CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2013-50: Nonparametric Estimation of Cumulative Incidence Functions for Competing Risks Data with Missing Cause of Failure

Georgios Effraimidis and Christian Dahl

2013-49: Correlation Dynamics and International Diversification Benefits

Peter Christoffersen, Vihang R. Errunza, Kris Jacobs and Xisong Jin

2013-48: Illiquidity Premia in the Equity Options Market

Peter Christoffersen, Ruslan Goyenko, Kris Jacobs and Mehdi Karoui

2013-47: The Factor Structure in Equity Options

Peter Christoffersen, Mathieu Fournier and Kris Jacobs

2013-46: Dynamic Diversification in Corporate Credit

Peter Christoffersen, Kris Jacobs, Xisong Jin and Hugues Langlois

2013-45: Rare Disasters and Credit Market Puzzles

Peter Christoffersen, Du Du and Redouane Elkamhi

2013-44: On the identification of fractionally cointegrated VAR models with the F(d) condition

Federico Carlini and Paolo Santucci de Magistris

2013-43: Assessing Measures of Order Flow Toxicity via Perfect Trade Classification

Torben Andersen and Oleg Bondarenko

2013-42: Reflecting on the VPIN Dispute

Torben Andersen and Oleg Bondarenko

2013-41: Does Realized Skewness Predict the Cross-Section of Equity Returns?

Diego Amaya, Peter Christoffersen, Kris Jacbos and Aurelio Vasquez

2013-40: Polynomial Regressions and Nonsense Inference

Daniel Ventosa-Santaulària and Carlos Vladimir Rodríguez-Caballero

2013-39: A comparison of numerical methods for the solution of continuous-time DSGE models

Juan Parra-Alvarez

2013-38: Sticky continuous processes have consistent price systems

Christian Bender, Mikko S. Pakkanen and Hasanjen Sayit

2013-37: Classifying Returns as Extreme: European Stock and Bond Markets

Charlotte Christiansen

2013-36: Analyzing Oil Futures with a Dynamic Nelson-Siegel Model

Niels S. Hansen and Asger Lunde

2013-35: A unified framework for testing in the linear regression model under unknown order of fractional integration

Bent Jesper Christensen, Robinson Kruse and Philipp Sibbertsen

2013-34: The Exponential Model for the Spectrum of a Time Series: Extensions and Applications

Tommaso Proietti and Alessandra Luati

2013-33: Edgeworth expansion for functionals of continuous diffusion processes

Mark Podolskij and Nakahiro Yoshida

2013-32: Generalizing smooth transition autoregressions

Emilio Zanetti Chini

2013-31: Risk-Return Trade-Off for European Stock Markets

Nektarios Aslanidis, Charlotte Christiansen and Christos Savva

2013-30: Bootstrapping realized volatility and realized beta under a local Gaussianity assumption

Ulrich Hounyo

2013-29: Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series

Jiti Gao, Shin Kanaya, Degui Li and Dag Tjøstheim

2013-28: Bootstrapping pre-averaged realized volatility under market microstructure noise

Ulrich Hounyo, Silvia Goncalves and Nour Meddahi

2013-27: Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox

Nima Nonejad

2013-26: Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach

Nima Nonejad

2013-25: Time-Consistency Problem and the Behavior of US Inflation from 1970 to 2008

Nima Nonejad

2013-24: A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory

Nima Nonejad

2013-23: Estimating Stochastic Volatility Models using Prediction-based Estimating Functions

Asger Lunde and Anne Floor Brix

2013-22: Diffusion Indexes with Sparse Loadings

Johannes Kristensen

2013-21: Lassoing the Determinants of Retirement

Malene Kallestrup-Lamb, Anders Kock and Johannes Kristensen

2013-20: Oracle inequalities for high-dimensional panel data models

Anders Kock

2013-19: Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange

Asger Lunde and Kasper V. Olesen

2013-18: Thresholds and Smooth Transitions in Vector Autoregressive Models

Kirstin Hubrich and Timo Teräsvirta

2013-17: Interest Rates with Long Memory: A Generalized Affine Term-Structure Model

Daniela Osterrieder

2013-16: Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression

Peter Exterkate, Patrick Groenen, Christiaan Heij and Dick van Dijk

2013-15: Assessing Relative Volatility/Intermittency/Energy Dissipation

Ole Barndorff-Nielsen, Mikko S. Pakkanen and Jürgen Schmiegel

2013-14: Forecasting US Recessions: The Role of Sentiments

Charlotte Christiansen, Jonas Nygaard Eriksen and Stig V. Møller

2013-13: Bond return predictability in expansions and recessions

Tom Engsted, Stig V. Møller and Magnus Sander

2013-12: The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

Martin M. Andreasen, Jesus Fernandez-Villaverde and Juan F Rubio-Ramirez

2013-11: Changes in persistence, spurious regressions and the Fisher hypothesis

Robinson Kruse, Daniel Ventosa-Santaulària and Antonio Noriega

2013-10: Bias-corrected estimation in potentially mildly explosive autoregressive models

Hendrik Kaufmannz and Robinson Kruse

2013-09: Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman van Dijk

2013-08: Fractional cointegration rank estimation

Katarzyna Łasak and Carlos Velasco

2013-07: Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns

Silvia Goncalves, Ulrich Hounyo and Nour Meddahi

2013-06: Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets

Debopam Bhattacharya, Pascaline Dupas and Shin Kanaya

2013-05: Asymptotic analysis of the Forward Search

Soren Johansen and Bent Nielsen

2013-04: Housing market volatility in the OECD area: Evidence from VAR based return decompositions

Tom Engsted and Thomas Pedersen

2013-03: It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model

Stefano Grassi and Paolo Santucci de Magistris

2013-02: Risk premia in energy markets

Almut Veraart and Luitgard Veraart

2013-01: Limit theorems for power variations of ambit fields driven by white noise

Mikko S. Pakkanen