CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2012-08: On the Effects of Private Information on Volatility

Anne Opschoor, Michel van der Wel, Dick van Dijk and Nick Taylor

2012-07: Modelling Changes in the Unconditional Variance of Long Stock Return Series

Cristina Amado and Timo Teräsvirta

2012-06: Commodity derivatives pricing with inventory effects

Christian Bach and Matt Dziubinski

2012-05: On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions

Anders Kock

2012-04: The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options

Jeroen Rombouts, Lars Stentoft and Francesco Violante

2012-03: Conditionally-uniform Feasible Grid Search Algorithm

Matt Dziubinski

2012-02: Alternative Asymptotics and the Partially Linear Model with Many Regressors

Matias Cattaneo, Michael Jansson and Whitney Newey

2012-01: The Power of Unit Root Tests Against Nonlinear Local Alternatives

Matei Demetrescu and Robinson Kruse

2011-53: On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes

Kim Christensen, Mark Podolskij and Mathias Vetter

2011-52: What we can learn from pricing 139,879 Individual Stock Options

Lars Stentoft

2011-51: Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability

Tim Bollerslev, Daniela Osterrieder, Natalia Sizova and George Tauchen

2011-50: VPIN and the Flash Crash

Torben Andersen and Oleg Bondarenko

2011-49: Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX

Torben Andersen, Oleg Bondarenko and Maria T. Gonzalez-Perez

2011-48: Wage Dispersion and Decentralization of Wage Bargaining

Christian Dahl, Daniel le Maire and Jakob Munch

2011-47: Asymptotic theory of range-based multipower variation

Kim Christensen and Mark Podolskij

2011-46: Forecasting with Option Implied Information

Peter Christoffersen, Kris Jacobs and Bo Young Chang

2011-45: The Joint Dynamics of Equity Market Factors

Peter Christoffersen and Hugues Langlois

2011-44: Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?

Diego Amaya, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez

2011-43: Illiquidity Premia in the Equity Options Market

Peter Christoffersen, Ruslan Goyenko, Kris Jacobs and Mehdi Karoui

2011-42: Return Predictability, Model Uncertainty, and Robust Investment

Manuel Lukas

2011-41: Marginal Likelihood for Markov-switching and Change-point Garch Models

Luc Luc, Arnaud Dufays and Jeroen Rombouts

2011-40: Asymptotic theory for iterated one-step Huber-skip estimators

Soren Johansen and Bent Nielsen

2011-39: Statistical analysis of global surface air temperature and sea level using cointegration methods

Torben Schmith, Soren Johansen and Peter Thejll

2011-38: The Role of the Spouse in Early Retirement Decisions for Older Workers

Malene Kallestrup-Lamb

2011-37: Financial Risk Measurement for Financial Risk Management

Torben Andersen, Tim Bollerslev, Peter Christoffersen and Francis Diebold

2011-36: The Properties of Model Selection when Retaining Theory Variables

David Hendry and Soren Johansen

2011-35: Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices

Rasmus Varneskov

2011-34: American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison

Lars Stentoft

2011-33: Econometric Analysis and Prediction of Recurrent Events

Adrian Pagan and Don Harding

2011-32: Conservatism in Corporate Valuation

Christian Bach

2011-31: Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise

Rasmus Varneskov

2011-30: Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search

Stefano Grassi and Tommaso Proietti

2011-29: Wavelet Based Outlier Correction for Power Controlled Turning Point Detection in Surveillance Systems

Yushu Li

2011-28: Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009

Anders Kock and Timo Teräsvirta

2011-27: Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques

Anders Kock and Timo Teräsvirta

2011-26: Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns

Rasmus Varneskov and Pierre Perron

2011-25: Field Experiments in Economics: Comment on an article by Levitt and List

Stephen Ziliak

2011-24: Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations

Cristina Amado and Timo Teräsvirta

2011-23: A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

Torben Andersen, Dobrislav Dobrev and Ernst Schaumburg

2011-22: Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models

Antonis Papapantoleon, John Schoenmakers and David Skovmand

2011-21: Estimating Dynamic Equilibrium Models using Macro and Financial Data

Bent Jesper Christensen, Olaf Posch and Michel van der Wel

2011-20: Predicting Severe Simultaneous Recessions Using Yield Spreads as Leading Indicators

Charlotte Christiansen

2011-19: Fact or friction: Jumps at ultra high frequency

Kim Christensen, Roel Oomen and Mark Podolskij

2011-18: Bias-correction in vector autoregressive models: A simulation study

Tom Engsted and Thomas Pedersen

2011-17: Some econometric results for the Blanchard-Watson bubble model

Soren Johansen and Theis Lange

2011-16: Characterizing economic trends by Bayesian stochastic model specification search

Stefano Grassi and Tommaso Proietti

2011-15: A Simple Test for Spurious Regressions

Antonio Noriega and Daniel Ventosa-Santaulària

2011-14: When Long Memory Meets the Kalman Filter: A Comparative Study

Stefano Grassi and Paolo Santucci de Magistris

2011-13: Nonparametric Detection and Estimation of Structural Change

Dennis Kristensen

2011-12: Generalized Jackknife Estimators of Weighted Average Derivatives

Matias Cattaneo, Richard Crump and Michael Jansson