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Department of Economics and Business Economics

CREATES

CREATES Research Papers

Demetrescu, M. & Kruse-Becher, R. (2021). Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2021-07

Catania, L., Luati, A. & Vallarino, P. (2021). Economic vulnerability is state dependent. http://ssrn.com/abstract=3821668

Gonzalez-Rivera, G., Rodríguez-Caballero, C. V. & Ortega, E. R. (2021). Expecting the unexpected: economic growth under stress. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2021-06

Grassi, S. & Violante, F. (2021). Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2021-05

Iacone, F., Nielsen, M. Ø. & Taylor, R. (2021). Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2021-04

Christensen, K., Siggaard, M. V. & Veliyev, B. (2021). A machine learning approach to volatility forecasting. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2021-03

Borup, D., Rapach, D. E. & Montes Schütte, E. C. (2021). Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2021-02

Andreasen, M. M. (2021). The New Keynesian Model and Bond Yields. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2021-01

Hillebrand, E., Mikkelsen, J., Spreng, L. & Urga, G. (2020). Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2020-19

Bennedsen, M., Hillebrand, E. & Koopman, S. J. (2020). A statistical model of the global carbon budget. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2020-18

Álvarez, J-A., Kallestrup-Lamb, M. & Kjærgaard, S. (2020). Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2020-17

Vera-Valdés, J. E. (2020). Temperature Anomalies, Long Memory, and Aggregation. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2020-16

Rodríguez-Caballero, C. V. & Vera-Valdés, J. E. (2020). Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll? Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2020-15

Christiansen, C., Xing, R. & Xu, Y. (2020). Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2020-14

Roelsgaard, S. T. & Taylor, L. N. (2020). A Semiparametric Machine Learning Estimator for Sample Selection Models.

Nielsen, M. Ø. & L. Noël, A. (2020). To infinity and beyond: Efficient computation of ARCH(∞) models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2020-13

Bolko, A. E., Christensen, K., Pakkanen, M. & Veliyev, B. (2020). Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2020-12

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

Mühlbach, N. N. (2020). Tree-based Synthetic Control Methods: Consequences of moving the US Embassy. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2020-04

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

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

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

Chernozhukov, V., Härdle, W. K., Huang, C. & Wang, W. (2019). LASSO-Driven Inference in Time and Space. arXiv.org. https://arxiv.org/pdf/1806.05081.pdf

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

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Revised 14.01.2021 -

Solveig Nygaard Sørensen