IDEAS home Printed from https://ideas.repec.org/d/g/creaudk.html

Publications

by alumni of

Aarhus Universitet → Institut for Økonomi → Center for Research in Econometric Analysis of Time Series (CREATES)

Aarhus University → Department of Economics and Business Economics

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters |

Working papers

2026

  1. Bellocca, Gian Pietro Enzo & Garrón Vedia, Ignacio & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2026, "The empirical distribution of sequential LS factors in Multi-level Dynamic Factor Models," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 49336, Feb.
  2. Yukai Yang & Rickard Sandberg, 2026, "Subsample-Based Estimation under Dynamic Contamination," Papers, arXiv.org, number 2604.17676, Apr, revised May 2026.

2025

  1. Bellocca, Gian Pietro Enzo & Garrón Vedia, Ignacio & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2025, "FARS: Factor Augmented Regression Scenarios in R," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 48180, Oct.
  2. Yukai Yang, 2025, "Design-Based Inference under Random Potential Outcomes," Papers, arXiv.org, number 2505.01324, May, revised Jun 2026.

2024

  1. C. Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2024, "Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity," Papers, arXiv.org, number 2406.14145, Jun.
  2. Fausto Hern'andez Trillo & C. Vladimir Rodr'iguez-Caballero & Daniel Ventosa-Santaul`aria, 2024, "Monopoly Unveiled: Telecom Breakups in the US and Mexico," Papers, arXiv.org, number 2407.09695, Jul.
  3. Garrón Vedia, Ignacio & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2024, "International vulnerability of inflation," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 44814, Nov.

2023

  1. González-Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2023, "Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 37968, Jul.
  2. Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2023, "Expecting the unexpected: Stressed scenarios for economic growth," Working Papers, University of California at Riverside, Department of Economics, number 202314, Nov.

2022

  1. Ar'anzazu de Juan & Pilar Poncela & Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2022, "Economic activity and climate change," Papers, arXiv.org, number 2206.03187, Jun, revised Jun 2022.

2021

  1. Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega, 2021, "Expecting the unexpected: economic growth under stress," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-06, Mar.

2020

  1. Carlos Vladimir Rodríguez-Caballero & J. Eduardo Vera-Valdés, 2020, "Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2020-15, Dec.
  2. Prados de la Escosura, Leandro & Rodriguez-Caballero, Carlos Vladimir, 2020, "Growth, War, and Pandemics: Europe in the Very Long-run," CEPR Discussion Papers, Centre for Economic Policy Research, number 14816, May.

2019

  1. Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019, "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-23, Dec.
  2. Sebastian Ankargren & M{aa}ns Unosson & Yukai Yang, 2019, "A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior," Papers, arXiv.org, number 1911.09151, Nov.

2018

  1. Carlos Vladimir Rodríguez-Caballero & Massimiliano Caporin, 2018, "A multilevel factor approach for the analysis of CDS commonality and risk contribution," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-33, Dec.
  2. Yukai Yang & Luc Bauwens, 2018, "State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-30, Nov.
  3. Sebastian Ankargren & Måns Unosson & Yukai Yang, 2018, "A mixed-frequency Bayesian vector autoregression with a steady-state prior," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-32, Dec.

2017

  1. Ergemen, Yunus Emre & Rodríguez Caballero, Carlos Vladimir, 2017, "Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 24614, May.
  2. Andrés González & Timo Teräsvirta & Dick van Dijk & Yukai Yang, 2017, "Panel Smooth Transition Regression Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-36, Oct.

2016

  1. Yunus Emre Ergemen & Carlos Vladimir Rodríguez-Caballero, 2016, "A Dynamic Multi-Level Factor Model with Long-Range Dependence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-23, Aug.
  2. Carlos Vladimir Rodríguez-Caballero, 2016, "Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-31, Oct.

