Printed from https://ideas.repec.org/s/aah/create4.html
Content
2008
- 2008-60 Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution
by Thomas Q. Pedersen - 2008-59 Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
by Per Frederiksen & Frank S. Nielsen - 2008-58 Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
by Dennis Kristensen & Yongseok Shin - 2008-57 Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances
by Almut E. D. Veraart - 2008-56 Disagreement and Biases in Inflation Expectations
by Carlos Capistrán & Allan Timmermann - 2008-55 Forecast Combination With Entry and Exit of Experts
by Carlos Capistrán & Allan Timmermann - 2008-54 The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast
by Andrew J. Patton & Allan Timmermann - 2008-53 Maximum likelihood estimation of fractionally cointegrated systems
by Katarzyna Lasak - 2008-52 Likelihood based testing for no fractional cointegration
by Katarzyna Lasak - 2008-51 Optimal inference in dynamic models with conditional moment restrictions
by Bent Jesper Christensen & Michael Sørensen - 2008-50 Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
by Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor - 2008-49 Glossary to ARCH (GARCH)
by Tim Bollerslev - 2008-48 Expected Stock Returns and Variance Risk Premia
by Tim Bollerslev & Tzuo Hao & George Tauchen - 2008-47 Mean Reversion in US and International Short Rates
by Charlotte Christiansen - 2008-46 Semiparametric Inference in a GARCH-in-Mean Model
by Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias - 2008-45 The limiting behavior of the estimated parameters in a misspecified random field regression model
by Christian M. Dahl & Yu Qin - 2008-44 The cyclical component factor model
by Christian M. Dahl & Henrik Hansen & John Smidt - 2008-43 Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model
by Martin Møller Andreasen - 2008-42 Measuring downside risk — realised semivariance
by Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard - 2008-41 American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution
by Lars Stentoft - 2008-40 Consumption growth and time-varying expected stock returns
by Stig Vinther Møller - 2008-39 Modelling and Forecasting Multivariate Realized Volatility
by Roxana Chiriac & Valeri Voev - 2008-38 The limiting properties of the QMLE in a general class of asymmetric volatility models
by Christian M. Dahl & Emma M. Iglesias - 2008-37 Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data
by Dennis Kristensen - 2008-36 A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic
by Morten Ørregaard Nielsen - 2008-35 Bias-reduced estimation of long memory stochastic volatility
by Per Frederiksen & Morten Ørregaard Nielsen - 2008-34 New tests for jumps: a threshold-based approach
by Mark Podolskij & Daniel Ziggel - 2008-33 Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter
by Martin Møller Andreasen - 2008-32 How to Maximize the Likelihood Function for a DSGE Model
by Martin Møller Andreasen - 2008-31 Estimating High-Frequency Based (Co-) Variances: A Unified Approach
by Ingmar Nolte & Valeri Voev - 2008-30 Parameter estimation in nonlinear AR-GARCH models
by Mika Meitz & Pentti Saikkonen - 2008-29 Local polynomial Whittle estimation of perturbed fractional processes
by Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen - 2008-28 Local polynomial Whittle estimation covering non-stationary fractional processes
by Frank S. Nielsen - 2008-27 Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
by Tom Engsted & Thomas Q. Pedersen - 2008-26 Ensuring the Validity of the Micro Foundation in DSGE Models
by Martin Møller Andreasen - 2008-25 Bipower-type estimation in a noisy diffusion setting
by Mark Podolskij & Mathias Vetter - 2008-24 Small Bandwidth Asymptotics for Density-Weighted Average Derivatives
by Matias D. Cattaneo & Richard K. Crump & Michael Jansson - 2008-23 An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models
by Silja Kinnebrock & Mark Podolskij - 2008-22 A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models
by Mark Podolskij & Daniel Ziggel - 2008-21 Bipower variation for Gaussian processes with stationary increments
by Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij & Jeannette H.C. Woerner - 2008-19 Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form
by Anne Péguin-Feissolle & Birgit Strikholm & Timo Teräsvirta - 2008-18 Parametric inference for discretely sampled stochastic differential equations
by Michael Sørensen - 2008-17 Inference for the jump part of quadratic variation of Itô semimartingales
by Almut Veraart - 2008-16 FIEGARCH-M and and International Crises: A Cross-Country Analysis
by Jie Zhu - 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 - 2008-14 Pricing Volatility of Stock Returns with Volatile and Persistent Components
by Jie Zhu - 2008-13 Option Pricing using Realized Volatility
by Lars Stentoft - 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 - 2008-11 Option Valuation with Long-run and Short-run Volatility Components
by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang - 2008-10 Volatility Components, Affine Restrictions and Non-Normal Innovations
by Peter Christoffersen & Kris Dorion & Yintian Wang - 2008-09 An analysis of the indicator saturation estimator as a robust regression estimator
by Søren Johansen & Bent Nielsen - 2008-08 Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
by Christina Amado & Timo Teräsvirta - 2008-07 Parameterizing unconditional skewness in models for financial time series
by Changli He & Annastiina Silvennoinen & Timo Teräsvirta - 2008-06 Multivariate GARCH models
by Annastiina Silvennoinen & Timo Teräsvirta - 2008-05 Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
