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Department of Economics and Business Economics, Aarhus University

CREATES Research Papers

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Web page: http://www.econ.au.dk/afn/

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2022

2022-12 Estimation of continuous-time linear DSGE models from discrete-time measurements
by Bent Jesper Christensen & Luca Neri & Juan Carlos Parra-Alvarez
2022-11 Reallocation of Mutual Fund Managers and Capital Raising Ability
by Yue Xu
2022-10 Parametric Estimation of Long Memory in Factor Models
by Yunus Emre Ergemen
2022-09 A Neural Network Approach to the Environmental Kuznets Curve
by Mikkel Bennedsen & Eric Hillebrand & Sebastian Jensen
2022-08 Cluster-Robust Inference: A Guide to Empirical Practice
by James MacKinnon & Morten Ørregaard Nielsen
2022-07 Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
by Javier Hualde & Morten Ørregaard Nielsen
2022-06 Betting on mean reversion in the VIX? Evidence from ETP flows
by Ole Linnemann Nielsen & Anders Merrild Posselt
2022-05 The Prior Adaptive Group Lasso and the Factor Zoo
by Kristoffer Pons Bertelsen
2022-04 Inference on the dimension of the nonstationary subspace in functional time series
by Morten Ørregaard Nielsen & Wonk-ki Seo & Dakyung Seong
2022-02 Fractional integration and cointegration
by Javier Haulde & Morten Ørregaard Nielsen
2022-01 A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
by Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade

2021

2022-03 Spillovers of Senior Mutual Fund Managers’ Capital Raising Ability
by Yue Xu
2021-15 Long and short memory in dynamic term structure models
by Salman Huseynov
2021-14 Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach
by Ulrich Hounyo & Kajal Lahiri
2021-13 Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model
by Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta
2021-12 Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics
by Mikkel Bennedsen & Asger Lunde & Neil Shephard & Almut E.D. Veraart
2021-11 The incremental information in the yield curve about future interest rate risk
by Bent Jesper Christensen & Mads Markvart Kjær & Bezirgen Veliyev
2021-10 Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
by Søren Johansen & Anders Ryghn Swensen
2021-09 Economic vulnerability is state dependent
by Leopoldo Catania & Alessandra Luati & Pierluigi Vallarino
2021-08 Modelling and Estimating Large Macroeconomic Shocks During the Pandemic
by Luisa Corrado & Stefano Grassi & Aldo Paolillo
2021-07 Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models
by Matei Demetrescu & Robinson Kruse-Becher
2021-06 Expecting the unexpected: economic growth under stress
by Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega
2021-05 Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas
by Stefano Grassi & Francesco Violante
2021-04 Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
by Fabrizio Iacone & Morten Ørregaard Nielsen & Robert Taylor
2021-03 A machine learning approach to volatility forecasting
by Kim Christensen & Mathias Siggaard & Bezirgen Veliyev
2021-02 Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data
by Daniel Borup & David E. Rapach & Erik Christian Montes Schütte
2021-01 The New Keynesian Model and Bond Yields
by Martin M. Andreasen

