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School of Economics and Management, University of Aarhus

CREATES Research Papers

Contact information of School of Economics and Management, University of Aarhus:
Web page: http://www.econ.au.dk/afn/

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2008

2008-62 Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility
by Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor [Downloadable!]
2008-61 Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution
by Jean Jacod & Mark Podolskij & Mathias Vetter [Downloadable!]
2008-60 Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution
by Thomas Q. Pedersen [Downloadable!]
2008-59 Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
by Per Frederiksen & Frank S. Nielsen [Downloadable!]
2008-58 Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
by Dennis Kristensen & Yongseok Shin [Downloadable!]
2008-57 Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances
by Almut E. D. Veraart [Downloadable!]
2008-56 Disagreement and Biases in Inflation Expectations
by Carlos Capistrán & Allan Timmermann [Downloadable!]
2008-55 Forecast Combination With Entry and Exit of Experts
by Carlos Capistrán & Allan Timmermann [Downloadable!]
2008-54 The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast
by Andrew J. Patton & Allan Timmermann [Downloadable!]
2008-53 Maximum likelihood estimation of fractionally cointegrated systems
by Katarzyna Lasak [Downloadable!]
2008-52 Likelihood based testing for no fractional cointegration
by Katarzyna Lasak [Downloadable!]
2008-51 Optimal inference in dynamic models with conditional moment restrictions
by Bent Jesper Christensen & Michael Sørensen [Downloadable!]
2008-50 Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
by Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor [Downloadable!]
2008-49 Glossary to ARCH (GARCH)
by Tim Bollerslev [Downloadable!]
2008-48 Expected Stock Returns and Variance Risk Premia
by Tim Bollerslev & Tzuo Hao & George Tauchen [Downloadable!]
2008-47 Mean Reversion in US and International Short Rates
by Charlotte Christiansen [Downloadable!]
2008-46 Semiparametric Inference in a GARCH-in-Mean Model
by Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias [Downloadable!]
2008-45 The limiting behavior of the estimated parameters in a misspecified random field regression model
by Christian M. Dahl & Yu Qin [Downloadable!]
2008-44 The cyclical component factor model
by Christian M. Dahl & Henrik Hansen & John Smidt [Downloadable!]
2008-43 Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model
by Martin Møller Andreasen [Downloadable!]
2008-42 Measuring downside risk — realised semivariance
by Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard [Downloadable!]
2008-41 American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution
by Lars Stentoft [Downloadable!]
2008-40 Consumption growth and time-varying expected stock returns
by Stig Vinther Møller [Downloadable!]
2008-39 Modelling and Forecasting Multivariate Realized Volatility
by Roxana Chiriac & Valeri Voev [Downloadable!]
2008-38 The limiting properties of the QMLE in a general class of asymmetric volatility models
by Christian M. Dahl & Emma M. Iglesias [Downloadable!]
2008-37 Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data
by Dennis Kristensen [Downloadable!]
2008-36 A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic
by Morten Ørregaard Nielsen [Downloadable!]
2008-35 Bias-reduced estimation of long memory stochastic volatility
by Per Frederiksen & Morten Ørregaard Nielsen [Downloadable!]
2008-34 New tests for jumps: a threshold-based approach
by Mark Podolskij & Daniel Ziggel [Downloadable!]
2008-33 Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter
by Martin Møller Andreasen [Downloadable!]
2008-32 How to Maximize the Likelihood Function for a DSGE Model
by Martin Møller Andreasen [Downloadable!]
