CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2018-07: The Risk Premia Embedded in Index Options

Torben Andersen, Nicola Fusari and Viktor Todorov

2018-06: A Parametric Factor Model of the Term Structure of Mortality

Niels Haldrup and Carsten P. T. Rosenskjold

2018-05: Time-Varying Periodicity in Intraday Volatility

Torben Andersen, Martin Thyrsgaard and Viktor Todorov

2018-04: Option Panels in Pure-Jump Settings

Torben Andersen, Nicola Fusari, Viktor Todorov and Rasmus T. Varneskov

2018-03: Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span

Torben Andersen, Nicola Fusari, Viktor Todorov and Rasmus T. Varneskov

2018-02: The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets

Torben Andersen, Nicola Fusari and Viktor Todorov

2018-01: Forecaster’s utility and forecasts coherence

Emilio Zanetti Chini

2017-39: Spikes and memory in (Nord Pool) electricity price spot prices

Tommaso Proietti, Niels Haldrup and Oskar Knapik

2017-38: Flight to Safety from European Stock Markets

Nektarios Aslanidis and Charlotte Christiansen

2017-37: Testing the CVAR in the fractional CVAR model

Soren Johansen and Morten Nielsen

2017-36: Panel Smooth Transition Regression Models

Andres Gonzalez, Timo Teräsvirta, Dick van Dijk and Yukai Yang

2017-35: Identification and estimation of heterogeneous agent models: A likelihood approach

Juan Carlos Parra-Alvarez, Olaf Posch and Mu-Chun Wang

2017-34: Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing

Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou and Weining Wang

2017-33: Time-varying coefficient estimation in SURE models. Application to portfolio management

Isabel Casas, Eva Ferreira and Susan Orbe

2017-32: Nonlinear models in macroeconometrics

Timo Teräsvirta

2017-31: Term Structure Analysis with Big Data

Martin M. Andreasen, Jens H.E. Christensen and Glenn Rudebusch

2017-30: Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment

Kim Christensen, Ulrich Hounyo and Mark Podolskij

2017-29: Modelling and forecasting WIG20 daily returns

Cristina Amado, Annastiina Silvennoinen and Timo Teräsvirta

2017-28: Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model

Annastiina Silvennoinen and Timo Teräsvirta

2017-27: The TIPS Liquidity Premium

Martin M. Andreasen, Jens H.E. Christensen and Simon Riddell

2017-26: Decoupling the short- and long-term behavior of stochastic volatility

Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen

2017-25: The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode

Massimiliano Caporin, Gisle Natvik, Francesco Ravazzolo and Paolo Santucci de Magistris

2017-24: Inference from the futures: ranking the noise cancelling accuracy of realized measures

Giorgio Mirone

2017-23: The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Roman Frydman, Soren Johansen, Anders Rahbek and Morten Tabor

2017-22: Testing for time-varying loadings in dynamic factor models

Jeroen V.K. Rombouts and Jakob Guldbæk Mikkelsen

2017-21: Variance swap payoffs, risk premia and extreme market conditions

Jeroen V.K. Rombouts, Lars Stentoft and Francesco Violante

2017-20: A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices

Tommaso Proietti and Alessandro Giovannelli

2017-19: Statistical tests for equal predictive ability across multiple forecasting methods

Daniel Borup and Martin Thyrsgaard

2017-18: Bootstrap-Based Inference for Cube Root Consistent Estimators

Matias Cattaneo, Michael Jansson and Kenichi Nagasawa

2017-17: Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles

Massimo Franchi and Soren Johansen

2017-16: Does the ARFIMA really shift?

Davide Delle Monache, Stefano Grassi and Paolo Santucci de Magistris

2017-15: A Non-Structural Investigation of VIX Risk Neutral Density

Andrea Barletta, Paolo Santucci de Magistris and Francesco Violante

2017-14: The Extended Perturbation Method: New Insights on the New Keynesian Model

Martin M. Andreasen and Anders Kronborg

2017-13: Picking Funds with Confidence

Niels S. Grønborg, Asger Lunde, Allan Timmermann and Russell Wermers

2017-12: The role of cointegration for optimal hedging with heteroscedastic error term

Lukasz Gatarek and Soren Johansen

2017-11: Cointegration between trends and their estimators in state space models and CVAR models

Soren Johansen and Morten Tabor

2017-10: Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability

Jeroen V.K. Rombouts, Lars Stentoft and Francesco Violante

2017-09: Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations

Thomas Pedersen and Erik Christian Schütte

2017-08: Insight into the Female Longevity Puzzle: Using Register Data to Analyse Mortality and Cause of Death Behaviour Across Socio-economic Groups

Malene Kallestrup-Lamb and Carsten P.T. Rosenskjold

2017-07: Modeling and forecasting electricity price jumps in the Nord Pool power market

Oskar Knapik

2017-06: The Walking Debt Crisis

Tobias Basse, Robinson Kruse and Christoph Wegener

2017-05: Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis

Matthew Holt and Timo Teräsvirta

2017-04: Sir Clive Granger's contributions to nonlinear time series and econometrics

Timo Teräsvirta

2017-03: A regime-switching stochastic volatility model for forecasting electricity prices

Peter Exterkate and Oskar Knapik

2017-02: Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form

Giuseppe Cavaliere, Morten Nielsen and Robert Taylor

2017-01: Predicting Bond Betas using Macro-Finance Variables

Nektarios Aslanidis, Charlotte Christiansen and Andrea Cipollini

2016-33: Estimation of the global regularity of a multifractional Brownian motion

Joachim Lebovits and Mark Podolskij

2016-32: A New Index of Housing Sentiment

Lasse Bork, Stig V. Møller and Thomas Pedersen

2016-31: Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure

Carlos Vladimir Rodríguez-Caballero

2016-30: Forecasting daily political opinion polls using the fractionally cointegrated VAR model

Morten Nielsen and Sergei Shibaev