The research conducted at CREATES covers a broad range of sub-fields. One of the most active research areas is within the econometric analysis of high frequency time series data, especially volatility modeling of financial data. The production in this field is flourishing, and CREATES has one of the strongest research groups worldwide. This area is further expanding via recent recruitments. Also, the field will expand to include new related research areas such as the econometrics of energy markets and the analysis of high dimensional data.

Other fields with a very dominant position at CREATES include theoretical time series econometrics: the analysis of non-stationary time series, long memory models, and non-linear time series modeling.

Also the fields of forecasting and asset return predictability are very active research areas at CREATES.

Other expanding research areas include macro finance and the specification and estimation of dynamic stochastic general equilibrium (DSGE) models.