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CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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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
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
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