Publications - CREATES https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Bcontroller%5D=Publications&cHash=44b207b3696d642bf5ff0d324cd26b04 en-us PURE Extension typo3support@science.au.dk (Web Department) 30 <![CDATA[Estimation of continuous-time linear DSGE models from discrete-time measurements]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=659725e4-6899-47df-b458-754125c79a61&tx_pure_pure5%5BshowType%5D=pub&cHash=cf6bb37caa5868df9ee1be6fd8016305 Christensen, B. J., Neri, L., Parra-Alvarez, J. C. Research Tue, 20 Dec 2022 00:08:52 +0100 659725e4-6899-47df-b458-754125c79a61 <![CDATA[Cluster-Robust Inference: A Guide to Empirical Practice]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=c02c598e-a1a7-4f58-b2ca-cb6e28279916&tx_pure_pure5%5BshowType%5D=pub&cHash=da1e8fe884f5e31e46af6c1696b8ed36 Mackinnon, J. G., Nielsen, M. Ø. other disciplines. However, it is only recently that theoretical foundations for the use
of these methods in many empirically relevant situations have been developed. In this
paper, we use these theoretical results to provide a guide to empirical practice. We do
not attempt to present a comprehensive survey of the (very large) literature. Instead,
we bridge theory and practice by providing a thorough guide on what to do and why,
based on recently available econometric theory and simulation evidence. To practice
what we preach, we include an empirical analysis of the effects of the minimum wage
on labor supply of teenagers using individual data.
]]>
Research Sat, 01 Jan 2022 00:08:52 +0100 c02c598e-a1a7-4f58-b2ca-cb6e28279916
<![CDATA[FCVAR: An R Package for the Fractionally Cointegrated Vector Autoregressive Model]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=57167b17-f48d-4a23-b349-7a0ee6451533&tx_pure_pure5%5BshowType%5D=pub&cHash=965c1a80f16adf87efa4032d381ec5b4 Morin, L., Nielsen, M. Ø., Popiel, M. K. Research Fri, 01 Jan 2021 00:08:52 +0100 57167b17-f48d-4a23-b349-7a0ee6451533 <![CDATA[A Matlab program and user’s guide for the fractionally cointegrated VAR model]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=10c3d799-1a0b-47d3-a393-5739d4049d07&tx_pure_pure5%5BshowType%5D=pub&cHash=e07c6ff46172458dc44a47df0b00db2b Nielsen, M. Ø., Popiel, M. K. Research Mon, 01 Jan 2018 00:08:52 +0100 10c3d799-1a0b-47d3-a393-5739d4049d07 <![CDATA[Testing for the Appropriate Level of Clustering in Linear Regression Models]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=a1da5718-3a08-4fe6-b9fb-fde495107725&tx_pure_pure5%5BshowType%5D=pub&cHash=c95961684514923aaa29a562fad49f06 MacKinnon, J. G., Nielsen, M. Ø., Webb, M. D. Research Sat, 01 Jan 2022 00:08:52 +0100 a1da5718-3a08-4fe6-b9fb-fde495107725 <![CDATA[Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=0defa61b-df74-4a42-945e-bebd548127ea&tx_pure_pure5%5BshowType%5D=pub&cHash=8713a66a04fc96ece6386cc3b2d8fad1 Brien, S., Jansson, M., Nielsen, M. Ø. Research Sat, 01 Jan 2022 00:08:52 +0100 0defa61b-df74-4a42-945e-bebd548127ea <![CDATA[Reallocation of Mutual Fund