CREATES Research Papers

Parra-Alvarez, J. C., Posch, O. & Wang, M-C. (2017). Identification and estimation of heterogeneous agent models: A likelihood approach. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-35

Franchi, M. & Johansen, S. (2017). Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-17

Mirone, G. (2017). Inference from the futures: ranking the noise cancelling accuracy of realized measures. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-24

Kallestrup-Lamb, M. & Rosenskjold, C. P. T. (2017). Insight into the Female Longevity Puzzle: Using Register Data to Analyse Mortality and Cause of Death Behaviour Across Socio-economic Groups. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-08

Barletta, A., Santucci de Magistris, P. & Pedersen, D. S. (2017). It Only Takes a Few Moments to Hedge. Social Science Research Network (SSRN). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3086538

Asgharian, H., Christiansen, C., Hou, A. J. & Wang, W. (2017). Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-34

Knapik, O. (2017). Modeling and forecasting electricity price jumps in the Nord Pool power market. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-07

Amado, C., Silvennoinen, A. & Terasvirta, T. (2017). Modelling and forecasting WIG20 daily returns. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-29

Terasvirta, T. (2017). Nonlinear models in macroeconometrics. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-32

González, A., Terasvirta, T., Dijk, D. V. & Yang, Y. (2017). Panel Smooth Transition Regression Models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-36

Grønborg, N. S., Lunde, A., Timmermann, A. & Wermers, R. (2017). Picking Funds with Confidence. Institut for Økonomi, Århus Universitet. CREATES Research Papers Nr. 2017-13

Aslanidis, N., Christiansen, C. & Cipollini, A. (2017). Predicting Bond Betas using Macro-Finance Variables. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-01

Cavaliere, G., Nielsen, M. Ø. & Taylor, R. (2017). Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-02

Terasvirta, T. (2017). Sir Clive Granger’s contributions to nonlinear time series and econometrics. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-04

Proietti, T., Haldrup, N. & Knapik, O. (2017). Spikes and memory in (Nord Pool) electricity price spot prices. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-39

Borup, D. & Thyrsgaard, M. (2017). Statistical tests for equal predictive ability across multiple forecasting methods. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-19

Andreasen, M. M., Christensen, J. H. E. & Rudebusch, G. D. (2017). Term Structure Analysis with Big Data. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-31

Pedersen, T. Q. & Montes Schütte, E. C. (2017). Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-09

Mikkelsen, J. G. (2017). Testing for time-varying loadings in dynamic factor models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-22

Johansen, S. & Nielsen, M. Ø. (2017). Testing the CVAR in the fractional CVAR model. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-37

Caporin, M., Natvik, G. J., Ravazzolo, F. & Santucci de Magistris, P. (2017). The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-25

Andreasen, M. M. & Kronborg, A. F. (2017). The Extended Perturbation Method: New Insights on the New Keynesian Model. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-14

Frydman, R., Johansen, S., Rahbek, A. & Tabor, M. N. (2017). The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-23

Andreasen, M. M., Christensen, J. H. E. & Simon Riddell, S. (2017). The TIPS Liquidity Premium. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-27

Basse, T., Kruse, R. & Wegener, C. (2017). The Walking Debt Crisis. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-06

Gatarek, L. & Johansen, S. (2017). The role of cointegration for optimal hedging with heteroscedastic error term. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-12

Casas, I., Ferreira, E. & Orbe, S. (2017). Time-varying coefficient estimation in SURE models. Application to portfolio management. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-33

Rombouts, J. V. K., Stentoft, L. & Violante, F. (2017). Variance swap payoffs, risk premia and extreme market conditions. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-21

Ergemen, Y. E. & Rodríguez-Caballero, C. V. (2016). A Dynamic Multi-Level Factor Model with Long-Range Dependence. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-23

Bork, L., Møller, S. V. & Pedersen, T. Q. (2016). A New Index of Housing Sentiment. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-32

Haldrup, N., Knapik, O. & Proietti, T. (2016). A generalized exponential time series regression model for electricity prices. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-08

Pakkanen, M. & Lukkarinen, J. (2016). Arbitrage without borrowing or short selling? Institut for Økonomi, Århus Universitet. CREATES Research Papers Nr. 2016-13

Barndorff-Nielsen, O. E. (2016). Assessing Gamma kernels and BSS/LSS processes. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-09

Andreasen, M. M., Engsted, T., Møller, S. V. & Jensen, M. D. S. (2016). Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-26

Kruse, R., Leschinski, C. & Will, M. (2016). Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-17

Dias, G. F., Fernandes, M. & Scherrer, C. (2016). Component shares in continuous time. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-25

Lanne, M. & Luoto, J. (2016). Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-04

Christensen, B. J. & Varneskov, R. T. (2016). Dynamic Global Currency Hedging. CREATES Research Papers Nr. 2016-03

Asgharian, H., Christiansen, C., Gupta, R. & Hou, A. J. (2016). Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-29

Lebovits, J. & Podolskij, M. (2016). Estimation of the global regularity of a multifractional Brownian motion. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-33

Andreasen, M. M. & Jørgensen, K. (2016). Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-16

Demetrescu, M., Hanck, C. & Kruse, R. (2016). Fixed-b Inference in the Presence of Time-Varying Volatility. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-01

Nielsen, M. Ø. & Shibaev, S. S. (2016). Forecasting daily political opinion polls using the fractionally cointegrated VAR model. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-30

Ergemen, Y. E. (2016). Generalized Efficient Inference on Factor Models with Long-Range Dependence. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-05

Abate, G. D. & Anselin, L. (2016). House price fluctuations and the business cycle dynamics. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-06

Bugni, F. A., Caner, M., Kock, A. B. & Lahiri, S. (2016). Inference in partially identified models with many moment inequalities using Lasso. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-12

Bollerslev, T., Patton, A. J. & Quaedvlieg, R. (2016). Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-10

Cairns, A. J. G., Kallestrup-Lamb, M., Rosenskjold, C. P. T., Blake, D. & Dowd, K. (2016). Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-14

Rodríguez-Caballero, C. V. (2016). Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-31

Barletta, A., Santucci de Magistris, P. & Violante, F. (2016). Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-20

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Solveig Nygaard Sørensen