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.

2009-47: Understanding limit theorems for semimartingales: a short survey

Mark Podolskij and Mathias Vetter

2009-46: Robust Data-Driven Inference for Density-Weighted Average Derivatives

Matias Cattaneo, Richard Crump and Michael Jansson

2009-45: Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

Kim Christensen, Silja Kinnebrock and Mark Podolskij

2009-44: Semiparametric Modelling and Estimation: A Selective Overview

Dennis Kristensen

2009-43: Identification of Macroeconomic Factors in Large Panels

Lasse Bork, Hans Dewachter and Romain Houssa

2009-42: The multivariate supOU stochastic volatility model

Ole Barndorff-Nielsen and Robert Stelzer

2009-41: Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models

Dennis Kristensen

2009-40: Detection of additive outliers in seasonal time series

Niels Haldrup, Antonio Montañés and Andreu Sansó

2009-39: Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates

Borus Jungbacker, Siem Jan Koopman and Michel van der Wel

2009-38: Local Whittle estimation of multivariate fractionally integrated processes

Frank Nielsen

2009-37: Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis

Michael Jansson and Morten Nielsen

2009-36: The dividend-price ratio does predict dividend growth: International evidence

Tom Engsted and Thomas Pedersen

2009-35: Evaluating Value-at-Risk Models with Desk-Level Data

Peter Christoffersen, Jeremy Berkowitz and Denis Pelletier

2009-34: The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well

Peter Christoffersen, Steven Heston and Kris Jacobs

2009-33: Option Valuation with Conditional Heteroskedasticity and Non-Normality

Peter Christoffersen, Redouane Elkamhi, Bruno Feunou and Kris Jacobs

2009-32: The Effects of Interest Rate Movements on Assets’ Conditional Second Moments

Alessandro Palandri

2009-31: A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility

Eduardo Rossi and Paolo Santucci de Magistris

2009-30: Long Memory and Tail dependence in Trading Volume and Volatility

Eduardo Rossi and Paolo Santucci de Magistris

2009-29: Stochastic Volatility and DSGE Models

Martin Andreasen

2009-28: An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application

Takamitsu Kurita, Heino Bohn Nielsen and Anders Rahbek

2009-27: Realised Quantile-Based Estimation of the Integrated Variance

Kim Christensen, Roel Oomen and Mark Podolskij

2009-26: Tails, Fears and Risk Premia

Tim Bollerslev and Viktor Todorov

2009-25: Stochastic volatility of volatility in continuous time

Ole Barndorff-Nielsen and Almut Veraart

2009-24: A Meta-Distribution for Non-Stationary Samples

Dominique Guégan

2009-23: Interest rate convergence in the EMS prior to European Monetary Union

Michael Frömmel and Robinson Kruse

2009-22: Co-integration Rank Testing under Conditional Heteroskedasticity

Giuseppe Cavaliere, Anders Rahbek and Robert Taylor

2009-21: Multipower Variation for Brownian Semistationary Processes

Ole Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij

2009-20: Stochastic volatility and stochastic leverage

Almut Veraart and Luitgard A. M. Veraart

2009-19: On a numerical and graphical technique for evaluating some models involving rational expectations

Soren Johansen and Anders Rygh Swensen

2009-18: Forecasting with Universal Approximators and a Learning Algorithm

Anders Kock

2009-17: Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak

Tom Engsted

2009-16: Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise

Ingmar Nolte and Valeri Voev

2009-15: The Time-Varying Systematic Risk of Carry Trade Strategies

Charlotte Christiansen, Angelo Ranaldo and Paul Söderllind

2009-14: Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models

Dennis Kristensen and Antonio Mele

2009-13: Quadratic Variation by Markov Chains

Peter Hansen and Guillaume Horel

2009-12: Poisson Autoregression

Konstantinos Fokianos, Anders Rahbek and Dag Tjøstheim

2009-11: Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach

Lasse Bork

2009-10: Skewness Premium with Lévy Processes

José Fajardo and Ernesto Mordecki

2009-09: Testing Conditional Factor Models

Dennis Kristensen and Andrew Ang

2009-08: Jump Testing and the Speed of Market Adjustment

Torben B. Rasmussen

2009-07: Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

Jeroen Rombouts and Lars Stentoft

2009-06: On IGARCH and convergence of the QMLE for misspecified GARCH models

Anders Tolver Jensen and Theis Lange

2009-05: Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Tim Bollerslev, Natalia Sizova and George Tauchen

2009-04: First and second order non-linear cointegration models

Theis Lange

2009-03: Forecasting inflation with gradual regime shifts and exogenous information

Andres Gonzalez, Kirstin Hubrich and Timo Teräsvirta

2009-02: Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders

Morten Nielsen

2009-01: A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings

Roman Frydman, Michael D. Goldberg, Soren Johansen and Katarina Juselius

2008-63: Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Ole Barndorff-Nielsen, Peter Hansen, Asger Lunde and Neil Shephard

2008-62: Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility

Giuseppe Cavaliere, David Harvey, Stephen Leybourne and Robert Taylor

2008-61: Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution

Jean Jacod, Mark Podolskij and Mathias Vetter