Managers and Capital Raising Ability]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=974ed3d9-baea-4875-aeb8-907b740c1ba3&tx_pure_pure5%5BshowType%5D=pub&cHash=55c37c468fb1a1e8afb26ffb8cefa495 Xu, Y. Research Wed, 07 Sep 2022 00:08:52 +0200 974ed3d9-baea-4875-aeb8-907b740c1ba3 <![CDATA[Parametric Estimation of Long Memory in Factor Models]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=4b96a2a1-144c-48b9-85ba-a79afb2ce2a1&tx_pure_pure5%5BshowType%5D=pub&cHash=a737e9898e0ba021d9c5fef9992d1344 Ergemen, Y. E. Research Fri, 24 Jun 2022 00:08:52 +0200 4b96a2a1-144c-48b9-85ba-a79afb2ce2a1 <![CDATA[A Neural Network Approach to the Environmental Kuznets Curve]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=cd40cc56-8874-402f-a95d-11f55cfac259&tx_pure_pure5%5BshowType%5D=pub&cHash=442aa26bdbb2d513ada4a259170c2ef1 Bennedsen, M., Hillebrand, E., Jensen, S. M. Research Tue, 24 May 2022 00:08:52 +0200 cd40cc56-8874-402f-a95d-11f55cfac259 <![CDATA[Truncated sum-of-squares estimation of fractional time series models with generalized power law trend]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=4bb1c93e-61d1-455d-a01e-b151547f3fdb&tx_pure_pure5%5BshowType%5D=pub&cHash=2ff5ce96ef2513a946cd65b6766b6d91 Hualde, J., Nielsen, M. Ø. Research Mon, 11 Apr 2022 00:08:52 +0200 4bb1c93e-61d1-455d-a01e-b151547f3fdb <![CDATA[Betting on mean reversion in the VIX? Evidence from ETP flows]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=54c8153b-d2ea-4af4-bcbd-5cde4d2df685&tx_pure_pure5%5BshowType%5D=pub&cHash=b4a08ad499a8dcf86d5a5eb1d08c173d Nielsen, O. L., Posselt, A. M. Research Mon, 24 Jan 2022 00:08:52 +0100 54c8153b-d2ea-4af4-bcbd-5cde4d2df685 <![CDATA[The Prior Adaptive Group Lasso and the Factor Zoo]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=46ff6395-13bb-431a-8bc4-0be1440adb18&tx_pure_pure5%5BshowType%5D=pub&cHash=1ea107ecd57a1de20acb7d7370415807 Bertelsen, K. P. Research Mon, 24 Jan 2022 00:08:52 +0100 46ff6395-13bb-431a-8bc4-0be1440adb18 <![CDATA[Inference on the dimension of the nonstationary subspace in functional time series]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=1feac89b-c468-4c86-9a47-258637883c3d&tx_pure_pure5%5BshowType%5D=pub&cHash=02621902c4fde03be1791e52162d5a57 Nielsen, M. Ø., Seo, W., Seong, D. Research Mon, 24 Jan 2022 00:08:52 +0100 1feac89b-c468-4c86-9a47-258637883c3d <![CDATA[Spillovers of Senior Mutual Fund Managers’ Capital Raising Ability]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=ff660cd4-3a04-4a69-a201-6dfc33589b03&tx_pure_pure5%5BshowType%5D=pub&cHash=355601c104f7a76ace2433a2b2d1e4e0 Xu, Y. Research Thu, 20 Jan 2022 00:08:52 +0100 ff660cd4-3a04-4a69-a201-6dfc33589b03 <![CDATA[Fractional integration and cointegration]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=638ec457-d507-4779-a965-15e3af72ca82&tx_pure_pure5%5BshowType%5D=pub&cHash=c0f5221f75636ed7bcf520830a1dd084 Hualde, J., Nielsen, M. Ø. Research Mon, 10 Jan 2022 00:08:52 +0100 638ec457-d507-4779-a965-15e3af72ca82 <![CDATA[A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=c86f55af-5946-4462-a68d-a0e83b40b57c&tx_pure_pure5%5BshowType%5D=pub&cHash=7c583481e7ec4d74fb2c3da8bd08d5bf Kang, J., Jakobsen, J. S., Silvennoinen, A., Teräsvirta, T., Wade, G. Research Tue, 04 Jan 2022 00:08:52 +0100 c86f55af-5946-4462-a68d-a0e83b40b57c <![CDATA[Long and short memory in dynamic term structure models]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=bb3d4068-8edf-4208-8bd5-b89449d75cad&tx_pure_pure5%5BshowType%5D=pub&cHash=ffc09f5b30e9aa4c0c6c84d138db992c Huseynov, S. Research Mon, 20 Dec 2021 00:08:52 +0100 bb3d4068-8edf-4208-8bd5-b89449d75cad <![CDATA[Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=08405422-df42-4728-b709-9e09f86e1835&tx_pure_pure5%5BshowType%5D=pub&cHash=d34f30406ae7fa5fe52b21e5adf6f27a Hounyo, U., Lahiri, K. Research Tue, 28 Sep 2021 00:08:52 +0200 08405422-df42-4728-b709-9e09f86e1835 <![CDATA[Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=d10304ed-e2bc-4684-b18a-139c3db2a296&tx_pure_pure5%5BshowType%5D=pub&cHash=8b081ccf4d4ea1d39b7b38fc72d3507d Hall, A. D., Silvennoinen, A., Teräsvirta, T. Research Tue, 28 Sep 2021 00:08:52 +0200 d10304ed-e2bc-4684-b18a-139c3db2a296 <![CDATA[Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=2af737d1-2edc-4262-81c8-887b63002a28&tx_pure_pure5%5BshowType%5D=pub&cHash=62fbd0b1cbccaf2bcd39ccc301cc8356 Bennedsen, M., Lunde, A., Shephard, N., Veraart, A. E. D. Research Tue, 27 Jul 2021 00:08:52 +0200 2af737d1-2edc-4262-81c8-887b63002a28 <![CDATA[The incremental information in the yield curve about future interest rate risk]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=84d14b53-698b-4747-b1b6-2622c10d8b2d&tx_pure_pure5%5BshowType%5D=pub&cHash=788608899dc71cd6fbc4527da77bdd14 Christensen, B. J., Kjær, M. M., Veliyev, B. Research Thu, 01 Jul 2021 00:08:52 +0200 84d14b53-698b-4747-b1b6-2622c10d8b2d <![CDATA[Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=7cfd1765-99bc-4652-8340-520d41f1ceb1&tx_pure_pure5%5BshowType%5D=pub&cHash=a86909f81f0b896469ad946041180e71 Johansen, S., Swensen, A. R. Research Thu, 01 Jul 2021 00:08:52 +0200 7cfd1765-99bc-4652-8340-520d41f1ceb1 <![CDATA[Economic vulnerability is state dependent]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=035aee0e-ee56-4dae-94d8-d5e6d9a964cb&tx_pure_pure5%5BshowType%5D=pub&cHash=1ec61094ea4b342b7261ccfa8ec3a480 Catania, L., Luati, A., Vallarino, P. Research Tue, 15 Jun 2021 00:08:52 +0200 035aee0e-ee56-4dae-94d8-d5e6d9a964cb <![CDATA[Modelling and Estimating Large Macroeconomic Shocks During the Pandemic]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=bfe0e2be-f6cb-4158-9c8a-312cee741285&tx_pure_pure5%5BshowType%5D=pub&cHash=2a8c02ed23c6d2cd0a594c0391eef33e Corrado, L., Grassi, S., Paolillo, A. Research Tue, 15 Jun 2021 00:08:52 +0200 bfe0e2be-f6cb-4158-9c8a-312cee741285 <![CDATA[Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=6b7eb72b-f676-4ee5-b07c-c7c0b58913fa&tx_pure_pure5%5BshowType%5D=pub&cHash=dbd7ad79e4438b02450f41b26d24b4a9 