2020

2020-19 Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings
by Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga
2020-18 A statistical model of the global carbon budget
by Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman
2020-17 Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans
by Jesús-Adrián Álvarez & Malene Kallestrup-Lamb & Søren Kjærgaard
2020-16 Temperature Anomalies, Long Memory, and Aggregation
by J. Eduardo Vera-Valdés
2020-15 Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll?
by Carlos Vladimir Rodríguez-Caballero & J. Eduardo Vera-Valdés
2020-14 Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies
by Charlotte Christiansen & Ran Xing & Yue Xu
2020-13 To infinity and beyond: Efficient computation of ARCH(1) models
by Morten Ørregaard Nielsen & Antoine L. Noël
2020-12 Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
by Anine E. Bolko & Kim Christensen & Mikko S. Pakkanen & Bezirgen Veliyev
2020-11 Optimal control of investment, premium and deductible for a non-life insurance company
by Bent Jesper Christensen & Juan Carlos Parra-Alvarez & Rafael Serrano
2020-10 Optimal Asset Allocation for Commodity Sovereign Wealth Funds
by Alfonso A. Irarrazabal & Lin Ma & Juan Carlos Parra-Alvarez
2020-09 Predicting bond return predictability
by Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard
2020-08 Adaptive Inference in Heteroskedastic Fractional Time Series Models
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor
2020-07 Truncated sum of squares estimation of fractional time series models with deterministic trends
by Javier Hualde & Morten Ørregaard Nielsen
2020-06 Wild Bootstrap and Asymptotic Inference with Multiway Clustering
by James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb
2020-05 Estimation of heterogeneous agent models: A likelihood approach
by Juan Carlos Parra-Alvarez & Olaf Posch & Mu-Chun Wang
2020-04 Tree-based Synthetic Control Methods: Consequences of moving the US Embassy
by Nicolaj N. Mühlbach
2020-03 Targeting predictors in random forest regression
by Daniel Borup & Bent Jesper Christensen & Nicolaj N. Mühlbach & Mikkel S. Nielsen
2020-02 Risk Matters: Breaking Certainty Equivalence
by Juan Carlos Parra-Alvarez & Hamza Polattimur & Olaf Posch
2020-01 Designing a sequential testing procedure for verifying global CO2 emissions
by Mikkel Bennedsen

2019

2019-23 Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings
by Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña
2019-22 The move towards riskier pensions: The importance of mortality
by Anne G. Balter & Malene Kallestrup-Lamb & Jesper Rangvid
2019-21 Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors
by Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman
2019-20 Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups
by Malene Kallestrup-Lamb & Søren Kjærgaard & Carsten P. T. Rosenskjold
2019-19 Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
by Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang
2019-18 Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
by Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang
2019-17 Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model
by Dakyung Seong & Jin Seo Cho & Timo Teräsvirta
2019-16 Comparing Tests for Identification of Bubbles
by Kristoffer Pons Bertelsen
2019-15 Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood
by Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen
2019-14 The Economic Value of VIX ETPs
by Kim Christensen & Charlotte Christiansen & Anders M. Posselt
2019-13 In search of a job: Forecasting employment growth using Google Trends
by Daniel Borup & Erik Christian Montes Schütte
2019-12 Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals
by Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen
2019-11 Explaining Bond Return Predictability in an Estimated New Keynesian Model
by Martin M. Andreasen
2019-10 Bond Risk Premiums at the Zero Lower Bound
by Martin Møller Andreasen & Kasper Jørgensen & Andrew Meldrum
2019-09 Demand and Welfare Analysis in Discrete Choice Models with Social Interactions
by Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya
2019-08 Longevity forecasting by socio-economic groups using compositional data analysis
by Søren Kjærgaard & Yunus Emre Ergemen & Marie-Pier Bergeron Boucher & Jim Oeppen & Malene Kallestrup-Lamb
2019-07 Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths
by Søren Kjærgaard & Yunus Emre Ergemen & Malene Kallestrup-Lamb & Jim Oeppen & Rune Lindahl-Jacobsen
2019-06 The analysis of marked and weighted empirical processes of estimated residuals
by Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen
2019-05 Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors
by Antoine A. Djogbenou & James G. MacKinnon & Morten Ørregaard Nielsen
2019-04 Assessing predictive accuracy in panel data models with long-range dependence
by Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen
2019-03 Estimating the Price Markup in the New Keynesian Model
by Martin M. Andreasen & Mads Dang
2019-02 Resuscitating the co-fractional model of Granger (1986)
by Federico Carlini & Paolo Santucci de Magistris
2019-01 Defining, measuring and ranking energy vulnerability
by Andrea Gatto & Francesco Busato

