CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2008-60: Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution

Thomas Pedersen

2008-59: Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Per Frederiksen and Frank S. Nielsen

2008-58: Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Dennis Kristensen and Yongseok Shin

2008-57: Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances

Almut Veraart

2008-56: Disagreement and Biases in Inflation Expectations

Carlos Capistrán and Allan Timmermann

2008-55: Forecast Combination With Entry and Exit of Experts

Carlos Capistrán and Allan Timmermann

2008-54: The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast

Andrew Patton and Allan Timmermann

2008-53: Maximum likelihood estimation of fractionally cointegrated systems

Katarzyna Łasak

2008-52: Likelihood based testing for no fractional cointegration

Katarzyna Łasak

2008-51: Optimal inference in dynamic models with conditional moment restrictions

Bent Jesper Christensen and Michael Sørensen

2008-50: Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility

Giuseppe Cavaliere, Anders Rahbek and Robert Taylor

2008-49: Glossary to ARCH (GARCH)

Tim Bollerslev

2008-48: Expected Stock Returns and Variance Risk Premia

Tim Bollerslev, Tzuo Hao and George Tauchen

2008-47: Mean Reversion in US and International Short Rates

Charlotte Christiansen

2008-46: Semiparametric Inference in a GARCH-in-Mean Model

Bent Jesper Christensen, Christian Dahl and Emma Iglesias

2008-45: The limiting behavior of the estimated parameters in a misspecified random field regression model

Christian Dahl and Yu Qin

2008-44: The cyclical component factor model

Christian Dahl, Henrik Hansen and John Smidt

2008-43: Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model

Martin Andreasen

2008-42: Measuring downside risk — realised semivariance

Ole Barndorff-Nielsen, Silja Kinnebrock and Neil Shephard

2008-41: American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution

Lars Stentoft

2008-40: Consumption growth and time-varying expected stock returns

Stig Vinther Møller

2008-39: Modelling and Forecasting Multivariate Realized Volatility

Roxana Chiriac and Valeri Voev

2008-38: The limiting properties of the QMLE in a general class of asymmetric volatility models

Christian Dahl and Emma Iglesias

2008-37: Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data

Dennis Kristensen

2008-36: A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic

Morten Nielsen

2008-35: Bias-reduced estimation of long memory stochastic volatility

Per Frederiksen and Morten Nielsen

2008-34: New tests for jumps: a threshold-based approach

Mark Podolskij and Daniel Ziggel

2008-33: Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter

Martin Andreasen

2008-32: How to Maximize the Likelihood Function for a DSGE Model

Martin Andreasen

2008-31: Estimating High-Frequency Based (Co-) Variances: A Unified Approach

Ingmar Nolte and Valeri Voev

2008-30: Parameter estimation in nonlinear AR-GARCH models

Mika Meitz and Pentti Saikkonen

2008-29: Local polynomial Whittle estimation of perturbed fractional processes

Per Frederiksen, Frank Nielsen and Morten Nielsen

2008-28: Local polynomial Whittle estimation covering non-stationary fractional processes

Frank Nielsen

2008-27: Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model

Tom Engsted and Thomas Pedersen

2008-26: Ensuring the Validity of the Micro Foundation in DSGE Models

Martin Andreasen

2008-25: Bipower-type estimation in a noisy diffusion setting

Mark Podolskij and Mathias Vetter

2008-24: Small Bandwidth Asymptotics for Density-Weighted Average Derivatives

Matias Cattaneo, Richard Crump and Michael Jansson

2008-23: An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models

Silja Kinnebrock and Mark Podolskij

2008-22: A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models

Mark Podolskij and Daniel Ziggel

2008-21: Bipower variation for Gaussian processes with stationary increments

Ole Barndorff-Nielsen, José Manuel Corcuera, Mark Podolskij and Jeannette H.C. Woerner

2008-20: Headlights on tobacco road to low birthweight outcomes - Evidence from a battery of quantile regression estimators and a heterogeneous panelCreation-Date: 20080508

Stefan Bache, Christian Dahl and Johannes Tang

2008-19: Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form

Anne Péguin-Feissolle, Birgit Strikholm and Timo Teräsvirta

2008-18: Parametric inference for discretely sampled stochastic differential equations

Michael Sørensen

2008-17: Inference for the jump part of quadratic variation of Itô semimartingales

Almut Veraart

2008-16: FIEGARCH-M and and International Crises: A Cross-Country Analysis

Jie Zhu

2008-15: Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach

Jie Zhu

2008-14: Pricing Volatility of Stock Returns with Volatile and Persistent Components

Jie Zhu

2008-13: Option Pricing using Realized Volatility

Lars Stentoft

2008-12: An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns

Tom Engsted and Stig V. Møller

2008-11: Option Valuation with Long-run and Short-run Volatility Components

Peter Christoffersen, Kris Jacobs, Hayawat Ornthanalai and Yintian Wang