CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
Bibliographic data for series maintained by ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

2022-12: Estimation of continuous-time linear DSGE models from discrete-time measurements: Bent Jesper Christensen, Luca Neri and Juan Parra-Alvarez
2022-11: Reallocation of Mutual Fund Managers and Capital Raising Ability: Yue Xu
2022-10: Parametric Estimation of Long Memory in Factor Models: Yunus Emre Ergemen
2022-09: A Neural Network Approach to the Environmental Kuznets Curve: Mikkel Bennedsen, Eric Hillebrand and Sebastian Jensen
2022-08: Cluster-Robust Inference: A Guide to Empirical Practice: James MacKinnon and Morten Nielsen
2022-07: Truncated sum-of-squares estimation of fractional time series models with generalized power law trend: Javier Hualde and Morten Nielsen
2022-06: Betting on mean reversion in the VIX? Evidence from ETP flows: Ole Linnemann Nielsen and Anders Merrild Posselt
2022-05: The Prior Adaptive Group Lasso and the Factor Zoo: Kristoffer Pons Bertelsen
2022-04: Inference on the dimension of the nonstationary subspace in functional time series: Morten Nielsen, Won-ki Seo and Dakyung Seong
2022-03: Spillovers of Senior Mutual Fund Managers’ Capital Raising Ability: Yue Xu
2022-02: Fractional integration and cointegration: 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: Jian Kang, Johan Stax Jakobsen, Annastiina Silvennoinen, Timo Teräsvirta and Glen Wade
2021-15: Long and short memory in dynamic term structure models: Salman Huseynov
2021-14: Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach: Ulrich Hounyo and Kajal Lahiri
2021-13: Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model: 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: 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: Bent Jesper Christensen, Mads Markvart Kjær and Bezirgen Veliyev
2021-10: Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models: Soren Johansen and Anders Ryghn Swensen
2021-09: Economic vulnerability is state dependent: Leopoldo Catania, Alessandra Luati and Pierluigi Vallarino
2021-08: Modelling and Estimating Large Macroeconomic Shocks During the Pandemic: 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: Matei Demetrescu and Robinson Robinson Kruse-Becher
2021-06: Expecting the unexpected: economic growth under stress: Gloria Gonzalez-Rivera, Carlos Vladimir Rodríguez-Caballero and Esther Ruiz
2021-05: Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas: Stefano Grassi and Francesco Violante
2021-04: Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks: Fabrizio Iacone, Morten Nielsen and Robert Taylor
2021-03: A machine learning approach to volatility forecasting: Kim Christensen, Mathias Siggaard and Bezirgen Veliyev
2021-02: Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data: Daniel Borup, David E. Rapach and Erik Christian Schütte
2021-01: The New Keynesian Model and Bond Yields: Martin M. Andreasen
2020-19: Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings: Eric Hillebrand, Jakob Mikkelsen, Lars Spreng and Giovanni Urga
2020-18: A statistical model of the global carbon budget: 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: Jesús-Adrián Álvarez, Malene Kallestrup-Lamb and Søren Kjærgaard
2020-16: Temperature Anomalies, Long Memory, and Aggregation: J. Eduardo Vera-Valdés
2020-15: Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll?: Carlos Vladimir Rodríguez-Caballero and J. Eduardo Vera-Valdés
2020-14: Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies: Charlotte Christiansen, Ran Xing and Yue Xu
2020-13: To infinity and beyond: Efficient computation of ARCH(1) models: 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: 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: Bent Jesper Christensen, Juan Parra-Alvarez and Rafael Serrano
2020-10: Optimal Asset Allocation for Commodity Sovereign Wealth Funds: Alfonso A. Irarrazabal, Lin Ma and Juan Parra-Alvarez
2020-09: Predicting bond return predictability: Daniel Borup, Jonas Nygaard Eriksen, Mads M. Kjær and Martin Thyrsgaard
2020-08: Adaptive Inference in Heteroskedastic Fractional Time Series Models: Giuseppe Cavaliere, Morten Nielsen and Robert Taylor
2020-07: Truncated sum of squares estimation of fractional time series models with deterministic trends: Javier Hualde and Morten Nielsen
2020-06: Wild Bootstrap and Asymptotic Inference with Multiway Clustering: James MacKinnon, Morten Nielsen and Matthew Webb
2020-05: Estimation of heterogeneous agent models: A likelihood approach: Juan Parra-Alvarez, Olaf Posch and Mu-Chun Wang
2020-04: Tree-based Synthetic Control Methods: Consequences of moving the US Embassy: Nicolaj N. Mühlbach
2020-03: Targeting predictors in random forest regression: Daniel Borup, Bent Jesper Christensen, Nicolaj N. Mühlbach and Mikkel S. Nielsen
2020-02: Risk Matters: Breaking Certainty Equivalence: Juan Parra-Alvarez, Hamza Polattimur and Olaf Posch
2020-01: Designing a sequential testing procedure for verifying global CO2 emissions: Mikkel Bennedsen
2019-23: Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings: Duván Humberto Cataño, Carlos Vladimir Rodríguez-Caballero and Daniel Peña
2019-22: The move towards riskier pensions: The importance of mortality: Anne G. Balter, Malene Kallestrup-Lamb and Jesper Rangvid
2019-21: Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors: Mikkel Bennedsen, Eric Hillebrand and Siem Jan Koopman
2019-20: Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups: Malene Kallestrup-Lamb, Søren Kjærgaard and Carsten P. T. Rosenskjold

CREATES Research Papers

Papers sorted by number

Papers sorted by number