2018

2018-38 The dynamics of factor loadings in the cross-section of returns
by Riccardo Borghi & Eric Hillebrand & Jakob Mikkelsen & Giovanni Urga
2018-37 Realizing Correlations Across Asset Classes
by Niels S. Grønborg & Asger Lunde & Kasper V. Olesen & Harry Vander Elst
2018-36 Mutual Fund Selection for Realistically Short Samples
by Charlotte Christiansen & Niels S. Grønborg & Ole L. Nielsen
2018-34 Fast and Wild: Bootstrap Inference in Stata Using boottest
by James G. MacKinnon & Morten Ørregaard Nielsen & David Roodman & Matthew D. Webb
2018-33 A multilevel factor approach for the analysis of CDS commonality and risk contribution
by Carlos Vladimir Rodríguez-Caballero & Massimiliano Caporin
2018-32 A mixed-frequency Bayesian vector autoregression with a steady-state prior
by Sebastian Ankargren & Måns Unosson & Yukai Yang
2018-31 Transition from the Taylor rule to the zero lower bound
by Stan Hurn & Nicholas Johnson & Annastiina Silvennoinen & Timo Teräsvirta
2018-30 State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering
by Yukai Yang & Luc Bauwens
2018-29 Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD
by Isabel Casas & Jiti Gao & Shangyu Xie
2018-28 Edgeworth expansion for Euler approximation of continuous diffusion processes
by Mark Podolskij & Bezirgen Veliyev & Nakahiro Yoshida
2018-27 Threshold regression with endogeneity for short panels
by Tue Gørgens & Allan H. Würtz
2018-26 State-dependent Hawkes processes and their application to limit order book modelling
by Maxime Morariu-Patrichi & Mikko Pakkanen
2018-25 In Search of a Job: Forecasting Employment Growth in the US using Google Trends
by Erik Christian Montes Schütte
2018-24 Disappearing money illusion
by Tom Engsted & Thomas Q. Pedersen
2018-23 Forecasters’ utility and forecast coherence
by Emilio Zanetti Chini
2018-22 Time-varying parameters: New test tailored to applications in finance and macroeconomics
by Russell Davidson & Niels S. Grønborg
2018-21 The drift burst hypothesis
by Kim Christensen & Roel Oomen & Roberto Renò
2018-20 Diffusion Copulas: Identification and Estimation
by Ruijun Bu & Kaddour Hadri & Dennis Kristensen
2018-19 The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
by Kim Christensen & Martin Thyrsgaard & Bezirgen Veliyev
2018-18 Cross-sectional noise reduction and more efficient estimation of Integrated Variance
by Giorgio Mirone
2018-17 Nonstationary cointegration in the fractionally cointegrated VAR model
by Søren Johansen & Morten Ørregaard Nielsen
2018-16 Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach
by Ulrich Hounyo & Rasmus T. Varneskov
2018-15 The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016
by Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang
2018-14 Models with Multiplicative Decomposition of Conditional Variances and Correlations
by Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta
2018-13 Forecasting dynamically asymmetric fluctuations of the U.S. business cycle
by Emilio Zanetti Chini
2018-11 Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects
by Yunus Emre Ergemen & Carlos Velasco
2018-10 Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium
by Isabel Casas & Xiuping Mao & Helena Veiga
2018-09 Consistent Inference for Predictive Regressions in Persistent VAR Economies
by Torben G. Andersen & Rasmus T. Varneskov
2018-08 Short-Term Market Risks Implied by Weekly Options
by Torben G. Andersen & Nicola Fusari & Viktor Todorov
2018-07 The Risk Premia Embedded in Index Options
by Torben G. Andersen & Nicola Fusari & Viktor Todorov
2018-06 A Parametric Factor Model of the Term Structure of Mortality
by Niels Haldrup & Carsten P. T. Rosenskjold
2018-05 Time-Varying Periodicity in Intraday Volatility
by Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov
2018-04 Option Panels in Pure-Jump Settings
by Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov
2018-03 Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span
by Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov
2018-02 The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets
by Torben G. Andersen & Nicola Fusari & Viktor Todorov
2018-01 Forecaster’s utility and forecasts coherence
by Emilio Zanetti Chini

