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CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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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
Søren Johansen and Morten Nielsen
2017-36: Panel Smooth Transition Regression Models Downloads
Andrés González, 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 D. 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
2016-30: Forecasting daily political opinion polls using the fractionally cointegrated VAR model Downloads
Morten Nielsen and Sergei Shibaev
2016-29: Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation Downloads
Hossein Asgharian, Charlotte Christiansen, Rangan Gupta and Ai Jun Hou
2016-28: The Drift Burst Hypothesis Downloads
Kim Christensen, Roel Oomen and Roberto Renò
2016-27: Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach Downloads
Kim Christensen, Ulrich Hounyo and Mark Podolskij
2016-26: Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia Downloads
Martin M. Andreasen, Tom Engsted, Stig V. Møller and Magnus Sander
2016-25: Price discovery in a continuous-time setting Downloads
Gustavo Fruet Dias, Marcelo Fernandes and Cristina M. Scherrer
2016-24: Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes Downloads
Shin Kanaya
2016-23: A Dynamic Multi-Level Factor Model with Long-Range Dependence Downloads
Yunus Emre Ergemen and Carlos Vladimir Rodríguez-Caballero
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