by Annastiina Silvennoinen & Timo Teräsvirta - 2008-04 Explaining output volatility: The case of taxation
by Olaf Posch - 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 - 2008-02 Reduced-Rank Regression: A Useful Determinant Identity
by Peter Reinhard Hansen - 2008-01 Short-run Exchange-Rate Dynamics: Theory and Evidence
by John A Carlson & Christian M. Dahl & Carol L. Osler - 2007-46 Efficient estimation for ergodic diffusions sampled at high frequency
by Michael Sørensen
2007
- 2007-45 Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes
by James Davidson & Nigar Hashimzade - 2007-44 Long memory modelling of inflation with stochastic variance and structural breaks
by Charles S. Bos & Siem Jan Koopman & Marius Ooms - 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 - 2007-42 Power variation for Gaussian processes with stationary increments
by Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij - 2007-41 Exact rational expectations, cointegration, and reduced rank regression
by Søren Johansen & Anders Rygh Swensen - 2007-40 Trygve Haavelmo’s visit in Aarhus 1938-39
by Olav Bjerkholt - 2007-39 Forward-Looking Betas
by Peter Christoffersen & Kris Jacobs & Gregory Vainberg - 2007-38 Likelihood-Based Inference in Nonlinear Error-Correction Models
by Dennis Kristensen & Anders Rahbek - 2007-37 Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices
by Peter Christoffersen & Kris Jacobs & Karim Mimouni - 2007-36 Selecting a Regression Saturated by Indicators
by Søren Johansen & David F. Hendry & Carlos Santos - 2007-35 Correlation, regression, and cointegration of nonstationary economic time series
by Søren Johansen - 2007-34 Extreme Coexceedances in New EU Member States’ Stock Markets
by Charlotte Christiansen & Angelo Ranaldo - 2007-33 Likelihood inference for a nonstationary fractional autoregressive model
by Søren Johansen & Morten Ørregaard Nielsen - 2007-32 Some identification problems in the cointegrated vector autoregressive model
by Søren Johansen - 2007-31 Habit Formation, Surplus Consumption and Return Predictability: International Evidence
by Tom Engsted & Stuart Hyde & Stig V. Møller - 2007-30 Market Power in Power Markets: Evidence from Forward Prices of Electricity
by Bent Jesper Christensen & Thomas Elgaard Jensen & Rune Mølgaard - 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 - 2007-28 The Pearson diffusions: A class of statistically tractable diffusion processes
by Michael Sørensen & Julie Lyng Forman - 2007-27 Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps
by Mark Podolskij & Mathias Vetter - 2007-26 A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models
by Mark Podolskij & Daniel Ziggel - 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 - 2007-24 Construction and Interpretation of Model-Free Implied Volatility
by Torben G. Andersen & Oleg Bondarenko - 2007-23 Structural estimation of jump-diffusion processes in macroeconomics
by Olaf Posch - 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 - 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 - 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 - 2007-19 Risk, Jumps, and Diversification
by Tim Bollerslev & Tzuo Hann Law & George Tauchen - 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 - 2007-17 Expected Stock Returns and Variance Risk Premia
by Tim Bollerslev & Hao Zhou - 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 - 2007-15 Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks
by Viktor Todorov & Tim Bollerslev - 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 - 2007-13 Local Linear Density Estimation for Filtered Survival Data, with Bias Correction
by Jens Perch Nielsen & Carsten Tanggaard & M.C. Jones - 2007-12 Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
by Michael Jansson - 2007-11 Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors
by Mathias D. Cattaneo & Richard K. Crump & Michael Jansson - 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 - 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 - 2007-08 Are Economists More Likely to Hold Stocks?
by Charlotte Christiansen & Juanna Schröter Joensen & Jesper Rangvid - 2007-07 Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns
by Stig V. Møller - 2007-06 Decomposing European Bond and Equity Volatility
by Charlotte Christiansen - 2007-05 Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates
by Charlotte Christiansen - 2007-04 Paying for Market Quality
by Amber Anand & Carsten Tanggaard & Daniel G. Weaver - 2007-03 The Effect of Long Memory in Volatility on Stock Market Fluctuations
by Bent Jesper Christensen & Morten Ørregaard Nielsen - 2007-02 Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach
by Dennis Kristensen - 2007-01 Nonparametric Estimation and Misspecification Testing of Diffusion Models
by Dennis Kristensen
Undated
- 2010-28 Forecasting autoregressive time series under changing persistenceCreation-Date: 20100701
by Robinson Kruse - 2010-14 An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses
by Bent Jesper Christensen & Michel van der Wel - 2010-13 Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility
by Peter Reinhard Hansen & Zhuo (Albert) Huang & Howard Howan Shek - 2010-12 The SR Approach: a new Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models
by Martin M. Andreasen & Bent Jesper Christensen - 2010-11 Affine Bond Pricing with a Mixture Distribution for Interest Rate Time-Series DynamicsCreation-Date: 20100225
by Torben B. Rasmussen - 2008-20 Headlights on tobacco road to low birthweight outcomes - Evidence from a battery of quantile regression estimators and a heterogeneous panelCreation-Date: 20080508
by Stefan Holst Bache & Christian M. Dahl & Johannes Tang