CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2014-48: Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns

Tim Bollerslev, Sophia Zhengzi Li and Viktor Todorov

2014-47: Dynamic term structure models: The best way to enforce the zero lower bound

Martin M. Andreasen and Andrew Meldrum

2014-46: On the Selection of Common Factors for Macroeconomic Forecasting

Alessandro Giovannelli and Tommaso Proietti

2014-45: Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors

Nektarios Aslanidis, Charlotte Christiansen, Neophytos Lambertides and Christos S. Savva

2014-44: Deterministic and stochastic trends in the Lee-Carter mortality model

Laurent Callot, Niels Haldrup and Malene Kallestrup Lamb

2014-43: On the identification of fractionally cointegrated VAR models with the F(d) condition

Paolo Santucci de Magistris and Federico Carlini

2014-42: Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice

Laurent Callot, Anders Kock and Marcelo Medeiros

2014-41: Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy

Laurent Callot and Johannes Kristensen

2014-40: Optimal hedging with the cointegrated vector autoregressive model

Soren Johansen and Lukasz Gatarek

2014-39: Outlier detection algorithms for least squares time series regression

Soren Johansen and Bent Nielsen

2014-38: Times Series: Cointegration

Soren Johansen

2014-37: Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets

Gustavo Fruet Dias and George Kapetanios

2014-36: Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso

Mehmet Caner and Anders Kock

2014-35: Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading

Ulrich Hounyo

2014-34: Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models

Morten Nielsen

2014-33: Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500

Massimiliano Caporin, Luca Corazzini and Michele Costola

2014-32: The wild tapered block bootstrap

Ulrich Hounyo

2014-31: Factor Structure in Commodity Futures Return and Volatility

Peter Christoffersen, Asger Lunde and Kasper V. Olesen

2014-30: ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models

Michael Creel and Dennis Kristensen

2014-29: Chasing volatility - A persistent multiplicative error model with jumps

Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris

2014-28: Fama on bubbles

Tom Engsted

2014-27: Volatility jumps and their economic determinants

Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris

2014-26: Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation?

Markku Lanne, Jani Luoto and Henri Nyberg

2014-25: Bootstrapping Kernel-Based Semiparametric Estimators

Matias Cattaneo and Michael Jansson

2014-24: A fractionally cointegrated VAR analysis of price discovery in commodity futures markets

Sepideh Dolatabadi, Morten Nielsen and Ke Xu

2014-23: A fractionally cointegrated VAR analysis of economic voting and political support

Maggie Jones, Morten Nielsen and Michal Popiel

2014-22: Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets

Giuseppe Cavaliere, Morten Nielsen and Robert Taylor

2014-21: Discretization of Lévy semistationary processes with application to estimation

Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen

2014-20: Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach

Martyna Marczak and Tommaso Proietti

2014-19: Discriminating between fractional integration and spurious long memory

Niels Haldrup and Robinson Kruse

2014-18: Extreme negative coexceedances in South Eastern European stock markets

Dragan Tevdovski

2014-17: Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models

Markku Lanne and Henri Nyberg

2014-16: Simulation of multivariate diffusion bridges

Mogens Bladt, Samuel Finch and Michael Sørensen

2014-15: On an Estimation Method for an Alternative Fractionally Cointegrated Model

Federico Carlini and Katarzyna Łasak

2014-14: Functional limit theorems for generalized variations of the fractional Brownian sheet

Mikko S. Pakkanen and Anthony Réveillac

2014-13: Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification

Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou

2014-12: Forecasting with the Standardized Self-Perturbed Kalman Filter

Stefano Grassi, Nima Nonejad and Paolo Santucci de Magistris

2014-11: Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition

Yukai Yang

2014-10: Price discovery in dual-class shares across multiple markets

Marcelo Fernandes and Cristina M. Scherrer

2014-09: A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market

Stan Hurn, Annastiina Silvennoinen and Timo Teräsvirta

2014-08: Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications

Timo Teräsvirta and Yukai Yang

2014-07: Noncausal Bayesian Vector Autoregression

Markku Lanne and Jani Luoto

2014-06: Are University Admissions Academically Fair?

Debopam Bhattacharya, Shin Kanaya and Margaret Stevens

2014-05: Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity

Kris Boudt, Sébastien Laurent, Asger Lunde and Rogier Quaedvlieg

2014-04: Linearity and Misspecification Tests for Vector Smooth Transition Regression Models

Timo Teräsvirta and Yukai Yang

2014-03: A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model

Paul Catani, Timo Teräsvirta and Meiqun Yin

2014-02: 150 Years of Italian CO2 Emissions and Economic Growth

Barbara Annicchiarico, Anna Rita Bennato and Emilio Zanetti Chini

2014-01: Bagging Weak Predictors

Manuel Lukas and Eric Hillebrand

2013-52: The Fine Structure of Equity-Index Option Dynamics

Torben Andersen, Oleg Bondarenko, Viktor Todorov and George Tauchen

2013-51: Oracle Inequalities for Convex Loss Functions with Non-Linear Targets

Mehmet Caner and Anders Kock