CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2011-11: Estimation of long memory in integrated variance

Eduardo Rossi and Paolo Santucci de Magistris

2011-10: International Diversification Benefits with Foreign Exchange Investment Styles

Tim Kroencke, Felix Schindler and Andreas Schrimpf

2011-09: Option valuation with the simplified component GARCH model

Matt Dziubinski

2011-08: Bayesian stochastic model specification search for seasonal and calendar effects

Stefano Grassi and Tommaso Proietti

2011-07: Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises

Tom Engsted and Stig Møller

2011-06: An extension of cointegration to fractional autoregressive processes

Soren Johansen

2011-05: Prediction-based estimating functions: review and new developments

Michael Sørensen

2011-04: Testing the local volatility assumption: a statistical approach

Mark Podolskij and Mathieu Rosenbaum

2011-03: Forecasting Covariance Matrices: A Mixed Frequency Approach

Roxana Halbleib and Valeri Voev

2011-02: Nonlinear models for autoregressive conditional heteroskedasticity

Timo Teräsvirta

2011-01: Modelling Volatility by Variance Decomposition

Cristina Amado and Timo Teräsvirta

2010-76: The Model Confidence Set

Peter Hansen, Asger Lunde and James Nason

2010-75: A Bootstrap Cointegration Rank Test for Panels of VAR Models

Laurent Callot

2010-74: Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility

Peter Hansen, Asger Lunde and Valeri Voev

2010-73: Estimating the effect of a variable in a high-dimensional regression model

Peter Jensen and Allan Würtz

2010-72: An invariance property of the common trends under linear transformations of the data

Soren Johansen and Katarina Juselius

2010-71: Modelling asset correlations during the recent FInancial crisis: A semiparametric approach

Nektarios Aslanidis and Isabel Casas

2010-70: A necessary moment condition for the fractional functional central limit theorem

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

Soren Johansen

2010-68: Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models

Dennis Kristensen and Anders Rahbek

2010-67: Estimation of Stochastic Volatility Models by Nonparametric Filtering

Shin Kanaya and Dennis Kristensen

2010-66: Integer-valued Lévy processes and low latency financial econometrics

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?

Almut Veraart

2010-64: Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns

Tim Bollerslev and Viktor Todorov

2010-63: How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models

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

Bent Jesper Christensen and Malene Kallestrup Lamb

2010-61: Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach

Christian Bach and Bent Jesper Christensen

2010-60: Level Shifts in Volatility and the Implied-Realized Volatility Relation

Bent Jesper Christensen and Paolo Santucci de Magistris

2010-59: Numerical distribution functions of fractional unit root and cointegration tests

James MacKinnon and Morten Nielsen

2010-58: A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Charlotte Christiansen, Maik Schmeling and Andreas Schrimpf

2010-57: The Effects of Marriage and Divorce on Financial Investments: Learning to Love or Hate Risk?

Charlotte Christiansen, Juanna Schröter Joensen and Jesper Rangvid

2010-56: Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models

Anders Kock

2010-55: Sign and Quantiles of the Realized Stock-Bond Correlation

Nektarios Aslanidis and Charlotte Christiansen

2010-54: Minimax Regression Quantiles

Stefan Bache

2010-53: Detecting Housing Submarkets using Unsupervised Learning of Finite Mixture Models

Christos Ntantamis

2010-52: Detecting Structural Breaks using Hidden Markov Models

Christos Ntantamis

2010-51: A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns

Christos Ntantamis

2010-50: The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model

Bent Jesper Christensen and Petra Posedel Šimović

2010-49: Macro Expectations, Aggregate Uncertainty, and Expected Term Premia

Christian Dick, Maik Schmeling and Andreas Schrimpf

2010-48: Asymptotic normality of the QMLE in the level-effect ARCH model

Christian Dahl and Emma Iglesias

2010-47: ICT and Productivity Growth in the 1990's: Panel Data Evidence on Europe

Christian Dahl, Hans Christian Kongsted and Anders Sørensen

2010-46: Habit-based Asset Pricing with Limited Participation Consumption

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

Rasmus Varneskov and Valeri Voev

2010-44: Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

Jeroen Rombouts and Lars Stentoft

2010-43: Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models

Dennis Kristensen

2010-42: Long memory and changing persistence

Robinson Kruse and Philipp Sibbertsen

2010-41: Modelling electricity forward markets by ambit fields

Ole E. Barndorff–Nielsen, Fred Espen Benth and Almut Veraart

2010-40: Picard Approximation of Stochastic Differential Equations and Application to Libor Models

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

Rasmus Varneskov

2010-38: Predictable return distributions

Thomas Pedersen