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Department of Economics and Business Economics

CREATES

CREATES Research Papers

Christensen, B. J., Neri, L. & Parra-Alvarez, J. C. (2022). Estimation of continuous-time linear DSGE models from discrete-time measurements. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2022-12

Mackinnon, J. G. & Nielsen, M. Ø. (2022). Cluster-Robust Inference: A Guide to Empirical Practice. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2022-08

Xu, Y. (2022). Reallocation of Mutual Fund Managers and Capital Raising Ability. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2022-11

Ergemen, Y. E. (2022). Parametric Estimation of Long Memory in Factor Models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2022-10

Bennedsen, M., Hillebrand, E. & Jensen, S. M. (2022). A Neural Network Approach to the Environmental Kuznets Curve. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2022-09

Hualde, J. & Nielsen, M. Ø. (2022). Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2022-07

Nielsen, O. L. & Posselt, A. M. (2022). Betting on mean reversion in the VIX? Evidence from ETP flows. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2022-06

Bertelsen, K. P. (2022). The Prior Adaptive Group Lasso and the Factor Zoo. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2022-05

Nielsen, M. Ø., Seo, W. & Seong, D. (2022). Inference on the dimension of the nonstationary subspace in functional time series. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2022-4

Xu, Y. (2022). Spillovers of Senior Mutual Fund Managers’ Capital Raising Ability. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2022-03

Hualde, J. & Nielsen, M. Ø. (2022). Fractional integration and cointegration. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2022-02

Kang, J., Jakobsen, J. S., Silvennoinen, A., Teräsvirta, T. & Wade, G. (2022). A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2022-01

Huseynov, S. (2021). Long and short memory in dynamic term structure models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-15

Hounyo, U. & Lahiri, K. (2021). Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-14

Hall, A. D., Silvennoinen, A. & Teräsvirta, T. (2021). Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-13

Bennedsen, M., Lunde, A., Shephard, N. & Veraart, A. E. D. (2021). Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-12

Christensen, B. J., Kjær, M. M. & Veliyev, B. (2021). The incremental information in the yield curve about future interest rate risk. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-11

Johansen, S. & Swensen, A. R. (2021). Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-10

Catania, L., Luati, A. & Vallarino, P. (2021). Economic vulnerability is state dependent. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-09

Corrado, L., Grassi, S. & Paolillo, A. (2021). Modelling and Estimating Large Macroeconomic Shocks During the Pandemic. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-08

Demetrescu, M. & Kruse-Becher, R. (2021). Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-07

Gonzalez-Rivera, G., Rodríguez-Caballero, C. V. & Ortega, E. R. (2021). Expecting the unexpected: economic growth under stress. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-06

Grassi, S. & Violante, F. (2021). Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-05

Iacone, F., Nielsen, M. Ø. & Taylor, R. (2021). Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-04

Christensen, K., Siggaard, M. V. & Veliyev, B. (2021). A machine learning approach to volatility forecasting. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-03

Borup, D., Rapach, D. E. & Montes Schütte, E. C. (2021). Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-02

Andreasen, M. M. (2021). The New Keynesian Model and Bond Yields. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2021-01

Hillebrand, E., Mikkelsen, J., Spreng, L. & Urga, G. (2020). Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2020-19

Bennedsen, M., Hillebrand, E. & Koopman, S. J. (2020). A statistical model of the global carbon budget. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2020-18

Álvarez, J-A., Kallestrup-Lamb, M. & Kjærgaard, S. (2020). Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2020-17

Vera-Valdés, J. E. (2020). Temperature Anomalies, Long Memory, and Aggregation. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2020-16

Rodríguez-Caballero, C. V. & Vera-Valdés, J. E. (2020). Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll? Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2020-15

Christiansen, C., Xing, R. & Xu, Y. (2020). Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2020-14

Nielsen, M. Ø. & L. Noël, A. (2020). To infinity and beyond: Efficient computation of ARCH(∞) models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2020-13

Bolko, A. E., Christensen, K., Pakkanen, M. & Veliyev, B. (2020). Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2020-12

Christensen, B. J., Parra-Alvarez, J. C. & Serrano, R. (2020). Optimal control of investment, premium and deductible for a non-life insurance company. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2020-11

Irarrazabal, A., Ma, L. & Parra-Alvarez, J. C. (2020). Optimal Asset Allocation for Commodity Sovereign Wealth Funds. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2020-10

Borup, D., Eriksen, J. N., Kjær, M. M. & Thyrsgaard, M. (2020). Predicting bond return predictability. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2020-09

Cavaliere, G., Nielsen, M. Ø. & Taylor, R. (2020). Adaptive Inference in Heteroskedastic Fractional Time Series Models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2020-08

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Revideret 08.11.2022

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Solveig Nygaard Sørensen