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CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2022-12: Estimation of continuous-time linear DSGE models from discrete-time measurements Downloads
Bent Jesper Christensen, Luca Neri and Juan Parra-Alvarez
2022-11: Reallocation of Mutual Fund Managers and Capital Raising Ability Downloads
Yue Xu
2022-10: Parametric Estimation of Long Memory in Factor Models Downloads
Yunus Emre Ergemen
2022-09: A Neural Network Approach to the Environmental Kuznets Curve Downloads
Mikkel Bennedsen, Eric Hillebrand and Sebastian Jensen
2022-08: Cluster-Robust Inference: A Guide to Empirical Practice Downloads
James MacKinnon and Morten Nielsen
2022-07: Truncated sum-of-squares estimation of fractional time series models with generalized power law trend Downloads
Javier Hualde and Morten Nielsen
2022-06: Betting on mean reversion in the VIX? Evidence from ETP flows Downloads
Ole Linnemann Nielsen and Anders Merrild Posselt
2022-05: The Prior Adaptive Group Lasso and the Factor Zoo Downloads
Kristoffer Pons Bertelsen
2022-04: Inference on the dimension of the nonstationary subspace in functional time series Downloads
Morten Nielsen, Won-ki Seo and Dakyung Seong
2022-03: Spillovers of Senior Mutual Fund Managers’ Capital Raising Ability Downloads
Yue Xu
2022-02: Fractional integration and cointegration Downloads
Javier Hualde and Morten Nielsen
2022-01: A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model Downloads
Jian Kang, Johan Stax Jakobsen, Annastiina Silvennoinen, Timo Teräsvirta and Glen Wade
2021-15: Long and short memory in dynamic term structure models Downloads
Salman Huseynov
2021-14: Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach Downloads
Ulrich Hounyo and Kajal Lahiri
2021-13: Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model Downloads
Anthony Hall, Annastiina Silvennoinen and Timo Teräsvirta
2021-12: Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics Downloads
Mikkel Bennedsen, Asger Lunde, Neil Shephard and Almut E.D. Veraart
2021-11: The incremental information in the yield curve about future interest rate risk Downloads
Bent Jesper Christensen, Mads Markvart Kjær and Bezirgen Veliyev
2021-10: Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models Downloads
Soren Johansen and Anders Ryghn Swensen
2021-09: Economic vulnerability is state dependent Downloads
Leopoldo Catania, Alessandra Luati and Pierluigi Vallarino
2021-08: Modelling and Estimating Large Macroeconomic Shocks During the Pandemic Downloads
Luisa Corrado, Stefano Grassi and Aldo Paolillo
2021-07: Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models Downloads
Matei Demetrescu and Robinson Robinson Kruse-Becher
2021-06: Expecting the unexpected: economic growth under stress Downloads
Gloria González-Rivera, Carlos Vladimir Rodríguez-Caballero and Esther Ruiz
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 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 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 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
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