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CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2018-32: A mixed-frequency Bayesian vector autoregression with a steady-state prior Downloads
Sebastian Ankargren, Måns Unosson and Yukai Yang
2018-31: Transition from the Taylor rule to the zero lower bound Downloads
Stan Hurn, Nicholas Johnson, Annastiina Silvennoinen and Timo Teräsvirta
2018-30: State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering Downloads
Yukai Yang and Luc Bauwens
2018-29: Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD Downloads
Isabel Casas, Jiti Gao and Shangyu Xie
2018-28: Edgeworth expansion for Euler approximation of continuous diffusion processes Downloads
Mark Podolskij, Bezirgen Veliyev and Nakahiro Yoshida
2018-27: Threshold regression with endogeneity for short panels Downloads
Tue Gørgens and Allan H. Würtz
2018-26: State-dependent Hawkes processes and their application to limit order book modelling Downloads
Maxime Morariu-Patrichi and Mikko Pakkanen
2018-25: In Search of a Job: Forecasting Employment Growth in the US using Google Trends Downloads
Erik Christian Montes Schütte
2018-24: Disappearing money illusion Downloads
Tom Engsted and Thomas Q. Pedersen
2018-23: Forecasters’ utility and forecast coherence Downloads
Emilio Zanetti Chini
2018-22: Time-varying parameters: New test tailored to applications in finance and macroeconomics Downloads
Russell Davidson and Niels S. Grønborg
2018-21: The drift burst hypothesis Downloads
Kim Christensen, Roel Oomen and Roberto Renò
2018-20: Diffusion Copulas: Identification and Estimation Downloads
Ruijun Bu, Kaddour Hadri and Dennis Kristensen
2018-19: The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing Downloads
Kim Christensen, Martin Thyrsgaard and Bezirgen Veliyev
2018-18: Cross-sectional noise reduction and more efficient estimation of Integrated Variance Downloads
Giorgio Mirone
2018-17: Nonstationary cointegration in the fractionally cointegrated VAR model Downloads
Soren Johansen and Morten Nielsen
2018-16: Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach Downloads
Ulrich Hounyo and Rasmus T. Varneskov
2018-15: The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016 Downloads
Changli He, Jian Kang, Timo Teräsvirta and Shuhua Zhang
2018-14: Models with Multiplicative Decomposition of Conditional Variances and Correlations Downloads
Cristina Amado, Annastiina Silvennoinen and Timo Teräsvirta
2018-13: Forecasting dynamically asymmetric fluctuations of the U.S. business cycle Downloads
Emilio Zanetti Chini
2018-12: Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation Downloads
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
2018-11: Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects Downloads
Yunus Emre Ergemen and Carlos Velasco
2018-10: Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium Downloads
Isabel Casas, Xiuping Mao and Helena Veiga
2018-09: Consistent Inference for Predictive Regressions in Persistent VAR Economies Downloads
Torben Andersen and Rasmus T. Varneskov
2018-08: Short-Term Market Risks Implied by Weekly Options Downloads
Torben Andersen, Nicola Fusari and Viktor Todorov
2018-07: The Risk Premia Embedded in Index Options Downloads
Torben 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 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
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