CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2019-19: Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model

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

Changli He, Jian Kang, Timo Teräsvirta and Shuhua Zhang

2019-17: Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model

Dakyung Seong, Jin Seo Cho and Timo Teräsvirta

2019-16: Comparing Tests for Identification of Bubbles

Kristoffer Pons Bertelsen

2019-15: Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood

Vanessa Berenguer-Rico, Soren Johansen and Bent Nielsen

2019-14: The Economic Value of VIX ETPs

Kim Christensen, Charlotte Christiansen and Anders M. Posselt

2019-13: In search of a job: Forecasting employment growth using Google Trends

Daniel Borup and Erik Christian Montes Schütte

2019-12: Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

Vanessa Berenguer-Rico, Soren Johansen and Bent Nielsen

2019-11: Explaining Bond Return Predictability in an Estimated New Keynesian Model

Martin M. Andreasen

2019-10: Bond Risk Premiums at the Zero Lower Bound

Martin Møller Andreasen, Kasper Jørgensen and Andrew Meldrum

2019-09: Demand and Welfare Analysis in Discrete Choice Models with Social Interactions

Debopam Bhattacharya, Pascaline Dupas and Shin Kanaya

2019-08: Longevity forecasting by socio-economic groups using compositional data analysis

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

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

Vanessa Berenguer-Rico, Soren Johansen and Bent Nielsen

2019-05: Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors

Antoine Djogbenou, James MacKinnon and Morten Nielsen

2019-04: Assessing predictive accuracy in panel data models with long-range dependence

Daniel Borup, Bent Jesper Christensen and Yunus Emre Ergemen

2019-03: Estimating the Price Markup in the New Keynesian Model

Martin M. Andreasen and Mads Dang

2019-02: Resuscitating the co-fractional model of Granger (1986)

Federico Carlini and Paolo Santucci de Magistris

2019-01: Defining, measuring and ranking energy vulnerability

Andrea Gatto and Francesco Busato

2018-38: The dynamics of factor loadings in the cross-section of returns

Riccardo Borghi, Eric Hillebrand, Jakob Mikkelsen and Giovanni Urga

2018-37: Realizing Correlations Across Asset Classes

Niels S. Grønborg, Asger Lunde, Kasper V. Olesen and Harry Vander Elst

2018-36: Mutual Fund Selection for Realistically Short Samples

Charlotte Christiansen, Niels S. Grønborg and Ole L. Nielsen

2018-35: Economic significance of commodity return forecasts from the fractionally cointegrated VAR model

Sepideh Dolatabadi, Paresh Kumar Narayan, Morten Nielsen and Ke Xu

2018-34: Fast and Wild: Bootstrap Inference in Stata Using boottest

James MacKinnon, Morten Nielsen, David Roodman and Matthew Webb

2018-33: A multilevel factor approach for the analysis of CDS commonality and risk contribution

Carlos Vladimir Rodríguez-Caballero and Massimiliano Caporin

2018-32: A mixed-frequency Bayesian vector autoregression with a steady-state prior

Sebastian Ankargren, Måns Unosson and Yukai Yang

2018-31: Transition from the Taylor rule to the zero lower bound

Stan Hurn, Nicholas Johnson, Annastiina Silvennoinen and Timo Teräsvirta

2018-30: State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering

Yukai Yang and Luc Bauwens

2018-29: Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD

Isabel Casas, Jiti Gao and Shangyu Xie

2018-28: Edgeworth expansion for Euler approximation of continuous diffusion processes

Mark Podolskij, Bezirgen Veliyev and Nakahiro Yoshida

2018-27: Threshold regression with endogeneity for short panels

Tue Gørgens and Allan Würtz

2018-26: State-dependent Hawkes processes and their application to limit order book modelling

Maxime Morariu-Patrichi and Mikko Pakkanen

2018-25: In Search of a Job: Forecasting Employment Growth in the US using Google Trends

Erik Christian Montes Schütte

2018-24: Disappearing money illusion

Tom Engsted and Thomas Q. Pedersen

2018-23: Forecasters’ utility and forecast coherence

Emilio Zanetti Chini

2018-22: Time-varying parameters: New test tailored to applications in finance and macroeconomics

Russell Davidson and Niels S. Grønborg

2018-21: The drift burst hypothesis

Kim Christensen, Roel Oomen and Roberto Renò

2018-20: Diffusion Copulas: Identification and Estimation

Ruijun Bu, Kaddour Hadri and Dennis Kristensen

2018-19: The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing

Kim Christensen, Martin Thyrsgaard and Bezirgen Veliyev

2018-18: Cross-sectional noise reduction and more efficient estimation of Integrated Variance

Giorgio Mirone

2018-17: Nonstationary cointegration in the fractionally cointegrated VAR model

Soren Johansen and Morten Nielsen

2018-16: Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach

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

Changli He, Jian Kang, Timo Teräsvirta and Shuhua Zhang

2018-14: Models with Multiplicative Decomposition of Conditional Variances and Correlations

Cristina Amado, Annastiina Silvennoinen and Timo Teräsvirta

2018-13: Forecasting dynamically asymmetric fluctuations of the U.S. business cycle

Emilio Zanetti Chini

2018-12: Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation

Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou

2018-11: Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects

Yunus Emre Ergemen and Carlos Velasco

2018-10: Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium

Isabel Casas, Xiuping Mao and Helena Veiga

2018-09: Consistent Inference for Predictive Regressions in Persistent VAR Economies

Torben Andersen and Rasmus T. Varneskov

2018-08: Short-Term Market Risks Implied by Weekly Options

Torben Andersen, Nicola Fusari and Viktor Todorov