soren Johansen and Bent Nielsen
2016-17: Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting Downloads
Robinson Kruse, Christian Leschinski and Michael Will
2016-16: Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution Downloads
Martin M. Andreasen and Kasper Jørgensen
2016-15: The Local Fractional Bootstrap Downloads
Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde and Mikko S. Pakkanen
2016-14: Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index Downloads
Andrew J.G. Cairns, Malene Kallestrup-Lamb, Carsten P.T. Rosenskjold, David Blake and Kevin Dowd
2016-13: Arbitrage without borrowing or short selling? Downloads
Mikko S. Pakkanen and Jani Lukkarinen
2016-12: Inference in partially identified models with many moment inequalities using Lasso Downloads
Federico A. Bugni, Mehmet Caner, Anders Kock and Soumendra Lahiri
2016-11: The predictive power of dividend yields for future infl?ation: Money illusion or rational causes? Downloads
Tom Engsted and Thomas Pedersen
2016-10: Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions Downloads
Tim Bollerslev, Andrew Patton and Rogier Quaedvlieg
2016-09: Assessing Gamma kernels and BSS/LSS processes Downloads
Ole E. Barndorff-Nielsen
2016-08: A generalized exponential time series regression model for electricity prices Downloads
Niels Haldrup, Oskar Knapik and Tommaso Proietti
2016-07: Volatility Discovery Downloads
Gustavo Fruet Dias, Cristina M. Scherrer and Fotis Papailias
2016-06: House price fluctuations and the business cycle dynamics Downloads
Girum Abate and Luc Anselin
2016-05: Generalized Efficient Inference on Factor Models with Long-Range Dependence Downloads
Yunus Emre Ergemen
2016-04: Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression Downloads
Markku Lanne and Jani Luoto
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