CREATES, Aarhus University

The research conducted at CREATES covers a broad range of sub-fields. One of the most active research areas is within the econometric analysis of high frequency time series data, especially volatility modeling of financial data. Other fields are theoretical time series econometrics: the analysis of non-stationary time series, forecasting and asset return predictability.

A new field is the econometrics of energy markets and the analysis of high dimensional data.

Other expanding research areas include macro finance and the specification and estimation of dynamic stochastic general equilibrium (DSGE) models.