CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2015-40: Forecasting the Global Mean Sea Level, a Continuous-Time State-Space Approach

Lorenzo Boldrini

2015-39: The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach

Lorenzo Boldrini and Eric Hillebrand

2015-38: Supervision in Factor Models Using a Large Number of Predictors

Lorenzo Boldrini and Eric Hillebrand

2015-37: Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints

Markku Lanne and Jani Luoto

2015-36: Nonlinear dynamic interrelationships between real activity and stock returns

Markku Lanne and Henri Nyberg

2015-35: Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence

Yunus Emre Ergemen and Carlos Velasco

2015-34: A Jump-Diffusion Model with Stochastic Volatility and Durations

Wei Wei and Denis Pelletier

2015-33: Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval

Nina Munkholt Jakobsen and Michael Sørensen

2015-32: Which pricing approach for options under GARCH with non-normal innovations?

ean-Guy Simonato and Lars Stentoft

2015-31: Treatment Effects with Many Covariates and Heteroskedasticity

Matias Cattaneo, Michael Jansson and Whitney Newey

2015-30: Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach

Davide Delle Monache, Stefano Grassi and Paolo Santucci de Magistris

2015-29: Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation

Laurent Callot and Johannes Kristensen

2015-28: Seasonal Changes in Central England Temperatures

Tommaso Proietti and Eric Hillebrand

2015-27: Nonstationary ARCH and GARCH with t-distributed Innovations

Rasmus Pedersen and Anders Rahbek

2015-26: A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation

Ulrich Hounyo and Rasmus T. Varneskov

2015-25: Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination

Bent Jesper Christensen and Rasmus T. Varneskov

2015-24: Generalised partial autocorrelations and the mutual information between past and future

Tommaso Proietti and Alessandra Luati

2015-23: Data revisions and the statistical relation of global mean sea-level and temperature

Eric Hillebrand, Soren Johansen and Torben Schmith

2015-22: Space-time modeling of electricity spot prices

Girum Abate and Niels Haldrup

2015-21: Validity of Edgeworth expansions for realized volatility estimators

Ulrich Hounyo and Bezirgen Veliyev

2015-20: International Sign Predictability of Stock Returns: The Role of the United States

Henri Nyberg and Harri Pönkä

2015-19: A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Peter Hansen, Guillaume Horel, Asger Lunde and Ilya Archakov

2015-18: A Martingale Decomposition of Discrete Markov Chains

Peter Hansen

2015-17: Counting Processes for Retail Default Modeling

Nicholas Kiefer and C. Erik Larson

2015-16: Identification and estimation of non-Gaussian structural vector autoregressions

Markku Lanne, Mika Meitz and Pentti Saikkonen

2015-15: Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets

Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou

2015-14: Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting

Tim Bollerslev, Andrew Patton and Rogier Quaedvlieg

2015-13: Dynamic Factor Models for the Volatility Surface

Michel van der Wel, Sait Ozturk and Dick van Dijk

2015-12: EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area

Tommaso Proietti, Martyna Marczak and Gianluigi Mazzi

2015-11: Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)

Arianna Agosto, Giuseppe Cavaliere, Dennis Kristensen and Anders Rahbek

2015-10: Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models

Laurent Callot, Mehmet Caner, Anders Kock and Juan Andreas Riquelme

2015-09: Unbalanced Regressions and the Predictive Equation

Daniela Osterrieder, Daniel Ventosa-Santaulària and J. Eduardo Vera-Valdés

2015-08: Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis

Alfonso Irarrazabal and Juan Parra-Alvarez

2015-07: Option Valuation with Observable Volatility and Jump Dynamics

Peter Christoffersen, Bruno Feunou and Yoontae Jeon

2015-06: Oil Volatility Risk and Expected Stock Returns

Peter Christoffersen and Xuhui (Nick) Pan

2015-05: Equity Portfolio Management Using Option Price Information

Peter Christoffersen and Xuhui (Nick) Pan

2015-04: Understanding volatility dynamics in the EU-ETS market

Maria Eugenia Sanin, Maria Mansanet-Bataller and Francesco Violante

2015-03: Weak diffusion limits of dynamic conditional correlation models

Christian M. Hafner, Sébastien Laurent and Francesco Violante

2015-02: Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions

Tim Bollerslev, Andrew Patton and Wenjing Wang

2015-01: Explosive bubbles in house prices? Evidence from the OECD countries

Tom Engsted, Simon J. Hviid and Thomas Pedersen

2014-58: Inference in High-dimensional Dynamic Panel Data Models

Anders Kock and Haihan Tang

2014-57: Indirect inference with time series observed with error

Eduardo Rossi and Paolo Santucci de Magistris

2014-56: The Risk Premia Embedded in Index Options

Torben Andersen, Nicola Fusari and Viktor Todorov

2014-55: Forecasting Long Memory Series Subject to Structural Change: A Two-Stage Approach

Gustavo Fruet Dias and Fotis Papailias

2014-54: On spectral distribution of high dimensional covariation matrices

Claudio Heinrich and Mark Podolskij

2014-53: Cross listing: price discovery dynamics and exchange rate effects

Cristina M. Scherrer

2014-52: Testing the maximal rank of the volatility process for continuous diffusions observed with noise

Tobias Fissler and Mark Podolskij

2014-51: Ambit fields: survey and new challenges

Mark Podolskij

2014-50: On non-standard limits of Brownian semi-stationary

Kerstin Gärtner and Mark Podolskij

2014-49: Tail Risk Premia and Return Predictability

Tim Bollerslev, Viktor Todorov and Lai Xu