Demetrescu, M., Kruse-Becher, R. Research Fri, 21 May 2021 00:08:52 +0200 6b7eb72b-f676-4ee5-b07c-c7c0b58913fa <![CDATA[Expecting the unexpected: economic growth under stress]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=751526ee-a64e-4d63-b9ee-38cb5e35d263&tx_pure_pure5%5BshowType%5D=pub&cHash=3513ed20d7ed5f186c64a2c9f3b858b5 Gonzalez-Rivera, G., Rodríguez-Caballero, C. V., Ortega, E. R. Research Mon, 15 Mar 2021 00:08:52 +0100 751526ee-a64e-4d63-b9ee-38cb5e35d263 <![CDATA[Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=40460b62-5a9f-45e9-a9d0-fc86d7294e75&tx_pure_pure5%5BshowType%5D=pub&cHash=b4c376161b4a23360b4902eb896e98ec Grassi, S., Violante, F. Research Mon, 01 Mar 2021 00:08:52 +0100 40460b62-5a9f-45e9-a9d0-fc86d7294e75 <![CDATA[Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=278737f6-e4da-4f9c-acb0-90f0e5e84ea6&tx_pure_pure5%5BshowType%5D=pub&cHash=2a72554b711d304d0c4078a6938d9e0f Iacone, F., Nielsen, M. Ø., Taylor, R. Research Wed, 17 Feb 2021 00:08:52 +0100 278737f6-e4da-4f9c-acb0-90f0e5e84ea6 <![CDATA[A machine learning approach to volatility forecasting]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=889c873d-4d03-4aa0-bc6f-0f54864a8131&tx_pure_pure5%5BshowType%5D=pub&cHash=9898561874d53bc1a2624f572ff370e0 Christensen, K., Siggaard, M. V., Veliyev, B. Research Mon, 18 Jan 2021 00:08:52 +0100 889c873d-4d03-4aa0-bc6f-0f54864a8131 <![CDATA[Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=cb4376c0-9ce3-45f8-a0f7-9727a173d0a7&tx_pure_pure5%5BshowType%5D=pub&cHash=6395ef69e7473d282c71643f159da255 Borup, D., Rapach, D. E., Montes Schütte, E. C. Research Mon, 11 Jan 2021 00:08:52 +0100 cb4376c0-9ce3-45f8-a0f7-9727a173d0a7 <![CDATA[The New Keynesian Model and Bond Yields]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=6424c0df-7d15-4d85-b537-f4b7c4a33edf&tx_pure_pure5%5BshowType%5D=pub&cHash=60627d49d031a7c35277e7dee93cf621 Andreasen, M. M. Research Sat, 09 Jan 2021 00:08:52 +0100 6424c0df-7d15-4d85-b537-f4b7c4a33edf <![CDATA[Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=ef5e0a9e-ebdd-457f-8f03-198db5b04150&tx_pure_pure5%5BshowType%5D=pub&cHash=aba2f8fc92ab07273649a0cf1be352c4 Hillebrand, E., Mikkelsen, J., Spreng, L., Urga, G. Research Wed, 01 Jan 2020 00:08:52 +0100 ef5e0a9e-ebdd-457f-8f03-198db5b04150 <![CDATA[A statistical model of the global carbon budget]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=fc7e5d58-8dbf-41eb-941a-7157cc5b1959&tx_pure_pure5%5BshowType%5D=pub&cHash=ce8bece33a4bb812268fa42718ea75e0 Bennedsen, M., Hillebrand, E., Koopman, S. J. Research Tue, 01 Dec 2020 00:08:52 +0100 fc7e5d58-8dbf-41eb-941a-7157cc5b1959 <![CDATA[Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=1f5eb43c-a2ee-4ab3-b9a9-1301bd3725e1&tx_pure_pure5%5BshowType%5D=pub&cHash=f7845d25fc59ed2c174968429c1c0881 Álvarez, J., Kallestrup-Lamb, M., Kjærgaard, S. Research Tue, 01 Dec 2020 00:08:52 +0100 1f5eb43c-a2ee-4ab3-b9a9-1301bd3725e1 <![CDATA[Temperature Anomalies, Long Memory, and Aggregation]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=39182e68-6e5d-4dcc-89d0-b8491cf4c2c2&tx_pure_pure5%5BshowType%5D=pub&cHash=6172341abca8689c978592bcb9f62a01 Vera-Valdés, J. E. Research Tue, 01 Dec 2020 00:08:52 +0100 39182e68-6e5d-4dcc-89d0-b8491cf4c2c2 <![CDATA[Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll?]