CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2016-29: Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation

Hossein Asgharian, Charlotte Christiansen, Rangan Gupta and Ai Jun Hou

2016-28: The Drift Burst Hypothesis

Kim Christensen, Roel Oomen and Roberto Renò

2016-27: Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach

Kim Christensen, Ulrich Hounyo and Mark Podolskij

2016-26: Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia

Martin M. Andreasen, Tom Engsted, Stig V. Møller and Magnus Sander

2016-25: Component shares in continuous time

Gustavo Fruet Dias, Marcelo Fernandes and Cristina M. Scherrer

2016-24: Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes

Shin Kanaya

2016-23: A Dynamic Multi-Level Factor Model with Long-Range Dependence

Yunus Emre Ergemen and Carlos Vladimir Rodríguez-Caballero

2016-22: The cointegrated vector autoregressive model with general deterministic terms

Soren Johansen and Morten Nielsen

2016-21: Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data

Mikkel Bennedsen

2016-20: Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach

Andrea Barletta, Paolo Santucci de Magistris and Francesco Violante

2016-19: Volume, Volatility and Public News Announcements

Tim Bollerslev, Jia Li and Yuan Xue

2016-18: Tightness of M-estimators for multiple linear regression in time series

Soren Johansen and Bent Nielsen

2016-17: Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting

Robinson Kruse, Christian Leschinski and Michael Will

2016-16: Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution

Martin M. Andreasen and Kasper Jørgensen

2016-15: The Local Fractional Bootstrap

Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde and Mikko S. Pakkanen

2016-14: Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index

Andrew J.G. Cairns, Malene Kallestrup-Lamb, Carsten P.T. Rosenskjold, David Blake and Kevin Dowd

2016-13: Arbitrage without borrowing or short selling?

Mikko S. Pakkanen and Jani Lukkarinen

2016-12: Inference in partially identified models with many moment inequalities using Lasso

Federico Bugni, Mehmet Caner, Anders Kock and Soumendra Lahiri

2016-11: The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?

Tom Engsted and Thomas Pedersen

2016-10: Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions

Tim Bollerslev, Andrew Patton and Rogier Quaedvlieg

2016-09: Assessing Gamma kernels and BSS/LSS processes

Ole Barndorff-Nielsen

2016-08: A generalized exponential time series regression model for electricity prices

Niels Haldrup, Oskar Knapik and Tommaso Proietti

2016-07: Volatility Discovery

Gustavo Fruet Dias, Cristina M. Scherrer and Fotis Papailias

2016-06: House price fluctuations and the business cycle dynamics

Girum Abate and Luc Anselin

2016-05: Generalized Efficient Inference on Factor Models with Long-Range Dependence

Yunus Emre Ergemen

2016-04: Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression

Markku Lanne and Jani Luoto

2016-03: Dynamic Global Currency Hedging

Bent Jesper Christensen and Rasmus T. Varneskov

2016-02: System Estimation of Panel Data Models under Long-Range Dependence

Yunus Emre Ergemen

2016-01: Fixed-b Inference in the Presence of Time-Varying Volatility

Matei Demetrescu, Christoph Hanck and Robinson Kruse

2015-61: Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models

Jakob Mikkelsen, Eric Hillebrand and Giovanni Urga

2015-60: Edgeworth expansion for the pre-averaging estimator

Mark Podolskij, Bezirgen Veliyev and Nakahiro Yoshida

2015-59: Long Memory, Fractional Integration, and Cross-Sectional Aggregation

Niels Haldrup and J. Eduardo Vera-Valdés

2015-58: Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads

Yunus Emre Ergemen, Niels Haldrup and Carlos Vladimir Rodríguez-Caballero

2015-57: On critical cases in limit theory for stationary increments Lévy driven moving averages

Andreas Basse-O'Connor and Mark Podolskij

2015-56: Limit theorems for stationary increments Lévy driven moving averages

Andreas Basse-O'Connor, Raphaël Lachièze-Rey and Mark Podolskij

2015-55: Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels

Kadir G. Babaoglou, Peter Christoffersen, Steven L. Heston and Kris Jacobs

2015-54: Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk

Peter Christoffersen, Mathieu Fournier, Kris Jacobs and Mehdi Karoui

2015-53: A weak limit theorem for numerical approximation of Brownian semi-stationary processes

Mark Podolskij and Nopporn Thamrongrat

2015-52: On U- and V-statistics for discontinuous Itô semimartingale

Mark Podolskij, Christian Schmidt and Mathias Vetter

2015-51: Exponential Smoothing, Long Memory and Volatility Prediction

Tommaso Proietti

2015-50: Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach

Shin Kanaya

2015-49: Credit policies before and during the financial crisis

Palle Sørensen

2015-48: The Role of Credit in Predicting US Recessions

Harri Pönkä

2015-47: Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Annastiina Silvennoinen and Timo Teräsvirta

2015-46: A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method

Asger Lunde, Anne Floor Brix and Wei Wei

2015-45: Inference from high-frequency data: A subsampling approach

Kim Christensen, Mark Podolskij, Nopporn Thamrongrat and Bezirgen Veliyev

2015-44: Expected Business Conditions and Bond Risk Premia

Jonas Nygaard Eriksen

2015-43: Hybrid scheme for Brownian semistationary processes

Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen

2015-42: Rough electricity: a new fractal multi-factor model of electricity spot prices

Mikkel Bennedsen

2015-41: Parametric Portfolio Policies with Common Volatility Dynamics

Yunus Emre Ergemen and Abderrahim Taamouti