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CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2021-06: Expecting the unexpected: economic growth under stress Downloads
Gloria González-Rivera, Carlos Vladimir Rodríguez-Caballero and Esther Ruiz Ortega
2021-05: Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas Downloads
Stefano Grassi and Francesco Violante
2021-04: Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks Downloads
Fabrizio Iacone, Morten Nielsen and Robert Taylor
2021-03: A machine learning approach to volatility forecasting Downloads
Kim Christensen, Mathias Siggaard and Bezirgen Veliyev
2021-02: Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data Downloads
Daniel Borup, David E. Rapach and Erik Christian Montes Schütte
2021-01: The New Keynesian Model and Bond Yields Downloads
Martin M. Andreasen
2020-19: Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings Downloads
Eric Hillebrand, Jakob Mikkelsen, Lars Spreng and Giovanni Urga
2020-18: A statistical model of the global carbon budget Downloads
Mikkel Bennedsen, Eric Hillebrand and Siem Jan Koopman
2020-17: Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans Downloads
Jesús-Adrián Álvarez, Malene Kallestrup-Lamb and Søren Kjærgaard
2020-16: Temperature Anomalies, Long Memory, and Aggregation Downloads
J. Eduardo Vera-Valdés
2020-15: Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll? Downloads
Carlos Vladimir Rodríguez-Caballero and J. Eduardo Vera-Valdés
2020-14: Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies Downloads
Charlotte Christiansen, Ran Xing and Yue Xu
2020-13: To infinity and beyond: Efficient computation of ARCH(1) models Downloads
Morten Nielsen and Antoine L. Noël
2020-12: Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures Downloads
Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen and Bezirgen Veliyev
2020-11: Optimal control of investment, premium and deductible for a non-life insurance company Downloads
Bent Jesper Christensen, Juan Parra-Alvarez and Rafael Serrano
2020-10: Optimal Asset Allocation for Commodity Sovereign Wealth Funds Downloads
Alfonso A. Irarrazabal, Lin Ma and Juan Parra-Alvarez
2020-09: Predicting bond return predictability Downloads
Daniel Borup, Jonas N. Eriksen, Mads M. Kjær and Martin Thyrsgaard
2020-08: Adaptive Inference in Heteroskedastic Fractional Time Series Models Downloads
Giuseppe Cavaliere, Morten Nielsen and Robert Taylor
2020-07: Truncated sum of squares estimation of fractional time series models with deterministic trends Downloads
Javier Hualde and Morten Nielsen
2020-06: Wild Bootstrap and Asymptotic Inference with Multiway Clustering Downloads
James MacKinnon, Morten Nielsen and Matthew Webb
2020-05: Estimation of heterogeneous agent models: A likelihood approach Downloads
Juan Parra-Alvarez, Olaf Posch and Mu-Chun Wang
2020-04: Tree-based Synthetic Control Methods: Consequences of moving the US Embassy Downloads
Nicolaj N. Mühlbach
2020-03: Targeting predictors in random forest regression Downloads
Daniel Borup, Bent Jesper Christensen, Nicolaj N. Mühlbach and Mikkel S. Nielsen
2020-02: Risk Matters: Breaking Certainty Equivalence Downloads
Juan Parra-Alvarez, Hamza Polattimur and Olaf Posch
2020-01: Designing a sequential testing procedure for verifying global CO2 emissions Downloads
Mikkel Bennedsen
2019-23: Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings Downloads
Duván Humberto Cataño, Carlos Vladimir Rodríguez-Caballero and Daniel Peña
2019-22: The move towards riskier pensions: The importance of mortality Downloads
Anne G. Balter, Malene Kallestrup-Lamb and Jesper Rangvid
2019-21: Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors Downloads
Mikkel Bennedsen, Eric Hillebrand and Siem Jan Koopman
2019-20: Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups Downloads
Malene Kallestrup-Lamb, Søren Kjærgaard and Carsten P. T. Rosenskjold
2019-19: Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model Downloads
Changli He, Jian Kang, Timo Teräsvirta and Shuhua Zhang
2019-18: Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model Downloads
Changli He, Jian Kang, Timo Teräsvirta and Shuhua Zhang
2019-17: Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model Downloads
Dakyung Seong, Jin Seo Cho and Timo Teräsvirta
2019-16: Comparing Tests for Identification of Bubbles Downloads
Kristoffer Pons Bertelsen
2019-15: Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood Downloads
Vanessa Berenguer-Rico, Soren Johansen and Bent Nielsen
2019-14: The Economic Value of VIX ETPs Downloads
Kim Christensen, Charlotte Christiansen and Anders M. Posselt
2019-13: In search of a job: Forecasting employment growth using Google Trends Downloads
Daniel Borup and Erik Christian Montes Schütte
2019-12: Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals Downloads
Vanessa Berenguer-Rico, Soren Johansen and Bent Nielsen
2019-11: Explaining Bond Return Predictability in an Estimated New Keynesian Model Downloads
Martin M. Andreasen
2019-10: Bond Risk Premiums at the Zero Lower Bound Downloads
Martin Møller Andreasen, Kasper Jørgensen and Andrew Meldrum
2019-09: Demand and Welfare Analysis in Discrete Choice Models with Social Interactions Downloads
Debopam Bhattacharya, Pascaline Dupas and Shin Kanaya
2019-08: Longevity forecasting by socio-economic groups using compositional data analysis Downloads
Søren Kjærgaard, Yunus Emre Ergemen, Marie-Pier Bergeron Boucher, Jim Oeppen and Malene Kallestrup-Lamb
2019-07: Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths Downloads
Søren Kjærgaard, Yunus Emre Ergemen, Malene Kallestrup-Lamb, Jim Oeppen and Rune Lindahl-Jacobsen
2019-06: The analysis of marked and weighted empirical processes of estimated residuals Downloads
Vanessa Berenguer-Rico, Soren Johansen and Bent Nielsen
2019-05: Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors Downloads
Antoine Djogbenou, James MacKinnon and Morten Nielsen
2019-04: Assessing predictive accuracy in panel data models with long-range dependence Downloads
Daniel Borup, Bent Jesper Christensen and Yunus Emre Ergemen
2019-03: Estimating the Price Markup in the New Keynesian Model Downloads
Martin M. Andreasen and Mads Dang
2019-02: Resuscitating the co-fractional model of Granger (1986) Downloads
Federico Carlini and Paolo Santucci de Magistris
2019-01: Defining, measuring and ranking energy vulnerability Downloads
Andrea Gatto and Francesco Busato
2018-38: The dynamics of factor loadings in the cross-section of returns Downloads
Riccardo Borghi, Eric Hillebrand, Jakob Mikkelsen and Giovanni Urga
2018-37: Realizing Correlations Across Asset Classes Downloads
Niels S. Grønborg, Asger Lunde, Kasper V. Olesen and Harry Vander Elst
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