Economics at your fingertips  

CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
Series data maintained by ().

Access Statistics for this working paper series.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

2018-08: Short-Term Market Risks Implied by Weekly Options Downloads
Torben G. Andersen, Nicola Fusari and Viktor Todorov
2018-07: The Risk Premia Embedded in Index Options Downloads
Torben G. Andersen, Nicola Fusari and Viktor Todorov
2018-06: A Parametric Factor Model of the Term Structure of Mortality Downloads
Niels Haldrup and Carsten P. T. Rosenskjold
2018-05: Time-Varying Periodicity in Intraday Volatility Downloads
Torben G. Andersen, Martin Thyrsgaard and Viktor Todorov
2018-04: Option Panels in Pure-Jump Settings Downloads
Torben Andersen, Nicola Fusari, Viktor Todorov and Rasmus T. Varneskov
2018-03: Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span Downloads
Torben Andersen, Nicola Fusari, Viktor Todorov and Rasmus T. Varneskov
2018-02: The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets Downloads
Torben Andersen, Nicola Fusari and Viktor Todorov
2018-01: Forecaster’s utility and forecasts coherence Downloads
Emilio Zanetti Chini
2017-39: Spikes and memory in (Nord Pool) electricity price spot prices Downloads
Tommaso Proietti, Niels Haldrup and Oskar Knapik
2017-38: Flight to Safety from European Stock Markets Downloads
Nektarios Aslanidis and Charlotte Christiansen
2017-37: Testing the CVAR in the fractional CVAR model Downloads
Soren Johansen and Morten Nielsen
2017-36: Panel Smooth Transition Regression Models Downloads
Andres Gonzalez, Timo Teräsvirta, Dick van Dijk and Yukai Yang
2017-35: Identification and estimation of heterogeneous agent models: A likelihood approach Downloads
Juan Carlos Parra-Alvarez, Olaf Posch and Mu-Chun Wang
2017-34: Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing Downloads
Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou and Weining Wang
2017-33: Time-varying coefficient estimation in SURE models. Application to portfolio management Downloads
Isabel Casas, Eva Ferreira and Susan Orbe
2017-32: Nonlinear models in macroeconometrics Downloads
Timo Teräsvirta
2017-31: Term Structure Analysis with Big Data Downloads
Martin M. Andreasen, Jens H.E. Christensen and Glenn Rudebusch
2017-30: Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment Downloads
Kim Christensen, Ulrich Hounyo and Mark Podolskij
2017-29: Modelling and forecasting WIG20 daily returns Downloads
Cristina Amado, Annastiina Silvennoinen and Timo Teräsvirta
2017-28: Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model Downloads
Annastiina Silvennoinen and Timo Teräsvirta
2017-27: The TIPS Liquidity Premium Downloads
Martin M. Andreasen, Jens H.E. Christensen and Simon Riddell
2017-26: Decoupling the short- and long-term behavior of stochastic volatility Downloads
Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen
2017-25: The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode Downloads
Massimiliano Caporin, Gisle Natvik, Francesco Ravazzolo and Paolo Santucci de Magistris
2017-24: Inference from the futures: ranking the noise cancelling accuracy of realized measures Downloads
Giorgio Mirone
2017-23: The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment Downloads
Roman Frydman, Soren Johansen, Anders Rahbek and Morten Tabor
2017-22: Testing for time-varying loadings in dynamic factor models Downloads
Jeroen V.K. Rombouts and Jakob Guldbæk Mikkelsen
2017-21: Variance swap payoffs, risk premia and extreme market conditions Downloads
Jeroen V.K. Rombouts, Lars Stentoft and Francesco Violante
2017-20: A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices Downloads
Tommaso Proietti and Alessandro Giovannelli
2017-19: Statistical tests for equal predictive ability across multiple forecasting methods Downloads
Daniel Borup and Martin Thyrsgaard
2017-18: Bootstrap-Based Inference for Cube Root Consistent Estimators Downloads
Matias Cattaneo, Michael Jansson and Kenichi Nagasawa
2017-17: Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles Downloads
Massimo Franchi and Soren Johansen
2017-16: Does the ARFIMA really shift? Downloads
Davide Delle Monache, Stefano Grassi and Paolo Santucci de Magistris
2017-15: A Non-Structural Investigation of VIX Risk Neutral Density Downloads
Andrea Barletta, Paolo Santucci de Magistris and Francesco Violante
2017-14: The Extended Perturbation Method: New Insights on the New Keynesian Model Downloads
Martin M. Andreasen and Anders Kronborg
2017-13: Picking Funds with Confidence Downloads
Niels S. Grønborg, Asger Lunde, Allan Timmermann and Russ Wermers
2017-12: The role of cointegration for optimal hedging with heteroscedastic error term Downloads
Lukasz Gatarek and Soren Johansen
2017-11: Cointegration between trends and their estimators in state space models and CVAR models Downloads
Soren Johansen and Morten Tabor
2017-10: Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability Downloads
Jeroen V.K. Rombouts, Lars Stentoft and Francesco Violante
2017-09: Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations Downloads
Thomas Pedersen and Erik Christian Montes Schütte
2017-08: Insight into the Female Longevity Puzzle: Using Register Data to Analyse Mortality and Cause of Death Behaviour Across Socio-economic Groups Downloads
Malene Kallestrup-Lamb and Carsten P.T. Rosenskjold
2017-07: Modeling and forecasting electricity price jumps in the Nord Pool power market Downloads
Oskar Knapik
2017-06: The Walking Debt Crisis Downloads
Tobias Basse, Robinson Kruse and Christoph Wegener
2017-05: Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis Downloads
Matthew T. Holt and Timo Teräsvirta
2017-04: Sir Clive Granger's contributions to nonlinear time series and econometrics Downloads
Timo Teräsvirta
2017-03: A regime-switching stochastic volatility model for forecasting electricity prices Downloads
Peter Exterkate and Oskar Knapik
2017-02: Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form Downloads
Giuseppe Cavaliere, Morten Nielsen and Robert Taylor
2017-01: Predicting Bond Betas using Macro-Finance Variables Downloads
Nektarios Aslanidis, Charlotte Christiansen and Andrea Cipollini
2016-33: Estimation of the global regularity of a multifractional Brownian motion Downloads
Joachim Lebovits and Mark Podolskij
2016-32: A New Index of Housing Sentiment Downloads
Lasse Bork, Stig V. Møller and Thomas Pedersen
2016-31: Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure Downloads
Carlos Vladimir Rodríguez-Caballero
Page updated 2018-02-20
Sorted by handle, 2/4d-year, number last