CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2010-37: The log-linear return approximation, bubbles, and predictability

Tom Engsted, Thomas Pedersen and Carsten Tanggaard

2010-36: Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency

Robinson Kruse and Rickard Sandberg

2010-35: Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns

Leonidas Tsiaras

2010-34: The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks

Leonidas Tsiaras

2010-33: Maximum likelihood estimation for integrated diffusion processes

Fernando Baltazar-Larios and Michael Sørensen

2010-32: Simple simulation of diffusion bridges with application to likelihood inference for diffusions

Mogens Bladt and Michael Sørensen

2010-31: Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration

Morten Nielsen and Per Frederiksen

2010-30: Non-linear DSGE Models and The Central Difference Kalman Filter

Martin Andreasen

2010-29: Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence

Nikolaus Hautsch and Mark Podolskij

2010-28: Forecasting autoregressive time series under changing persistenceCreation-Date: 20100701

Robinson Kruse

2010-27: Milestones of European Integration: Which matters most for Export Openness?

Robinson Kruse and Sanne Hiller

2010-26: On European monetary integration and the persistence of real effective exchange rates

Robinson Kruse

2010-25: Testing for rational bubbles in a co-explosive vector autoregression

Tom Engsted and Bent Nielsen

2010-24: Likelihood inference for a fractionally cointegrated vector autoregressive model

Soren Johansen and Morten Nielsen

2010-23: Bootstrapping Density-Weighted Average Derivatives

Matias Cattaneo, Richard Crump and Michael Jansson

2010-22: Quantitative Breuer-Major Theorems

Ivan Nourdin, Giovanni Peccati and Mark Podolskij

2010-21: Forecast Combinations

Marco Aiolfi, Carlos Capistrán and Allan Timmermann

2010-20: Intertemporal Risk-Return Trade-off in Foreign Exchange Rates

Charlotte Christiansen

2010-19: Multivariate Option Pricing with Time Varying Volatility and Correlations

Jeroen Rombouts and Lars Stentoft

2010-18: Modelling energy spot prices by Lévy semistationary processes

Ole E. Barndorff–Nielsen, Fred Espen Benth and Almut Veraart

2010-17: Ambit processes and stochastic partial differential equations

Ole E. Barndorff–Nielsen, Fred Espen Benth and Almut Veraart

2010-16: Estimation of Jump Tails

Tim Bollerslev and Viktor Todorov

2010-15: Smooth Transition Patterns in the Realized Stock Bond Correlation

Nektarios Aslanidis and Charlotte Christiansen

2010-14: An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses

Bent Jesper Christensen and Michel van der Wel

2010-13: Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility

Peter Hansen, Zhuo Huang and Howard Howan Shek

2010-12: The SR Approach: a new Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models

Martin Andreasen and Bent Jesper Christensen

2010-11: Affine Bond Pricing with a Mixture Distribution for Interest Rate Time-Series DynamicsCreation-Date: 20100225

Torben B. Rasmussen

2010-10: Stochastic Volatility

Torben Andersen and Luca Benzoni

2010-09: Pitfalls in VAR based return decompositions: A clarification

Tom Engsted, Thomas Pedersen and Carsten Tanggaard

2010-08: Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error

Peter Hansen and Asger Lunde

2010-07: Bootstrap Sequential Determination of the Co-integration Rank in VAR Models

Giuseppe Cavaliere, Anders Rahbek and Robert Taylor

2010-06: Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

Soren Johansen and Bent Nielsen

2010-05: Non-linear DSGE Models and The Optimized Particle Filter

Martin Andreasen

2010-04: The Taylor Rule and “Opportunistic” Monetary Policy

Helle Bunzel and Walter Enders

2010-03: Dividend predictability around the world

Jesper Rangvid, Maik Schmeling and Andreas Schrimpf

2010-02: Asymmetric unemployment rate dynamics in Australia

Gunnar Bårdsen, Stan Hurn and Zoë McHugh

2010-01: Forecasting with nonlinear time series models

Anders Kock and Timo Teräsvirta

2009-60: Limit theorems for functionals of higher order differences of Brownian semi-stationary processes

Ole Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij

2009-59: Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary

Christian Dahl and Emma Iglesias

2009-58: Risk premia in general equilibrium

Olaf Posch

2009-57: Global Asset Pricing: Is There a Role for Long-run Consumption Risk?

Jesper Rangvid, Maik Schmeling and Andreas Schrimpf

2009-56: On the Economic Evaluation of Volatility Forecasts

Valeri Voev

2009-55: Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots

Michael Jansson and Morten Nielsen

2009-54: Testing a parametric function against a nonparametric alternative in IV and GMM settings

Tue Gørgens and Allan Würtz

2009-53: Forecasting long memory time series under a break in persistence

Florian Heinen, Philipp Sibbertsen and Robinson Kruse

2009-52: Jump-Robust Volatility Estimation using Nearest Neighbor Truncation

Torben Andersen, Dobrislav Dobrev and Ernst Schaumburg

2009-51: Efficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models

Tue Gørgens, Christopher Skeels and Allan Würtz

2009-50: What do we know about real exchange rate non-linearities?

Robinson Kruse, Michael Frömmel, Lukas Menkhoff and Philipp Sibbertsen

2009-49: Realized Volatility and Multipower Variation

Torben Andersen and Viktor Todorov

2009-48: Unstable volatility functions: the break preserving local linear estimator

Isabel Casas and Irene Gijbels