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Department of Economics and Business Economics

CREATES

CREATES Research Papers

Hualde, J. & Nielsen, M. Ø. (2019). Truncated sum of squares estimation of fractional time series models with deterministic trends. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2020-07

Berenguer-Rico, V., Johansen, S. & Nielsen, B. (2019). Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2019-12

Humberto Cataño, D., Rodríguez-Caballero, C. V. & Peña, D. (2019). Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2019-23

Haldrup, N. & Rosenskjold, C. P. T. (2018). A Parametric Factor Model of the Term Structure of Mortality. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-06

Ankargren, S., Unosson, M. & Yang, Y. (2018). A mixed-frequency Bayesian vector autoregression with a steady-state prior. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-32

Rodríguez-Caballero, C. V. & Caporin, M. (2018). A multilevel factor approach for the analysis of CDS commonality and risk contribution. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-33

Andersen, T. G. & Varneskov, R. T. (2018). Consistent Inference for Predictive Regressions in Persistent VAR Economies. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-09

Mirone, G. (2018). Cross-sectional noise reduction and more efficient estimation of Integrated Variance. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-18

Bu, R., Hadri, K. & Kristensen, D. (2018). Diffusion Copulas: Identification and Estimation. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-20

Engsted, T. & Pedersen, T. Q. (2018). Disappearing money illusion. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-24

Asgharian, H., Christiansen, C. & Hou, A. J. (2018). Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-12

Dolatabadi, S., Narayan, P. K., Nielsen, M. Ø. & Xu, K. (2018). Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-35

Podolskij, M., Veliyev, B. & Yoshida, N. (2018). Edgeworth expansion for Euler approximation of continuous diffusion processes. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-28

MacKinnon, J. G., Nielsen, M. Ø., Roodman, D. & Webb, M. D. (2018). Fast and Wild: Bootstrap Inference in Stata Using boottest. Institut for Økonomi, Aarhus Univeritet. CREATES Research Papers Nr. 2018-34

Chini, E. Z. (2018). Forecasters’ utility and forecast coherence. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-23

Chini, E. Z. (2018). Forecaster’s utility and forecasts coherence. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-01

Chini, E. Z. (2018). Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-13

Morariu-Patrichi, M. & Pakkanen, M. (2018). Hybrid marked point processes: characterisation, existence and uniqueness. ArXiv. https://arxiv.org/pdf/1707.06970.pdf

Montes Schütte, E. C. (2018). In Search of a Job: Forecasting Employment Growth in the US using Google Trends. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-25

Hounyo, U. & Varneskov, R. T. (2018). Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-16

Casas, I., Gao, J. & Xie, S. (2018). Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD. Institut for Økonomi, Aarhus Univeritet. CREATES Research Papers Nr. 2018-29

Amado, C., Silvennoinen, A. & Terasvirta, T. (2018). Models with Multiplicative Decomposition of Conditional Variances and Correlations. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-14

Christiansen, C., Grønborg, N. S. & Nielsen, O. L. (2018). Mutual Fund Selection for Realistically Short Samples. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-36

Johansen, S. & Nielsen, M. Ø. (2018). Nonstationary cointegration in the fractionally cointegrated VAR model. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-17

Andersen, T. G., Fusari, N., Todorov, V. & Varneskov, R. T. (2018). Option Panels in Pure-Jump Settings. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-04

Grønborg, N. S., Lunde, A., Olesen, K. V. & Elst, H. V. (2018). Realizing Correlations Across Asset Classes. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-37

Casas, I., Mao, X. & Veiga, H. (2018). Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-10

Andersen, T. G., Fusari, N. & Todorov, V. (2018). Short-Term Market Risks Implied by Weekly Options. Institut for Økonomi, Århus Universitet. CREATES Research Papers Nr. 2018-08

Yang, Y. & Bauwens, L. (2018). State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering. CREATES, Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-30

Morariu-Patrichi, M. & Pakkanen, M. S. (2018). State-dependent Hawkes processes and their application to limit order book modelling. Institut for Økonomi, Århus Universitet. CREATES Research Papers Nr. 2018-26

Andersen, T. G., Fusari, N. & Todorov, V. (2018). The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-02

Andersen, T. G., Fusari, N. & Todorov, V. (2018). The Risk Premia Embedded in Index Options. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-07

He, C., Kang, J., Terasvirta, T. & Zhang, S. (2018). The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-15

Christensen, K., Oomen, R. & Renò, R. (2018). The drift burst hypothesis. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-21

Borghi, R., Hillebrand, E., Mikkelsen, J. & Urga, G. (2018). The dynamics of factor loadings in the cross-section of returns. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-38

Gørgens, T. & Würtz, A. (2018). Threshold regression with endogeneity for short panels. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-27

Andersen, T. G., Thyrsgaard, M. & Todorov, V. (2018). Time-Varying Periodicity in Intraday Volatility. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-05

Davidson, R. & Grønborg, N. S. (2018). Time-varying parameters: New test tailored to applications in finance and macroeconomics. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-22

Hurn, S., Johnson, N., Silvennoinen, A. & Terasvirta, T. (2018). Transition from the Taylor rule to the zero lower bound. (s. 21). Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-31

Andersen, T. G., Fusari, N., Todorov, V. & Varneskov, R. T. (2018). Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2018-03

Barletta, A., Santucci de Magistris, P. & Violante, F. (2017). A Non-Structural Investigation of VIX Risk Neutral Density. Social Science Research Network (SSRN). https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2943964

Exterkate, P. & Knapik, O. (2017). A regime-switching stochastic volatility model for forecasting electricity prices. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-03

Cattaneo, M. D., Jansson, M. & Nagasawa, K. (2017). Bootstrap-Based Inference for Cube Root Consistent Estimators. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-18

Johansen, S. & Tabor, M. N. (2017). Cointegration between trends and their estimators in state space models and CVAR models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-11

Silvennoinen, A. & Terasvirta, T. (2017). Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-28

Bennedsen, M., Lunde, A. & Pakkanen, M. (2017). Decoupling the short- and long-term behavior of stochastic volatility. Institut for Økonomi, Århus Universitet. CREATES Research Papers Nr. 2017-26

Monache, D. D., Grassi, S. & Santucci de Magistris, P. (2017). Does the ARFIMA really shift? Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-16

Rombouts, J. V. K., Stentoft, L. & Violante, F. (2017). Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-10

Aslanidis, N. & Christiansen, C. (2017). Flight to Safety from European Stock Markets. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-38

Holt, M. T. & Terasvirta, T. (2017). Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers Nr. 2017-05

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Revideret 14.01.2021 -

Solveig Nygaard Sørensen