2008-31 Estimating High-Frequency Based (Co-) Variances: A Unified Approach
by Ingmar Nolte & Valeri Voev [Downloadable!]
2008-30 Parameter estimation in nonlinear AR-GARCH models
by Mika Meitz & Pentti Saikkonen [Downloadable!]
2008-29 Local polynomial Whittle estimation of perturbed fractional processes
by Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen [Downloadable!]
2008-28 Local polynomial Whittle estimation covering non-stationary fractional processes
by Frank S. Nielsen [Downloadable!]
2008-27 Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
by Tom Engsted & Thomas Q. Pedersen [Downloadable!]
2008-26 Ensuring the Validity of the Micro Foundation in DSGE Models
by Martin Møller Andreasen [Downloadable!]
2008-25 Bipower-type estimation in a noisy diffusion setting
by Mark Podolskij & Mathias Vetter [Downloadable!]
2008-24 Small Bandwidth Asymptotics for Density-Weighted Average Derivatives
by Matias D. Cattaneo & Richard K. Crump & Michael Jansson [Downloadable!]
2008-23 An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models
by Silja Kinnebrock & Mark Podolskij [Downloadable!]
2008-22 A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models
by Mark Podolskij & Daniel Ziggel [Downloadable!]
2008-21 Bipower variation for Gaussian processes with stationary increments
by Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij & Jeannette H.C. Woerner [Downloadable!]
2008-20 Determinants of Birthweight Outcomes: Quantile Regressions Based on Panel Data
by Stefan Holst Bache & Christian M. Dahl & Johannes Tang [Downloadable!]
2008-19 Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form
by Anne Péguin-Feissolle & Birgit Strikholm & Timo Teräsvirta [Downloadable!]
2008-18 Parametric inference for discretely sampled stochastic differential equations
by Michael Sørensen [Downloadable!]
2008-17 Inference for the jump part of quadratic variation of Itô semimartingales
by Almut Veraart [Downloadable!]
2008-16 FIEGARCH-M and and International Crises: A Cross-Country Analysis
by Jie Zhu [Downloadable!]
2008-15 Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach
by Jie Zhu [Downloadable!]
2008-14 Pricing Volatility of Stock Returns with Volatile and Persistent Components
by Jie Zhu [Downloadable!]
2008-13 Option Pricing using Realized Volatility
by Lars Stentoft [Downloadable!]
2008-12 An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns
by Tom Engsted & Stig V. Møller [Downloadable!]
2008-11 Option Valuation with Long-run and Short-run Volatility Components
by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang [Downloadable!]
2008-10 Volatility Components, Affine Restrictions and Non-Normal Innovations
by Peter Christoffersen & Kris Dorion & Yintian Wang [Downloadable!]
2008-09 An analysis of the indicator saturation estimator as a robust regression estimator
by Søren Johansen & Bent Nielsen [Downloadable!]
2008-08 Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
by Christina Amado & Timo Teräsvirta [Downloadable!]
2008-07 Parameterizing unconditional skewness in models for financial time series
by Changli He & Annastiina Silvennoinen & Timo Teräsvirta [Downloadable!]
2008-06 Multivariate GARCH models
by Annastiina Silvennoinen & Timo Teräsvirta [Downloadable!]
2008-05 Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
by Annastiina Silvennoinen & Timo Teräsvirta [Downloadable!]
2008-04 Explaining output volatility: The case of taxation
by Olaf Posch [Downloadable!]
2008-03 Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate
by Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg [Downloadable!]
2008-02 Reduced-Rank Regression: A Useful Determinant Identity
by Peter Reinhard Hansen [Downloadable!]
2008-01 Short-run Exchange-Rate Dynamics: Theory and Evidence
by John A Carlson & Christian M. Dahl & Carol L. Osler [Downloadable!]
2007-46 Efficient estimation for ergodic diffusions sampled at high frequency
by Michael Sørensen [Downloadable!]