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=5958ff26-958b-4efd-9a2a-240a63b79a50&tx_pure_pure5%5BshowType%5D=pub&cHash=9f8b8258f8988b2553ffd4ac79353773 Rodríguez-Caballero, C. V., Vera-Valdés, J. E. Research Tue, 01 Dec 2020 00:08:52 +0100 5958ff26-958b-4efd-9a2a-240a63b79a50 <![CDATA[Origins of Mutual Fund Skill]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=4a06c0e4-49f5-4d98-b4a2-00b011d3a688&tx_pure_pure5%5BshowType%5D=pub&cHash=09e34ded720024070524e59ff514d654 Christiansen, C., Xing, R., Xu, Y. Research Tue, 01 Dec 2020 00:08:52 +0100 4a06c0e4-49f5-4d98-b4a2-00b011d3a688 <![CDATA[To infinity and beyond]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=6cb0143a-6fac-45ba-87fa-ad7156df2f5f&tx_pure_pure5%5BshowType%5D=pub&cHash=2a07b000de52d1c1144c80eb00889956 Nielsen, M. Ø., L. Noël, A. Research Sun, 01 Nov 2020 00:08:52 +0100 6cb0143a-6fac-45ba-87fa-ad7156df2f5f <![CDATA[Roughness in spot variance?]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=5e327f89-995b-4fb1-be94-6ee1c9b857db&tx_pure_pure5%5BshowType%5D=pub&cHash=5fb27af80a1b5aa5e3ac655d99d841a0 Bolko, A. E., Christensen, K., Pakkanen, M., Veliyev, B. Research Thu, 01 Oct 2020 00:08:52 +0200 5e327f89-995b-4fb1-be94-6ee1c9b857db <![CDATA[Optimal control of investment, premium and deductible for a non-life insurance company]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=6548b5b6-0878-46ce-b046-39056c14bdd7&tx_pure_pure5%5BshowType%5D=pub&cHash=baa0ba66a2d548f3abea4b249936747d Christensen, B. J., Parra-Alvarez, J. C., Serrano, R. Research Thu, 01 Oct 2020 00:08:52 +0200 6548b5b6-0878-46ce-b046-39056c14bdd7 <![CDATA[Optimal Asset Allocation for Commodity Sovereign Wealth Funds]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=4ba9478b-86ea-440c-a1ea-6182f73b1c89&tx_pure_pure5%5BshowType%5D=pub&cHash=85c371cfa1a9f00dc3e511121d1942e2 Irarrazabal, A., Ma, L., Parra-Alvarez, J. C. Research Sat, 01 Aug 2020 00:08:52 +0200 4ba9478b-86ea-440c-a1ea-6182f73b1c89 <![CDATA[Predicting bond return predictability]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=d9ef2c39-00db-44e2-a7e0-f4f7cb93c3b9&tx_pure_pure5%5BshowType%5D=pub&cHash=edd2e3eeec9fb22636b7603bb22a1ea2 Borup, D., Eriksen, J. N., Kjær, M. M., Thyrsgaard, M. Research Wed, 01 Jul 2020 00:08:52 +0200 d9ef2c39-00db-44e2-a7e0-f4f7cb93c3b9 <![CDATA[Adaptive Inference in Heteroskedastic Fractional Time Series Models]]> https://econ.au.dk/research/researchcentres/creates?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=8257d7c1-1521-4fb0-b9c3-0bc01a3ce682&tx_pure_pure5%5BshowType%5D=pub&cHash=184bd567a5bb900c27790518652ee64f Cavaliere, G., Nielsen, M. Ø., Taylor, R. Research Sat, 01 Aug 2020 00:08:52 +0200 8257d7c1-1521-4fb0-b9c3-0bc01a3ce682