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CREATES Research Papers

From School of Economics and Management, University of Aarhus
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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
2016-03: Dynamic Global Currency Hedging Downloads
Bent Jesper Christensen and Rasmus T. Varneskov
2016-02: System Estimation of Panel Data Models under Long-Range Dependence Downloads
Yunus Emre Ergemen
2016-01: Fixed-b Inference in the Presence of Time-Varying Volatility Downloads
Matei Demetrescu, Christoph Hanck and Robinson Kruse
2015-61: Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models Downloads
Jakob Mikkelsen, Eric Hillebrand and Giovanni Urga
2015-60: Edgeworth expansion for the pre-averaging estimator Downloads
Mark Podolskij, Bezirgen Veliyev and Nakahiro Yoshida
2015-59: Long Memory, Fractional Integration, and Cross-Sectional Aggregation Downloads
Niels Haldrup and J Vera-Valdés
2015-58: Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads Downloads
Yunus Emre Ergemen, Niels Haldrup and Carlos Vladimir Rodríguez-Caballero
2015-57: On critical cases in limit theory for stationary increments Lévy driven moving averages Downloads
Andreas Basse-O'Connor and Mark Podolskij
2015-56: Limit theorems for stationary increments Lévy driven moving averages Downloads
Andreas Basse-O'Connor, Raphaël Lachièze-Rey and Mark Podolskij
2015-55: Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels Downloads
Kadir G. Babaoglou, Peter Christoffersen, Steven L. Heston and Kris Jacobs
2015-54: Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk Downloads
Peter Christoffersen, Mathieu Fournier, Kris Jacobs and Mehdi Karoui
2015-53: A weak limit theorem for numerical approximation of Brownian semi-stationary processes Downloads
Mark Podolskij and Nopporn Thamrongrat
2015-52: On U- and V-statistics for discontinuous Itô semimartingale Downloads
Mark Podolskij, Christian Schmidt and Mathias Vetter
2015-51: Exponential Smoothing, Long Memory and Volatility Prediction Downloads
Tommaso Proietti
2015-50: Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach Downloads
Shin Kanaya
2015-49: Credit policies before and during the financial crisis Downloads
Palle Sørensen
2015-48: The Role of Credit in Predicting US Recessions Downloads
Harri Pönkä
2015-47: Testing constancy of unconditional variance in volatility models by misspecification and specification tests Downloads
Annastiina Silvennoinen and Timo Teräsvirta
2015-46: A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method Downloads
Asger Lunde, Anne Floor Brix and Wei Wei
2015-45: Inference from high-frequency data: A subsampling approach Downloads
Kim Christensen, Mark Podolskij, Nopporn Thamrongrat and Bezirgen Veliyev
2015-44: Expected Business Conditions and Bond Risk Premia Downloads
Jonas Nygaard Eriksen
2015-43: Hybrid scheme for Brownian semistationary processes Downloads
Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen
2015-42: Rough electricity: a new fractal multi-factor model of electricity spot prices Downloads
Mikkel Bennedsen
2015-41: Parametric Portfolio Policies with Common Volatility Dynamics Downloads
Yunus Emre Ergemen and Abderrahim Taamouti
2015-40: Forecasting the Global Mean Sea Level, a Continuous-Time State-Space Approach Downloads
Lorenzo Boldrini
2015-39: The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach Downloads
Lorenzo Boldrini and Eric Hillebrand
2015-38: Supervision in Factor Models Using a Large Number of Predictors Downloads
Lorenzo Boldrini and Eric Hillebrand
2015-37: Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints Downloads
Markku Lanne and Jani Luoto
2015-36: Nonlinear dynamic interrelationships between real activity and stock returns Downloads
Markku Lanne and Henri Nyberg
2015-35: Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence Downloads
Yunus Emre Ergemen and Carlos Velasco
2015-34: A Jump-Diffusion Model with Stochastic Volatility and Durations Downloads
Wei Wei and Denis Pelletier
2015-33: Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval Downloads
Nina Munkholt Jakobsen and Michael Sørensen
2015-32: Which pricing approach for options under GARCH with non-normal innovations? Downloads
ean-Guy Simonato and Lars Stentoft
2015-31: Treatment Effects with Many Covariates and Heteroskedasticity Downloads
Matias Cattaneo, Michael Jansson and Whitney K. Newey
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 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, Soren Johansen and Torben Schmith
2015-22: Space-time modeling of electricity spot prices Downloads
Girum 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
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