Economics at your fingertips  

CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
Series data maintained by ().

Access Statistics for this working paper series.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

2011-14: When Long Memory Meets the Kalman Filter: A Comparative Study Downloads
Stefano Grassi and Paolo Santucci de Magistris
2011-13: Nonparametric Detection and Estimation of Structural Change Downloads
Dennis Kristensen
2011-12: Generalized Jackknife Estimators of Weighted Average Derivatives Downloads
Matias Cattaneo, Richard Crump and Michael Jansson
2011-11: Estimation of long memory in integrated variance Downloads
Eduardo Rossi and Paolo Santucci de Magistris
2011-10: International Diversification Benefits with Foreign Exchange Investment Styles Downloads
Tim Kroencke, Felix Schindler and Andreas Schrimpf
2011-09: Option valuation with the simplified component GARCH model Downloads
Matt Dziubinski
2011-08: Bayesian stochastic model specification search for seasonal and calendar effects Downloads
Stefano Grassi and Tommaso Proietti
2011-07: Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises Downloads
Tom Engsted and Stig Møller
2011-06: An extension of cointegration to fractional autoregressive processes Downloads
Soren Johansen
2011-05: Prediction-based estimating functions: review and new developments Downloads
Michael Sørensen
2011-04: Testing the local volatility assumption: a statistical approach Downloads
Mark Podolskij and Mathieu Rosenbaum
2011-03: Forecasting Covariance Matrices: A Mixed Frequency Approach Downloads
Roxana Halbleib and Valeri Voev
2011-02: Nonlinear models for autoregressive conditional heteroskedasticity Downloads
Timo Teräsvirta
2011-01: Modelling Volatility by Variance Decomposition Downloads
Cristina Amado and Timo Teräsvirta
2010-76: The Model Confidence Set Downloads
Peter Hansen, Asger Lunde and James Nason
2010-75: A Bootstrap Cointegration Rank Test for Panels of VAR Models Downloads
Laurent Callot
2010-74: Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility Downloads
Peter Hansen, Asger Lunde and Valeri Voev
2010-73: Estimating the effect of a variable in a high-dimensional regression model Downloads
Peter Jensen and Allan Würtz
2010-72: An invariance property of the common trends under linear transformations of the data Downloads
Soren Johansen and Katarina Juselius
2010-71: Modelling asset correlations during the recent FInancial crisis: A semiparametric approach Downloads
Nektarios Aslanidis and Isabel Casas
2010-70: A necessary moment condition for the fractional functional central limit theorem Downloads
Soren Johansen and Morten Nielsen
2010-69: The analysis of nonstationary time series using regression, correlation and cointegration with an application to annual mean temperature and sea level Downloads
Soren Johansen
2010-68: Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models Downloads
Dennis Kristensen and Anders Rahbek
2010-67: Estimation of Stochastic Volatility Models by Nonparametric Filtering Downloads
Shin Kanaya and Dennis Kristensen
2010-66: Integer-valued Lévy processes and low latency financial econometrics Downloads
Ole Barndorff-Nielsen, David G. Pollard and Neil Shephard
2010-65: How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? Downloads
Almut Veraart
2010-64: Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns Downloads
Tim Bollerslev and Viktor Todorov
2010-63: How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models Downloads
Martin Andreasen
2010-62: The Impact of Health Changes on Labor Supply: Evidence from Merged Data on Individual Objective Medical Diagnosis Codes and Early Retirement Behavior Downloads
Bent Jesper Christensen and Malene Kallestrup Lamb
2010-61: Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach Downloads
Christian Bach and Bent Jesper Christensen
2010-60: Level Shifts in Volatility and the Implied-Realized Volatility Relation Downloads
Bent Jesper Christensen and Paolo Santucci de Magistris
2010-59: Numerical distribution functions of fractional unit root and cointegration tests Downloads
James MacKinnon and Morten Nielsen
2010-58: A Comprehensive Look at Financial Volatility Prediction by Economic Variables Downloads
Charlotte Christiansen, Maik Schmeling and Andreas Schrimpf
2010-57: The Effects of Marriage and Divorce on Financial Investments: Learning to Love or Hate Risk? Downloads
Charlotte Christiansen, Juanna Schröter Joensen and Jesper Rangvid
2010-56: Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models Downloads
Anders Kock
2010-55: Sign and Quantiles of the Realized Stock-Bond Correlation Downloads
Nektarios Aslanidis and Charlotte Christiansen
2010-54: Minimax Regression Quantiles Downloads
Stefan Bache
2010-53: Detecting Housing Submarkets using Unsupervised Learning of Finite Mixture Models Downloads
Christos Ntantamis
2010-52: Detecting Structural Breaks using Hidden Markov Models Downloads
Christos Ntantamis
2010-51: A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns Downloads
Christos Ntantamis
2010-50: The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model Downloads
Bent Jesper Christensen and Petra Posedel
2010-49: Macro Expectations, Aggregate Uncertainty, and Expected Term Premia Downloads
Christian Dick, Maik Schmeling and Andreas Schrimpf
2010-48: Asymptotic normality of the QMLE in the level-effect ARCH model Downloads
Christian Dahl and Emma Iglesias
2010-47: ICT and Productivity Growth in the 1990's: Panel Data Evidence on Europe Downloads
Christian Dahl, Hans Christian Kongsted and Anders Sørensen
2010-46: Habit-based Asset Pricing with Limited Participation Consumption Downloads
Christian Bach and Stig Vinther Møller
2010-45: The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts Downloads
Rasmus Varneskov and Valeri Voev
2010-44: Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models Downloads
Jeroen Rombouts and Lars Stentoft
2010-43: Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models Downloads
Dennis Kristensen
2010-42: Long memory and changing persistence Downloads
Robinson Kruse and Philipp Sibbertsen
2010-41: Modelling electricity forward markets by ambit fields Downloads
Ole E. Barndorff–Nielsen, Fred Espen Benth and Almut Veraart
Page updated 2018-03-23
Sorted by handle, 2/4d-year, number last