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CREATES Research Papers

from School of Economics and Management, University of Aarhus
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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 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 A.M. 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
2014-06: Are University Admissions Academically Fair? Downloads
Debopam Bhattacharya, Shin Kanaya and Margaret Stevens
2014-05: Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity Downloads
Kris Boudt, Sébastien Laurent, Asger Lunde and Rogier Quaedvlieg
2014-04: Linearity and Misspecification Tests for Vector Smooth Transition Regression Models Downloads
Timo Teräsvirta and Yukai Yang
2014-03: A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model Downloads
Paul Sebastian Catani, Timo Teräsvirta and Meiqun Yin
2014-02: 150 Years of Italian CO2 Emissions and Economic Growth Downloads
Barbara Annicchiarico, Anna Rita Bennato and Emilio Zanetti Chini
2014-01: Bagging Weak Predictors Downloads
Manuel Lukas and Eric Hillebrand
2013-52: The Fine Structure of Equity-Index Option Dynamics Downloads
Torben G. Andersen, Oleg Bondarenko, Viktor Todorov and George Tauchen
2013-51: Oracle Inequalities for Convex Loss Functions with Non-Linear Targets Downloads
Mehmet Caner and Anders Bredahl Kock
2013-50: Nonparametric Estimation of Cumulative Incidence Functions for Competing Risks Data with Missing Cause of Failure Downloads
Georgios Effraimidis and Christian M. Dahl
2013-49: Correlation Dynamics and International Diversification Benefits Downloads
Peter F. Christoffersen, Vihang R. Errunza, Kris Jacobs and Xisong Jin
2013-48: Illiquidity Premia in the Equity Options Market Downloads
Peter F. Christoffersen, Ruslan Goyenko, Kris Jacobs and Mehdi Karoui
2013-47: The Factor Structure in Equity Options Downloads
Peter F. Christoffersen, Mathieu Fournier and Kris Jacobs
2013-46: Dynamic Diversification in Corporate Credit Downloads
Peter F. Christoffersen, Kris Jacobs, Xisong Jin and Hugues Langlois
2013-45: Rare Disasters and Credit Market Puzzles Downloads
Peter F. Christoffersen, Du Du and Redouane Elkamhi
2013-44: On the identification of fractionally cointegrated VAR models with the F(d) condition Downloads
Federico Carlini and Paolo Santucci de Magistris
2013-43: Assessing Measures of Order Flow Toxicity via Perfect Trade Classification Downloads
Torben G. Andersen and Oleg Bondarenko
2013-42: Reflecting on the VPN Dispute Downloads
Torben G. Andersen and Oleg Bondarenko
2013-41: Does Realized Skewness Predict the Cross-Section of Equity Returns? Downloads
Diego Amaya, Peter F. Christoffersen, Kris Jacbos and Aurelio Vasquez
2013-40: Polynomial Regressions and Nonsense Inference Downloads
Daniel Ventosa-Santaulària and Carlos Vladimir Rodríguez-Caballero
2013-39: A comparison of numerical methods for the solution of continuous-time DSGE models Downloads
Juan Carlos Parra-Alvarez
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