CREATES Research Papers

Barndorff-Nielsen, O. E., Sauri, O. & Szozda, B. (2015). Selfdecomposable Fields. T.N. Thiele Centre, Department of Mathematics, Aarhus University. Thiele Research Reports Nr. 02 http://math.au.dk/publs?publid=1035

Callot, L., Caner, M., Kock, A. B. & Riquelme, J. A. (2015). Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-10

Abate, G. D. & Haldrup, N. (2015). Space-time modeling of electricity spot prices. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-22

Boldrini, L. & Hillebrand, E. T. (2015). Supervision in Factor Models Using a Large Number of Predictors. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-38

Silvennoinen, A. & Terasvirta, T. (2015). Testing constancy of unconditional variance in volatility models by misspecification and specification tests. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-47

Monache, D. D., Grassi, S. & Santucci de Magistris, P. (2015). Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-30

Boldrini, L. & Hillebrand, E. T. (2015). The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-39

Pönkä, H. (2015). The Role of Credit in Predicting US Recessions. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-48

Irarrazabal, A. & Parra-Alvarez, J. C. (2015). Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-08

Cattaneo, M. D., Jansson, M. & Newey, W. K. (2015). Treatment Effects with Many Covariates and Heteroskedasticity. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-31

Osterrieder, D., Ventosa-Santaulària, D. & Vera-Valdés, J. E. (2015). Unbalanced Regressions and the Predictive Equation. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-09

Sanin, M. E., Mansanet-Bataller, M. & Violante, F. (2015). Understanding volatility dynamics in the EU-ETS market. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-04

Hounyo, U. & Veliyev, B. (2015). Validity of Edgeworth expansions for realized volatility estimators. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-21

Hafner, C. M., Laurent, S. & Violante, F. (2015). Weak diffusion limits of dynamic conditional correlation models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-03

Simonato, J-G. & Stentoft, L. (2015). Which pricing approach for options under GARCH with non-normal innovations? Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-32

Annicchiarico, B., Bennato, A. R. & Chini, E. Z. (2014). 150 Years of Italian CO2 Emissions and Economic Growth. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-02

Catani, P., Teräsvirta, T. & Yin, M. (2014). A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-03

Hurn, A. S., Silvennoinen, A. & Teräsvirta, T. (2014). A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-09

Jones, M. E. C., Ørregård Nielsen, M. & Popiel, M. K. (2014). A fractionally cointegrated VAR analysis of economic voting and political support. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-23

Dolatabadi, S., Nielsen, M. Ø. & Xu, K. (2014). A fractionally cointegrated VAR analysis of price discovery in commodity futures markets. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-24

Creel, M. & Kristensen, D. (2014). ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-30

Caner, M. & Kock, A. B. (2014). Asymptotically Honest Confidence Regions for High Dimensional. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-36

Ørregård Nielsen, M. (2014). Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-34

Lukas, M. & Hillebrand, E. (2014). Bagging Weak Predictors. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-01

Cavaliere, G., Nielsen, M. Ø. & Taylor, A. M. R. (2014). Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-22

Cattaneo, M. D. & Jansson, M. (2014). Bootstrapping Kernel-Based Semiparametric Estimators. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-25

Hounyo, U. (2014). Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-35

Caporin, M., Rossi, E. & Santucci de Magistris, P. (2014). Chasing volatility: A persistent multiplicative error model with jumps. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-29

Scherrer, C. (2014). Cross listing: Price discovery dynamics and exchange rate effects. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-53

Engsted, T. & Raaballe, J. (2014). Den finansielle krise i Danmark: Diskussion af rapporten fra Udvalget om årsagerne til finanskrisen: Duplik. Institut for Økonomi, Aarhus Universitet. Management Working Papers Nr. 2014-01

Callot, L., Haldrup, N. & Kallestrup-Lamb, M. (2014). Deterministic and stochastic trends in the Lee-Carter mortality model. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-44

Bennedsen, M., Lunde, A. & Pakkanen, M. (2014). Discretization of Lévy semistationary processes with application to estimation. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-21

Haldrup, N. & Kruse, R. (2014). Discriminating between fractional integration and spurious long memory. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-19

Andreasen, M. M. & Meldrum, A. (2014). Dynamic term structure models: The best way to enforce the zero lower bound. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-47

Dias, G. F. & Kapetanios, G. (2014). Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-37

Callot, L., Kock, A. B. & Medeiros, M. C. (2014). Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-42

Christoffersen, P., Lunde, A. & Olesen, K. V. (2014). Factor Structure in Commodity Futures Return and Volatility. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-31

Engsted, T. (2014). Fama on bubbles. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-28

Dias, G. F. & Papailias, F. (2014). Forecasting Long Memory Series Subject to Structural Change: A Two-Stage Approach. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-55

Grassi, S., Nonejad, N. & Santucci de Magistris, P. (2014). Forecasting with the Standardized Self-Perturbed Kalman Filter. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-12

Pakkanen, M. & Réveillac, A. (2014). Functional limit theorems for generalized variations of the fractional Brownian sheet. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-14

Lanne, M. & Nyberg, H. (2014). Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-17

Aslanidis, N., Christiansen, C., Lambertides, N. & Savva, C. S. (2014). Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-45

Rossi, E. & Santucci de Magistris, P. (2014). Indirect inference with time series observed with error. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-57

Kock, A. B. & Tang, H. (2014). Inference in High-dimensional Dynamic Panel Data Models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-58

Lanne, M., Luoto, J. & Nyberg, H. (2014). Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-26

Teräsvirta, T. & Yang, Y. (2014). Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-4

Asgharian, H., Christiansen, C. & Hou, A. J. (2014). Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-13

Caporin, M., Corazzini, L. & Costola, M. (2014). Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-33

Lanne, M. & Luoto, J. (2014). Noncausal Bayesian Vector Autoregression. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2014-07

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Revideret 14.01.2021 -

Solveig Nygaard Sørensen