CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2012-58: Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries

Tom Engsted and Thomas Pedersen

2012-57: A test for the rank of the volatility process: the random perturbation approach

Jean Jacod and Mark Podolskij

2012-56: And Now, The Rest of the News: Volatility and Firm Specific News Arrival

Robert Engle, Martin Klint Hansen and Asger Lunde

2012-55: A Non-standard Empirical Likelihood for Time Series

Daniel J. Nordman, Helle Bunzel and Soumendra N. Lahiri

2012-54: Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis

Matthew T. Holt and Timo Teräsvirta

2012-53: Multivariate Variance Targeting in the BEKK-GARCH Model

Rasmus Pedersen and Anders Rahbek

2012-52: Asymptotic theory for Brownian semi-stationary processes with application to turbulence

José Manuel Corcuera, Emil Hedevang, Mikko S. Pakkanen and Mark Podolskij

2012-51: Stock Return and Cash Flow Predictability: The Role of Volatility Risk

Tim Bollerslev, Lai Xu and Hao Zhou

2012-50: GARCH Option Valuation: Theory and Evidence

Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai

2012-49: Nonlinear Kalman Filtering in Affine Term Structure Models

Peter Christoffersen, Christian Dorion, Kris Jacobs and Lot?fi Karoui

2012-48: Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach

Peter Christoffersen, Vihang Errunza, Kris Jacobs and Hugues Langlois

2012-47: The role of initial values in nonstationary fractional time series models

Soren Johansen and Morten Nielsen

2012-46: The Selection of ARIMA Models with or without Regressors

Soren Johansen, Marco Riani and Anthony C. Atkinson

2012-45: Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics

Peter Hansen and Allan Timmermann

2012-44: Exponential GARCH Modeling with Realized Measures of Volatility

Peter Hansen and Zhuo Huang

2012-43: Choice of Sample Split in Out-of-Sample Forecast Evaluation

Peter Hansen and Allan Timmermann

2012-42: End-of-the-year economic growth and time-varying expected returns

Stig Møller and Jesper Rangvid

2012-41: Let's Do It Again: Bagging Equity Premium Predictors

Eric Hillebrand, Tae Hwy Lee and Marcelo Medeiros

2012-40: Limit theorems for non-degenerate U-statistics of continuous semimartingales

Mark Podolskij, Christian Schmidt and Johanna Fasciati Ziegel

2012-39: Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model

H. Peter Boswijk, Michael Jansson and Morten Nielsen

2012-38: Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions

Anders Kock and Laurent Callot

2012-37: Estimating High-Dimensional Time Series Models

Marcelo Medeiros and Eduardo F. Mendes

2012-36: Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models

Giuseppe Cavaliere, Anders Rahbek and Robert Taylor

2012-35: The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums

Daniela Osterrieder and Peter C. Schotman

2012-34: Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy

Nektarios Aslanidis and Charlotte Christiansen

2012-33: Integration of European Bond Markets

Charlotte Christiansen

2012-32: Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM

Olaf Posch and Andreas Schrimpf

2012-31: Asymptotic Theory for Regressions with Smoothly Changing Parameters

Eric Hillebrand, Marcelo Medeiros and Junyue Xu

2012-30: Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models

Eric Hillebrand and Marcelo Medeiros

2012-29: Unit Root Vector Autoregression with volatility Induced Stationarity

Anders Rahbek and Heino Bohn Nielsen

2012-28: Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?

Johannes Kristensen

2012-27: Housing price forecastability: A factor analysis

Lasse Bork and Stig V. Møller

2012-26: Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces

Lei Pan, Olaf Posch and Michel van der Wel

2012-25: Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates

Heejoon Han and Dennis Kristensen

2012-24: Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs

Zhenjiang Qin

2012-23: Heterogeneous Beliefs, Public Information, and Option Markets

Zhenjiang Qin

2012-22: Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare

Peter O. Christensen and Zhenjiang Qin

2012-21: On the estimation of the volatility-growth link

Andrey Launov, Olaf Posch and Klaus Wälde

2012-20: On tests for linearity against STAR models with deterministic trends

Hendrik Kaufmann, Robinson Kruse and Philipp Sibbertsen

2012-19: The impact of financial crises on the risk-return tradeoff and the leverage effect

Bent Jesper Christensen, Morten Nielsen and Jie Zhu

2012-18: Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors

Eric Hillebrand and Tae Hwy Lee

2012-17: Using the Yield Curve in Forecasting Output Growth and In?flation

Eric Hillebrand, Huiyu Huang, Tae Hwy Lee and Canlin Li

2012-16: Oracle Inequalities for High Dimensional Vector Autoregressions

Anders Kock and Laurent Callot

2012-15: Heterogeneous Computing in Economics: A Simplified Approach

Matt Dziubinski and Stefano Grassi

2012-14: Unit roots, nonlinearities and structural breaks

Niels Haldrup, Robinson Kruse, Timo Teräsvirta and Rasmus Varneskov

2012-13: Modelling electricity day–ahead prices by multivariate Lévy semistationary processes

Almut Veraart and Luitgard Veraart

2012-12: Goodness-of-fit testing for fractional diffusions

Mark Podolskij and Katrin Wasmuth

2012-11: Parametric Inference and Dynamic State Recovery from Option Panels

Torben Andersen, Nicola Fusari and Viktor Todorov

2012-10: Model Selection in Kernel Ridge Regression

Peter Exterkate

2012-09: Modelling conditional correlations of asset returns: A smooth transition approach

Annastiina Silvennoinen and Timo Teräsvirta