CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2008-10: Volatility Components, Affine Restrictions and Non-Normal Innovations

Peter Christoffersen, Kris Dorion and Yintian Wang

2008-09: An analysis of the indicator saturation estimator as a robust regression estimator

Soren Johansen and Bent Nielsen

2008-08: Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure

Cristina Amado and Timo Teräsvirta

2008-07: Parameterizing unconditional skewness in models for financial time series

Changli He, Annastiina Silvennoinen and Timo Teräsvirta

2008-06: Multivariate GARCH models

Annastiina Silvennoinen and Timo Teräsvirta

2008-05: Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model

Annastiina Silvennoinen and Timo Teräsvirta

2008-04: Explaining output volatility: The case of taxation

Olaf Posch

2008-03: Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate

Soren Johansen, Katarina Juselius, Roman Frydberg and Michael Goldberg

2008-02: Reduced-Rank Regression: A Useful Determinant Identity

Peter Hansen

2008-01: Short-run Exchange-Rate Dynamics: Theory and Evidence

John Carlson, Christian Dahl and Carol Osler

2007-46: Efficient estimation for ergodic diffusions sampled at high frequency

Michael Sørensen

2007-45: Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes

James Davidson and Nigar Hashimzade

2007-44: Long memory modelling of inflation with stochastic variance and structural breaks

Charles Bos, Siem Jan Koopman and Marius Ooms

2007-43: Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9

Jean Jacod, Yingying Li, Oer A. Mykland, Mark Podolskij and Mathias Vetter

2007-42: Power variation for Gaussian processes with stationary increments

Ole Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij

2007-41: Exact rational expectations, cointegration, and reduced rank regression

Soren Johansen and Anders Rygh Swensen

2007-40: Trygve Haavelmo’s visit in Aarhus 1938-39

Olav Bjerkholt

2007-39: Forward-Looking Betas

Peter Christoffersen, Kris Jacobs and Gregory Vainberg

2007-38: Likelihood-Based Inference in Nonlinear Error-Correction Models

Dennis Kristensen and Anders Rahbek

2007-37: Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices

Peter Christoffersen, Kris Jacobs and Karim Mimouni

2007-36: Selecting a Regression Saturated by Indicators

Soren Johansen, David Hendry and Carlos Santos

2007-35: Correlation, regression, and cointegration of nonstationary economic time series

Soren Johansen

2007-34: Extreme Coexceedances in New EU Member States’ Stock Markets

Charlotte Christiansen and Angelo Ranaldo

2007-33: Likelihood inference for a nonstationary fractional autoregressive model

Soren Johansen and Morten Nielsen

2007-32: Some identification problems in the cointegrated vector autoregressive model

Soren Johansen

2007-31: Habit Formation, Surplus Consumption and Return Predictability: International Evidence

Tom Engsted, Stuart Hyde and Stig V. Møller

2007-30: Market Power in Power Markets: Evidence from Forward Prices of Electricity

Bent Jesper Christensen, Thomas Elgaard Jensen and Rune Mølgaard

2007-29: A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching

Niels Haldrup, Frank Nielsen and Morten Nielsen

2007-28: The Pearson diffusions: A class of statistically tractable diffusion processes

Michael Sørensen and Julie Lyng Forman

2007-27: Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps

Mark Podolskij and Mathias Vetter

2007-26: A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models

Mark Podolskij and Daniel Ziggel

2007-25: Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

Torben Andersen and Luca Benzoni

2007-24: Construction and Interpretation of Model-Free Implied Volatility

Torben Andersen and Oleg Bondarenko

2007-23: Structural estimation of jump-diffusion processes in macroeconomics

Olaf Posch

2007-22: A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects

Tim Bollerslev, Uta Kretschmer, Christian Pigorsch and George Tauchen

2007-21: Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

Torben Andersen, Tim Bollerslev, Per Houmann Frederiksen and Morten Nielsen

2007-20: Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Torben Andersen, Tim Bollerslev, Francis Diebold and Clara Vega

2007-19: Risk, Jumps, and Diversification

Tim Bollerslev, Tzuo Hann Law and George Tauchen

2007-18: Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

Torben Andersen, Tim Bollerslev and Francis Diebold

2007-17: Expected Stock Returns and Variance Risk Premia

Tim Bollerslev and Hao Zhou

2007-16: Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

Tim Bollerslev, Michael Gibson and Hao Zhou

2007-15: Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks

Viktor Todorov and Tim Bollerslev

2007-14: A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures

Torben Andersen, Tim Bollerslev and Xin Huang

2007-13: Local Linear Density Estimation for Filtered Survival Data, with Bias Correction

Jens Perch Nielsen, Carsten Tanggaard and M.C. Jones

2007-12: Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis

Michael Jansson

2007-11: Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors

Matias Cattaneo, Richard Crump and Michael Jansson

2007-10: Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

Bent Jesper Christensen, Morten Nielsen and Jie Zhu

2007-09: The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets

Thomas Busch, Bent Jesper Christensen and Morten Nielsen

2007-08: Are Economists More Likely to Hold Stocks?

Charlotte Christiansen, Juanna Joensen and Jesper Rangvid

2007-07: Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns

Stig V. Møller

2007-06: Decomposing European Bond and Equity Volatility

Charlotte Christiansen

2007-05: Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates

Charlotte Christiansen

2007-04: Paying for Market Quality

Amber Anand, Carsten Tanggaard and Daniel G. Weaver

2007-03: The Effect of Long Memory in Volatility on Stock Market Fluctuations

Bent Jesper Christensen and Morten Nielsen

2007-02: Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach

Dennis Kristensen

2007-01: Nonparametric Estimation and Misspecification Testing of Diffusion Models

Dennis Kristensen