2015

  1. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015, "Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-10, Feb.
  2. Laurent Callot & Johannes Tang Kristensen, 2015, "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-069/III, Jun.
  3. Yunus Emre Ergemen & Niels Haldrup & Carlos Vladimir Rodríguez-Caballero, 2015, "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-58, Dec.

2014

  1. Laurent Callot & Johannes Tang Kristensen, 2014, "Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-41, Nov.
  2. Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2014, "Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-42, Nov.
  3. Laurent Callot & Niels Haldrup & Malene Kallestrup Lamb, 2014, "Deterministic and stochastic trends in the Lee-Carter mortality model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-44, Nov.
  4. Timo Teräsvirta & Yukai Yang, 2014, "Linearity and Misspecification Tests for Vector Smooth Transition Regression Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-04, Feb.
  5. Timo Teräsvirta & Yukai Yang, 2014, "Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-08, Mar.
  6. Yukai Yang, 2014, "Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-11, Apr.

2013

  1. Daniel Ventosa-Santaulària & Carlos Vladimir Rodríguez-Caballero, 2013, "Polynomial Regressions and Nonsense Inference," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-40, 11.

2012

  1. Anders Bredahl Kock & Laurent A.F. Callot, 2012, "Oracle Inequalities for High Dimensional Vector Autoregressions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-16, 04.
  2. Anders Bredahl Kock & Laurent A.F. Callot, 2012, "Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-38, Jan.

2010

  1. Martin Paldam & Laurent Callot, 2010, "Natural funnel asymmetries. A simulation analysis of the three basic tools of meta analysis," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2010-01, Jan.
  2. Laurent A.F. Callot, 2010, "A Bootstrap Cointegration Rank Test for Panels of VAR Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-75, Dec.

Journal articles

2026

  1. Garrón, Ignacio & Rodríguez-Caballero, Vladimir & Ruiz, Esther, 2026, "International factors and inflation risks," International Journal of Forecasting, Elsevier, volume 42, issue 3, pages 889-908, DOI: 10.1016/j.ijforecast.2025.12.003.

2025

  1. Fausto Hernández Trillo & Carlos Vladimir Ródriguez-Caballero & Daniel Ventosa-Santaulària, 2025, "Monopoly unveiled: Telecom breakups in the US and Mexico," Economics Bulletin, AccessEcon, volume 45, issue 4, pages 1989-1995.

2024

  1. Massimiliano Caporin & C. Vladimir Rodríguez-Caballero & Esther Ruiz, 2024, "The factor structure of exchange rates volatility: global and intermittent factors," Empirical Economics, Springer, volume 67, issue 1, pages 31-45, July, DOI: 10.1007/s00181-023-02542-3.

2023

  1. Ergemen, Yunus Emre & Rodríguez-Caballero, C. Vladimir, 2023, "Estimation of a dynamic multi-level factor model with possible long-range dependence," International Journal of Forecasting, Elsevier, volume 39, issue 1, pages 405-430, DOI: 10.1016/j.ijforecast.2021.12.004.

2022

  1. Rodríguez-Caballero, Carlos Vladimir, 2022, "Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence," Econometrics and Statistics, Elsevier, volume 23, issue C, pages 128-146, DOI: 10.1016/j.ecosta.2020.11.002.
  2. Prados de la Escosura, Leandro & Rodríguez-Caballero, C. Vladimir, 2022, "War, pandemics, and modern economic growth in Europe," Explorations in Economic History, Elsevier, volume 86, issue C, DOI: 10.1016/j.eeh.2022.101467.
  3. C. Vladimir Rodríguez-Caballero & Mauricio Villanueva-Domínguez, 2022, "Predicting cryptocurrency crash dates," Empirical Economics, Springer, volume 63, issue 6, pages 2855-2873, December, DOI: 10.1007/s00181-022-02229-1.