2007

2007-45 Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes
by James Davidson & Nigar Hashimzade [Downloadable!]
2007-44 Long memory modelling of inflation with stochastic variance and structural breaks
by Charles S. Bos & Siem Jan Koopman & Marius Ooms [Downloadable!]
2007-43 Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9
by Jean Jacod & Yingying Li & Per A. Mykland & Mark Podolskij & Mathias Vetter [Downloadable!]
2007-42 Power variation for Gaussian processes with stationary increments
by Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij [Downloadable!]
2007-41 Exact rational expectations, cointegration, and reduced rank regression
by Søren Johansen & Anders Rygh Swensen [Downloadable!]
2007-40 Trygve Haavelmo’s visit in Aarhus 1938-39
by Olav Bjerkholt [Downloadable!]
2007-39 Forward-Looking Betas
by Peter Christoffersen & Kris Jacobs & Gregory Vainberg [Downloadable!]
2007-38 Likelihood-Based Inference in Nonlinear Error-Correction Models
by Dennis Kristensen & Anders Rahbek [Downloadable!]
2007-37 Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices
by Peter Christoffersen & Kris Jacobs & Karim Mimouni [Downloadable!]
2007-36 Selecting a Regression Saturated by Indicators
by Søren Johansen & David F. Hendry & Carlos Santos [Downloadable!]
2007-35 Correlation, regression, and cointegration of nonstationary economic time series
by Søren Johansen [Downloadable!]
2007-34 Extreme Coexceedances in New EU Member States’ Stock Markets
by Charlotte Christiansen & Angelo Ranaldo [Downloadable!]
2007-33 Likelihood inference for a nonstationary fractional autoregressive model
by Søren Johansen & Morten Ørregaard Nielsen [Downloadable!]
2007-32 Some identification problems in the cointegrated vector autoregressive model
by Søren Johansen [Downloadable!]
2007-31 Habit Formation, Surplus Consumption and Return Predictability: International Evidence
by Tom Engsted & Stuart Hyde & Stig V. Møller [Downloadable!]
2007-30 Market Power in Power Markets: Evidence from Forward Prices of Electricity
by Bent Jesper Christensen & Thomas Elgaard Jensen & Rune Mølgaard [Downloadable!]
2007-29 A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching
by Niels Haldrup & Frank S. Nielsen & Morten Ørregaard Nielsen [Downloadable!]
2007-28 The Pearson diffusions: A class of statistically tractable diffusion processes
by Michael Sørensen & Julie Lyng Forman [Downloadable!]
2007-27 Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps
by Mark Podolskij & Mathias Vetter [Downloadable!]
2007-26 A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models
by Mark Podolskij & Daniel Ziggel [Downloadable!]
2007-25 Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
by Torben G. Andersen & Luca Benzoni [Downloadable!]
2007-24 Construction and Interpretation of Model-Free Implied Volatility
by Torben G. Andersen & Oleg Bondarenko [Downloadable!]
2007-23 Structural estimation of jump-diffusion processes in macroeconomics
by Olaf Posch [Downloadable!]
2007-22 A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
by Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen [Downloadable!]
2007-21 Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
by Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen [Downloadable!]
2007-20 Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega [Downloadable!]
2007-19 Risk, Jumps, and Diversification
by Tim Bollerslev & Tzuo Hann Law & George Tauchen [Downloadable!]
2007-18 Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold [Downloadable!]
2007-17 Expected Stock Returns and Variance Risk Premia
by Tim Bollerslev & Hao Zhou [Downloadable!]
2007-16 Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
by Tim Bollerslev & Michael Gibson & Hao Zhou [Downloadable!]
2007-15 Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks
by Viktor Todorov & Tim Bollerslev [Downloadable!]
2007-14 A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures
by Torben G. Andersen & Tim Bollerslev & Xin Huang [Downloadable!]
2007-13 Local Linear Density Estimation for Filtered Survival Data, with Bias Correction
by Jens Perch Nielsen & Carsten Tanggaard & M.C. Jones [Downloadable!]
2007-12 Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
by Michael Jansson [Downloadable!]
2007-11 Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors
by Mathias D. Cattaneo & Richard K. Crump & Michael Jansson [Downloadable!]
2007-10 Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model
by Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu [Downloadable!]
2007-09 The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
by Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen [Downloadable!]
2007-08 Are Economists More Likely to Hold Stocks?
by Charlotte Christiansen & Juanna Schröter Joensen & Jesper Rangvid [Downloadable!]
2007-07 Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns
by Stig V. Møller [Downloadable!]
2007-06 Decomposing European Bond and Equity Volatility
by Charlotte Christiansen [Downloadable!]
2007-05 Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates
by Charlotte Christiansen [Downloadable!]
2007-04 Paying for Market Quality
by Amber Anand & Carsten Tanggaard & Daniel G. Weaver [Downloadable!]
2007-03 The Effect of Long Memory in Volatility on Stock Market Fluctuations
by Bent Jesper Christensen & Morten Ørregaard Nielsen [Downloadable!]
2007-02 Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach
by Dennis Kristensen [Downloadable!]
2007-01 Nonparametric Estimation and Misspecification Testing of Diffusion Models
by Dennis Kristensen [Downloadable!]

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This page was last updated on 2008-12-2.

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