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CREATES Research Papers

from School of Economics and Management, University of Aarhus
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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
A.S. 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
2013-38: Sticky continuous processes have consistent price systems Downloads
Christian Bender, Mikko S. Pakkanen and Hasanjen Sayit
2013-37: Classifying Returns as Extreme: European Stock and Bond Markets Downloads
Charlotte Christiansen
2013-36: Analyzing Oil Futures with a Dynamic Nelson-Siegel Model Downloads
Niels S. Hansen and Asger Lunde
2013-35: A unified framework for testing in the linear regression model under unknown order of fractional integration Downloads
Bent Jesper Christensen, Robinson Kruse and Philipp Sibbertsen
2013-34: The Exponential Model for the Spectrum of a Time Series: Extensions and Applications Downloads
Tommaso Proietti and Alessandra Luati
2013-33: Edgeworth expansion for functionals of continuous diffusion processes Downloads
Mark Podolskij and Nakahiro Yoshida
2013-32: Generalizing smooth transition autoregressions Downloads
Emilio Zanetti Chini
2013-31: Risk-Return Trade-Off for European Stock Markets Downloads
Nektarios Aslanidis, Charlotte Christiansen and Christos Savvas Savva
2013-30: Bootstrapping realized volatility and realized beta under a local Gaussianity assumption Downloads
Ulrich Hounyo
2013-29: Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series Downloads
Jiti GAO, Shin Kanaya, Degui Li and Dag Tjøstheim
2013-28: Bootstrapping pre-averaged realized volatility under market microstructure noise Downloads
Ulrich Hounyo, Silvia Goncalves and Nour Meddahi
2013-27: Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox Downloads
Nima Nonejad
2013-26: Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach Downloads
Nima Nonejad
2013-25: Time-Consistency Problem and the Behavior of US Inflation from 1970 to 2008 Downloads
Nima Nonejad
2013-24: A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory Downloads
Nima Nonejad
2013-23: Estimating Stochastic Volatility Models using Prediction-based Estimating Functions Downloads
Asger Lunde and Anne Floor Brix
2013-22: Diffusion Indexes with Sparse Loadings Downloads
Johannes Tang Kristensen
2013-21: Lassoing the Determinants of Retirement Downloads
Malene Kallestrup-Lamb, Anders Bredahl Kock and Johannes Tang Kristensen
2013-20: Oracle inequalities for high-dimensional panel data models Downloads
Anders Bredahl Kock
2013-19: Modeling and Forecasting the Volatility of Energy Forward Returns - Evidence from the Nordic Power Exchange Downloads
Asger Lunde and Kasper V. Olesen
2013-18: Thresholds and Smooth Transitions in Vector Autoregressive Models Downloads
Kirstin Hubrich and Timo Teräsvirta
2013-17: Interest Rates with Long Memory: A Generalized Affine Term-Structure Model Downloads
Daniela Osterrieder
2013-16: Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression Downloads
Peter Exterkate, Patrick Groenen, Christiaan Heij and Dick van Dijk
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