Find

Department of Economics and Business Economics

CREATES

CREATES Research Papers

Bennedsen, M. (2016). Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. Institut for Økonomi, Århus Universitet. CREATES Research Papers Nr. 2016-21

Bennedsen, M., Hounyo, U., Lunde, A. & Pakkanen, M. (2016). The Local Fractional Bootstrap. Institut for Økonomi, Århus Universitet. CREATES Research Papers Nr. 2016-15

Johansen, S. & Nielsen, M. Ø. (2016). The cointegrated vector autoregressive model with general deterministic terms. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-22

Engsted, T. & Pedersen, T. Q. (2016). The predictive power of dividend yields for future inflation: Money illusion or rational causes? Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-11

Johansen, S. & Nielsen, B. (2016). Tightness of M-estimators for multiple linear regression in time series. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-18

Dias, G. F., Scherrer, C. & Papailias, F. (2016). Volatility Discovery. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-07

Bollerslev, T., Li, J. & Xue, Y. (2016). Volume, Volatility and Public News Announcements. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2016-19

Lunde, A., Brix, A. F. & Wei, W. (2015). A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-46

Wei, W. & Pelletier, D. (2015). A Jump-Diffusion Model with Stochastic Volatility and Durations. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-34

Hounyo, U. & Varneskov, R. T. (2015). A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-26

Hansen, P. R., Horel, G., Lunde, A. & Archakov, I. (2015). A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-19

Hansen, P. R. (2015). A Martingale Decomposition of Discrete Markov Chains. Institut for Økonomi, Aarhus Univeritet. CREATES Research Papers Nr. 2015-18

Podolskij, M. & Thamrongrat, N. (2015). A weak limit theorem for numerical approximation of Brownian semi-stationary processes. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-53

Kiefer, N. M. & Larson, C. E. (2015). Counting Processes for Retail Default Modeling. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-17

Sørensen, P. (2015). Credit policies before and during the financial crisis. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-49

Bollerslev, T., Patton, A. J. & Wang, W. (2015). Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-02

Hillebrand, E., Johansen, S. & Schmith, T. (2015). Data revisions and the statistical relation of global mean sea-level and temperature. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-23

van der Wel, M., Ozturk, S. R. & Dijk, D. V. (2015). Dynamic Factor Models for the Volatility Surface. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-13

Podolskij, M., Veliyev, B. & Yoshida, N. (2015). Edgeworth expansion for the pre-averaging estimator. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-60

Jakobsen, N. M. & Sørensen, M. (2015). Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-33

Christoffersen, P. & Pan, X. N. (2015). Equity Portfolio Management Using Option Price Information. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-05

Lanne, M. & Luoto, J. (2015). Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-37

Proietti, T., Marczak, M. & Mazzi, G. (2015). EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-12

Eriksen, J. N. (2015). Expected Business Conditions and Bond Risk Premia. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-44

Bollerslev, T., Patton, A. J. & Quaedvlieg, R. (2015). Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-14

Engsted, T., Hviid, S. J. & Pedersen, T. Q. (2015). Explosive bubbles in house prices? Evidence from the OECD countries. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-01

Proietti, T. (2015). Exponential Smoothing, Long Memory and Volatility Prediction. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-51

Boldrini, L. (2015). Forecasting the Global Mean Sea Level, a Continuous-Time State-Space Approach. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-40

Proietti, T. & Luati, A. (2015). Generalised partial autocorrelations and the mutual information between past and future. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-24

Bennedsen, M., Lunde, A. & Pakkanen, M. S. (2015). Hybrid scheme for Brownian semistationary processes. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-43

Lanne, M., Meitz, M. & Saikkonen, P. (2015). Identification and estimation of non-Gaussian structural vector autoregressions. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-16

Nyberg, H. & Pönkä, H. (2015). International Sign Predictability of Stock Returns: The Role of the United States. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-20

Basse-O'Connor, A., Lachièze-Rey, R. & Podolskij, M. (2015). Limit theorems for stationary increments Lévy driven moving averages. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-56

Haldrup, N. & Vera-Valdés, E. (2015). Long Memory, Fractional Integration, and Cross-Sectional Aggregation. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-59

Mikkelsen, J. G., Hillebrand, E. & Urga, G. (2015). Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-61

Christensen, B. J. & Varneskov, R. T. (2015). Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-25

Agosto, A., Cavaliere, G., Kristensen, D. & Rahbek, A. (2015). Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-11

Lanne, M. & Nyberg, H. (2015). Nonlinear dynamic interrelationships between real activity and stock returns. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-36

Pedersen, R. S. & Rahbek, A. (2015). Nonstationary ARCH and GARCH with t-distributed Innovations. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-27

Christoffersen, P. & Pan, X. N. (2015). Oil Volatility Risk and Expected Stock Returns. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-06

Podolskij, M., Schmidt, C. & Vetter, M. (2015). On U- and V-statistics for discontinuous Itô semimartingale. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-52

Basse-O'Connor, A. & Podolskij, M. (2015). On critical cases in limit theory for stationary increments Lévy driven moving averages. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-57

Christoffersen, P., Feunou, B. & Jeon, Y. (2015). Option Valuation with Observable Volatility and Jump Dynamics. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-07

Babaglou, K. G., Christoffersen, P., Heston, S. L. & Jacobs, K. (2015). Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-55

Christoffersen, P., Fournier, M., Fournier, M., Jacobs, K. & Karoui, M. (2015). Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk. Institut for Økonomi. CREATES Research Papers Nr. 2015-54

Ergemen, Y. E. & Taamouti, A. (2015). Parametric Portfolio Policies with Common Volatility Dynamics. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-41

Callot, L. & Kristensen, J. T. (2015). Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-29

Bennedsen, M. (2015). Rough electricity: a new fractal multi-factor model of electricity spot prices. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-42

Proietti, T. & Hillebrand, E. (2015). Seasonal Changes in Central England Temperatures. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2015-28

Barndorff-Nielsen, O. E., Sauri, O. & Szozda, B. (2015). Selfdecomposable Fields. arXiv.org. http://arxiv.org/abs/1502.01520

Viser resultater 151 til 200 ud af 334

4

Revideret 14.01.2021 -

Solveig Nygaard Sørensen