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CREATES Research Papers

from School of Economics and Management, University of Aarhus
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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 Søndergaard 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, Søren Johansen and Torben Schmith
2015-22: Space-time modeling of electricity spot prices Downloads
Girum D. 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 R. 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
2015-01: Explosive bubbles in house prices? Evidence from the OECD countries Downloads
Tom Engsted, Simon J. Hviid and Thomas Pedersen
2014-58: Inference in High-dimensional Dynamic Panel Data Models Downloads
Anders Kock and Haihan Tang
2014-57: Indirect inference with time series observed with error Downloads
Eduardo Rossi and Paolo Santucci de Magistris
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 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 Callot, Anders Kock and Marcelo Medeiros
2014-41: Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy Downloads
Laurent Callot and Johannes Kristensen
2014-40: Optimal hedging with the cointegrated vector autoregressive model Downloads
Soren Johansen and Lukasz Gatarek
2014-39: Outlier detection algorithms for least squares time series regression Downloads
Soren Johansen and Bent Nielsen
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