2017

2018-35 Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
by Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu
2018-12 Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation
by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou
2017-39 Spikes and memory in (Nord Pool) electricity price spot prices
by Tommaso Proietti & Niels Haldrup & Oskar Knapik
2017-38 Flight to Safety from European Stock Markets
by Nektarios Aslanidis & Charlotte Christiansen
2017-37 Testing the CVAR in the fractional CVAR model
by Søren Johansen & Morten Ørregaard Nielsen
2017-36 Panel Smooth Transition Regression Models
by Andrés González & Timo Teräsvirta & Dick van Dijk & Yukai Yang
2017-35 Identification and estimation of heterogeneous agent models: A likelihood approach
by Juan Carlos Parra-Alvarez & Olaf Posch & Mu-Chun Wang
2017-34 Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing
by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang
2017-33 Time-varying coefficient estimation in SURE models. Application to portfolio management
by Isabel Casas & Eva Ferreira & Susan Orbe
2017-32 Nonlinear models in macroeconometrics
by Timo Teräsvirta
2017-31 Term Structure Analysis with Big Data
by Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch
2017-30 Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment
by Kim Christensen & Ulrich Hounyo & Mark Podolskij
2017-29 Modelling and forecasting WIG20 daily returns
by Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta
2017-28 Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
by Annastiina Silvennoinen & Timo Teräsvirta
2017-27 The TIPS Liquidity Premium
by Martin M. Andreasen & Jens H.E. Christensen & Simon Riddell
2017-26 Decoupling the short- and long-term behavior of stochastic volatility
by Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen
2017-25 The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode
by Massimiliano Caporin & Gisle J. Natvik & Francesco Ravazzolo & Paolo Santucci de Magistris
2017-24 Inference from the futures: ranking the noise cancelling accuracy of realized measures
by Giorgio Mirone
2017-23 The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment
by Roman Frydman & Søren Johansen & Anders Rahbek & Morten Nyboe Tabor
2017-22 Testing for time-varying loadings in dynamic factor models
by Jeroen V.K. Rombouts & Jakob Guldbæk Mikkelsen
2017-21 Variance swap payoffs, risk premia and extreme market conditions
by Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante
2017-20 A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices
by Tommaso Proietti & Alessandro Giovannelli
2017-19 Statistical tests for equal predictive ability across multiple forecasting methods
by Daniel Borup & Martin Thyrsgaard
2017-18 Bootstrap-Based Inference for Cube Root Consistent Estimators
by Matias D. Cattaneo & Michael Jansson & Kenichi Nagasawa
2017-17 Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles
by Massimo Franchi & Søren Johansen
2017-16 Does the ARFIMA really shift?
by Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris
2017-15 A Non-Structural Investigation of VIX Risk Neutral Density
by Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante
2017-14 The Extended Perturbation Method: New Insights on the New Keynesian Model
by Martin M. Andreasen & Anders Kronborg
2017-13 Picking Funds with Confidence
by Niels S. Grønborg & Asger Lunde & Allan Timmermann & Russ Wermers
2017-12 The role of cointegration for optimal hedging with heteroscedastic error term
by Lukasz Gatarek & Søren Johansen
2017-11 Cointegration between trends and their estimators in state space models and CVAR models
by Søren Johansen & Morten Nyboe Tabor
2017-10 Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability
by Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante
2017-09 Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations
by Thomas Quistgaard Pedersen & Erik Christian Montes Schütte
2017-08 Insight into the Female Longevity Puzzle: Using Register Data to Analyse Mortality and Cause of Death Behaviour Across Socio-economic Groups
by Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold
2017-07 Modeling and forecasting electricity price jumps in the Nord Pool power market
by Oskar Knapik
2017-06 The Walking Debt Crisis
by Tobias Basse & Robinson Kruse & Christoph Wegener
2017-05 Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis
by Matthew T. Holt & Timo Teräsvirta
2017-04 Sir Clive Granger's contributions to nonlinear time series and econometrics
by Timo Teräsvirta
2017-03 A regime-switching stochastic volatility model for forecasting electricity prices
by Peter Exterkate & Oskar Knapik
2017-02 Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor
2017-01 Predicting Bond Betas using Macro-Finance Variables
by Nektarios Aslanidis & Charlotte Christiansen & Andrea Cipollini

