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Department of Economics and Business Economics

CREATES

CREATES Research Papers

Christensen, B. J., Parra-Alvarez, J. C. & Serrano, R. (2020). Optimal control of investment, premium and deductible for a non-life insurance company. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2020-11

Irarrazabal, A., Ma, L. & Parra-Alvarez, J. C. (2020). Optimal Asset Allocation for Commodity Sovereign Wealth Funds. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2020-10

Borup, D., Eriksen, J. N., Kjær, M. M. & Thyrsgaard, M. (2020). Predicting bond return predictability. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2020-09

Cavaliere, G., Nielsen, M. Ø. & Taylor, R. (2020). Adaptive Inference in Heteroskedastic Fractional Time Series Models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2020-08

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, No. 2020-07

MacKinnon, J. G., Nielsen, M. Ø. & Webb, M. D. (2020). Wild Bootstrap and Asymptotic Inference with Multiway Clustering. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2020-06

Parra-Alvarez, J. C., Posch, O. & Wang, M-C. (2020). Estimation of heterogeneous agent models: A likelihood approach. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2020-05

Borup, D., Christensen, B. J., Mühlbach, N. N. & Nielsen, M. S. (2020). Targeting predictors in random forest regression. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2020-03

Parra-Alvarez, J. C., Polattimur, H. & Posch, O. (2020). Risk Matters: Breaking Certainty Equivalence. CREATES, Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2020-02

Bennedsen, M. (2020). Designing a sequential testing procedure for verifying global CO2 emissions. Institut for Økonomi, Århus Universitet. CREATES Research Papers, No. 2020-01

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, No. 2019-23

Balter, A. G., Kallestrup-Lamb, M. & Rangvid, J. (2019). The move towards riskier pensions: The importance of mortality. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-22

Bennedsen, M., Hillebrand, E. & Koopman, S. J. (2019). Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors. CREATES Research Papers, No. 2019-21

Kallestrup-Lamb, M., Kjærgaard, S. & Rosenskjold, C. P. T. (2019). Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-20

He, C., Kang, J., Teräsvirta, T. & Zhang, S. (2019). Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (pp. 1-34). Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-19

He, C., Kang, J., Teräsvirta, T. & Zhang, S. (2019). Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (pp. 1-77). Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-18

Seong, D., Cho, J. S. & Teräsvirta, T. (2019). Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model. (pp. 1-44). Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-17

Bertelsen, K. P. (2019). Comparing Tests for Identification of Bubbles. (pp. 1-74). Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-16

Berenguer-Rico, V., Johansen, S. & Nielsen, B. (2019). Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019/15

Christensen, K., Christiansen, C. & Posselt, A. M. (2019). The Economic Value of VIX ETPs. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, Vol.. 2019-14

Borup, D. & Montes Schütte, E. C. (2019). In search of a job: Forecasting employment growth using Google Trends. (pp. 1). CREATES Research Papers, No. 2019-13

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, No. 2019-12

Andreasen, M. M. (2019). Explaining Bond Return Predictability in an Estimated New Keynesian Model. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-11

Andreasen, M. M., Jørgensen, K. & Meldrum, A. (2019). Bond Risk Premiums at the Zero Lower Bound. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-10

Bhattacharya, D., Dupas, P. & Kanaya, S. (2019). Demand and Welfare Analysis in Discrete Choice Models with Social Interactions. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-09

Kjærgaard, S., Ergemen, Y. E., Boucher, M-P. B., Oeppen, J. & Kallestrup-Lamb, M. (2019). Longevity forecasting by socio-economic groups using compositional data analysis. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-08

Kjærgaard, S., Ergemen, Y. E., Kallestrup-Lamb, M., Oeppen, J. & Lindahl-Jacobsen, R. (2019). Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-07

Berenguer-Rico, V., Johansen, S. & Nielsen, B. (2019). The analysis of marked and weighted empirical processes of estimated residuals. CREATES Research Papers, No. 2019-06

Djogbenou, A. A., James G. MacKinnon, J. G. & Nielsen, M. Ø. (2019). Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-05

Borup, D., Christensen, B. J. & Ergemen, Y. E. (2019). Assessing predictive accuracy in panel data models with long-range dependence. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-04

Andreasen, M. M. & Dang, M. K-D. (2019). Estimating the Price Markup in the New Keynesian Model. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-03

Carlini, F. & Santucci de Magistris, P. (2019). Resuscitating the co-fractional model of Granger (1986). Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-02

Gatto, A. & Busato, F. (2019). Defining, measuring and ranking energy vulnerability. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2019-01

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, No. 2018-38

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, No. 2018-37

Christiansen, C., Grønborg, N. S. & Nielsen, O. L. (2018). Mutual Fund Selection for Realistically Short Samples. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2018-36

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, No. 2018-35

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, No. 2018-34

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, No. 2018-33

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, No. 2018-32

Hurn, S., Johnson, N., Silvennoinen, A. & Terasvirta, T. (2018). Transition from the Taylor rule to the zero lower bound. (pp. 21). Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2018-31

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, No. 2018-30

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, No. 2018-29

Podolskij, M., Veliyev, B. & Yoshida, N. (2018). Edgeworth expansion for Euler approximation of continuous diffusion processes. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2018-28

Gørgens, T. & Würtz, A. (2018). Threshold regression with endogeneity for short panels. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2018-27

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Solveig Nygaard Sørensen

Revised 16.10.2020