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CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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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
2010-40: Picard Approximation of Stochastic Differential Equations and Application to Libor Models Downloads
Antonis Papapantoleon and David Skovmand
2010-39: The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data Downloads
Rasmus Varneskov
2010-38: Predictable return distributions Downloads
Thomas Pedersen
2010-37: The log-linear return approximation, bubbles, and predictability Downloads
Tom Engsted, Thomas Pedersen and Carsten Tanggaard
2010-36: Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency Downloads
Robinson Kruse and Rickard Sandberg
2010-35: Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns Downloads
Leonidas Tsiaras
2010-34: The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks Downloads
Leonidas Tsiaras
2010-33: Maximum likelihood estimation for integrated diffusion processes Downloads
Fernando Baltazar-Larios and Michael Sørensen
2010-32: Simple simulation of diffusion bridges with application to likelihood inference for diffusions Downloads
Mogens Bladt and Michael Sørensen
2010-31: Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration Downloads
Morten Nielsen and Per Frederiksen
2010-30: Non-linear DSGE Models and The Central Difference Kalman Filter Downloads
Martin Andreasen
2010-29: Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence Downloads
Nikolaus Hautsch and Mark Podolskij
2010-28: Forecasting autoregressive time series under changing persistenceCreation-Date: 20100701 Downloads
Robinson Kruse
2010-27: Milestones of European Integration: Which matters most for Export Openness? Downloads
Robinson Kruse and Sanne Hiller
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