CREATES Research Papers

from School of Economics and Management, University of Aarhus
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2010-52: Detecting Structural Breaks using Hidden Markov Models

Christos Ntantamis

2010-51: A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns

Christos Ntantamis

2010-50: The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model

Bent Jesper Christensen and Petra Posedel

2010-49: Macro Expectations, Aggregate Uncertainty, and Expected Term Premia

Christian David Dick, Maik Schmeling and Andreas Schrimpf

2010-48: Asymptotic normality of the QMLE in the level-effect ARCH model

Christian Møller Dahl and Emma M. Iglesias

2010-47: ICT and Productivity Growth in the 1990's: Panel Data Evidence on Europe

Christian Møller Dahl, Hans Christian Kongsted and Anders Sørensen

2010-46: Habit-based Asset Pricing with Limited Participation Consumption

Christian Bach and Stig Vinther Møller

2010-45: The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts

Rasmus Varneskov and Valeri Voev

2010-44: Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

Jeroen VK Rombouts and Lars Stentoft

2010-43: Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models

Dennis Kristensen

2010-42: Long memory and changing persistence

Robinson Kruse and Philipp Sibbertsen

2010-41: Modelling electricity forward markets by ambit fields

Barndorff–Nielsen, Ole E., Fred Espen Benth and Almut E. D. Veraart

2010-40: Picard Approximation of Stochastic Differential Equations and Application to Libor Models

Antonis Papapantoleon and David Skovmand

2010-39: The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data

Rasmus Varneskov

2010-38: Predictable return distributions

Thomas Quistgaard Pedersen

2010-37: The log-linear return approximation, bubbles, and predictability

Tom Engsted, Thomas Quistgaard Pedersen and Carsten Tanggaard

2010-36: Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency

Robinson Kruse and Rickard Sandberg

2010-35: Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns

Leonidas Tsiaras

2010-34: The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks

Leonidas Tsiaras

2010-33: Maximum likelihood estimation for integrated diffusion processes

Fernando Baltazar-Larios and Michael Sørensen

2010-32: Simple simulation of diffusion bridges with application to likelihood inference for diffusions

Mogens Bladt and Michael Sørensen

2010-31: Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration

Morten Ørregaard Nielsen and Per Frederiksen

2010-30: Non-linear DSGE Models and The Central Difference Kalman Filter

Martin Møller Andreasen

2010-29: Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence

Nikolaus Hautsch and Mark Podolskij

2010-28: Forecasting autoregressive time series under changing persistenceCreation-Date: 20100701

Robinson Kruse

2010-27: Milestones of European Integration: Which matters most for Export Openness?

Robinson Kruse and Sanne Hiller

2010-26: On European monetary integration and the persistence of real effective exchange rates

Robinson Kruse

2010-25: Testing for rational bubbles in a co-explosive vector autoregression

Tom Engsted and Bent Nielsen

2010-24: Likelihood inference for a fractionally cointegrated vector autoregressive model

Soren Johansen and Morten Ørregaard Nielsen

2010-23: Bootstrapping Density-Weighted Average Derivatives

Matias Damian Cattaneo, Richard K. Crump and Michael Jansson

2010-22: Quantitative Breuer-Major Theorems

Ivan Nourdin, Giovanni Peccati and Mark Podolskij

2010-21: Forecast Combinations

Marco Aiolfi, Carlos Capistrán and Allan Timmermann

2010-20: Intertemporal Risk-Return Trade-off in Foreign Exchange Rates

Charlotte Christiansen

2010-19: Multivariate Option Pricing with Time Varying Volatility and Correlations

Jeroen VK Rombouts and Lars Stentoft

2010-18: Modelling energy spot prices by Lévy semistationary processes

Barndorff–Nielsen, Ole E., Fred Espen Benth and Almut E. D. Veraart

2010-17: Ambit processes and stochastic partial differential equations

Barndorff–Nielsen, Ole E., Fred Espen Benth and Almut E. D. Veraart

2010-16: Estimation of Jump Tails

Tim Bollerslev and Viktor Todorov

2010-15: Smooth Transition Patterns in the Realized Stock Bond Correlation

Nektarios Aslanidis and Charlotte Christiansen

2010-14: An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses

Bent Jesper Christensen and Michel van der Wel

2010-13: Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility

Peter Reinhard Hansen, Zhuo Huang and Howard Howan Shek

2010-12: The SR Approach: a new Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models

Martin Møller Andreasen and Bent Jesper Christensen

2010-11: Affine Bond Pricing with a Mixture Distribution for Interest Rate Time-Series DynamicsCreation-Date: 20100225

Torben B. Rasmussen

2010-10: Stochastic Volatility

Torben G. Andersen and Luca Benzoni

2010-09: Pitfalls in VAR based return decompositions: A clarification

Tom Engsted, Thomas Quistgaard Pedersen and Carsten Tanggaard

2010-08: Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error

Peter Reinhard Hansen and Asger Lunde

2010-07: Bootstrap Sequential Determination of the Co-integration Rank in VAR Models

Giuseppe Cavaliere, Anders Rahbek and Robert Taylor

2010-06: Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

Soren Johansen and Bent Nielsen

2010-05: Non-linear DSGE Models and The Optimized Particle Filter

Martin Møller Andreasen

2010-04: The Taylor Rule and “Opportunistic” Monetary Policy

Helle Bunzel and Walter Enders

2010-03: Dividend predictability around the world

Jesper Rangvid, Maik Schmeling and Andreas Schrimpf