2021

  1. Arnoldo López-Marmolejo & Carlos Vladimir Rodríguez-Caballero & Daniel Ventosa-Santaulà ria, 2021, "Remittances at record highs in Latin America: Time to revisit the Dutch disease," Economics Bulletin, AccessEcon, volume 41, issue 3, pages 2133-2146.
  2. C. Vladimir Rodríguez-Caballero & J. Eduardo Vera-Valdés, 2021, "Air Pollution and Mobility, What Carries COVID-19?," Econometrics, MDPI, volume 9, issue 4, pages 1-17, October.

2020

  1. C. Vladimir Rodríguez-Caballero & J. Eduardo Vera-Valdés, 2020, "Long-Lasting Economic Effects of Pandemics:Evidence on Growth and Unemployment," Econometrics, MDPI, volume 8, issue 3, pages 1-16, September.
  2. Ankargren Sebastian & Unosson Måns & Yang Yukai, 2020, "A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior," Journal of Time Series Econometrics, De Gruyter, volume 12, issue 2, pages 1-41, July, DOI: 10.1515/jtse-2018-0034.

2019

  1. Rodríguez-Caballero, Carlos Vladimir & Caporin, Massimiliano, 2019, "A multilevel factor approach for the analysis of CDS commonality and risk contribution," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 63, issue C, DOI: 10.1016/j.intfin.2019.101144.

2018

  1. Yukai Yang & Luc Bauwens, 2018, "State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering," Econometrics, MDPI, volume 6, issue 4, pages 1-22, December.

2017

  1. Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2017, "Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 1, pages 140-158, January.
  2. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2017, "Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 35, issue 2, pages 250-264, April, DOI: 10.1080/07350015.2015.1052461.
  3. Rodríguez-Caballero, Carlos Vladimir & Ventosa-Santaulària, Daniel, 2017, "Energy-growth long-term relationship under structural breaks. Evidence from Canada, 17 Latin American economies and the USA," Energy Economics, Elsevier, volume 61, issue C, pages 121-134, DOI: 10.1016/j.eneco.2016.10.026.

2016

  1. Laurent Callot & Niels Haldrup & Malene Kallestrup-Lamb, 2016, "Deterministic and stochastic trends in the Lee–Carter mortality model," Applied Economics Letters, Taylor & Francis Journals, volume 23, issue 7, pages 486-493, May, DOI: 10.1080/13504851.2015.1083075.
  2. Ergemen, Yunus Emre & Haldrup, Niels & Rodríguez-Caballero, Carlos Vladimir, 2016, "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," Energy Economics, Elsevier, volume 60, issue C, pages 79-96, DOI: 10.1016/j.eneco.2016.09.008.

2015

  1. Kock, Anders Bredahl & Callot, Laurent, 2015, "Oracle inequalities for high dimensional vector autoregressions," Journal of Econometrics, Elsevier, volume 186, issue 2, pages 325-344, DOI: 10.1016/j.jeconom.2015.02.013.

2014

  1. Carlos Vladimir Rodríguez-Caballero & Oskar Knapik, 2014, "Bayesian log-periodic model for financial crashes," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, volume 87, issue 10, pages 1-14, October, DOI: 10.1140/epjb/e2014-41085-6.
  2. Carlos Vladimir Rodriguez-Caballero & Daniel Ventosa-Santaularia, 2014, "Granger Causality and Unit Roots," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, volume 3, issue 1, pages 1-7.

2013

  1. Osvaldo Espin-García & Carlos Vladimir Rodríguez-Caballero, 2013, "Metodología para un scoring de clientes sin referencias crediticias," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
  2. Daniel Ventosa-Santaulària & Carlos Vladimir Rodríguez-Caballero, 2013, "Polynomial Regressions and Nonsense Inference," Econometrics, MDPI, volume 1, issue 3, pages 1-13, November.

Chapters

2016

  1. Laurent Callot & Johannes Tang Kristensen, 2016, "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Advances in Econometrics, Emerald Group Publishing Limited, "Dynamic Factor Models", DOI: 10.1108/S0731-905320150000035011.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.