2016

2016-33 Estimation of the global regularity of a multifractional Brownian motion
by Joachim Lebovits & Mark Podolskij
2016-32 A New Index of Housing Sentiment
by Lasse Bork & Stig V. Møller & Thomas Q. Pedersen
2016-31 Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure
by Carlos Vladimir Rodríguez-Caballero
2016-30 Forecasting daily political opinion polls using the fractionally cointegrated VAR model
by Morten Ørregaard Nielsen & Sergei S. Shibaev
2016-29 Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation
by Hossein Asgharian & Charlotte Christiansen & Rangan Gupta & Ai Jun Hou
2016-28 The Drift Burst Hypothesis
by Kim Christensen & Roel Oomen & Roberto Renò
2016-27 Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach
by Kim Christensen & Ulrich Hounyo & Mark Podolskij
2016-26 Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia
by Martin M. Andreasen & Tom Engsted & Stig V. Møller & Magnus Sander
2016-25 Component shares in continuous time
by Gustavo Fruet Dias & Marcelo Fernandes & Cristina M. Scherrer
2016-24 Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes
by Shin Kanaya
2016-23 A Dynamic Multi-Level Factor Model with Long-Range Dependence
by Yunus Emre Ergemen & Carlos Vladimir Rodríguez-Caballero
2016-22 The cointegrated vector autoregressive model with general deterministic terms
by Søren Johansen & Morten Ørregaard Nielsen
2016-21 Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
by Mikkel Bennedsen
2016-20 Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach
by Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante
2016-19 Volume, Volatility and Public News Announcements
by Tim Bollerslev & Jia Li & Yuan Xue
2016-18 Tightness of M-estimators for multiple linear regression in time series
by Søren Johansen & Bent Nielsen
2016-17 Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting
by Robinson Kruse & Christian Leschinski & Michael Will
2016-16 Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution
by Martin M. Andreasen & Kasper Jørgensen
2016-15 The Local Fractional Bootstrap
by Mikkel Bennedsen & Ulrich Hounyo & Asger Lunde & Mikko S. Pakkanen
2016-14 Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index
by Andrew J.G. Cairns & Malene Kallestrup-Lamb & Carsten P.T. Rosenskjold & David Blake & Kevin Dowd
2016-13 Arbitrage without borrowing or short selling?
by Mikko S. Pakkanen & Jani Lukkarinen
2016-12 Inference in partially identified models with many moment inequalities using Lasso
by Federico A. Bugni & Mehmet Caner & Anders Bredahl Kock & Soumendra Lahiri
2016-11 The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?
by Tom Engsted & Thomas Q. Pedersen
2016-10 Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
by Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg
2016-09 Assessing Gamma kernels and BSS/LSS processes
by Ole E. Barndorff-Nielsen
2016-08 A generalized exponential time series regression model for electricity prices
by Niels Haldrup & Oskar Knapik & Tommaso Proietti
2016-07 Volatility Discovery
by Gustavo Fruet Dias & Cristina M. Scherrer & Fotis Papailias
2016-06 House price fluctuations and the business cycle dynamics
by Girum D. Abate & Luc Anselin
2016-05 Generalized Efficient Inference on Factor Models with Long-Range Dependence
by Yunus Emre Ergemen
2016-04 Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression
by Markku Lanne & Jani Luoto
2016-03 Dynamic Global Currency Hedging
by Bent Jesper Christensen & Rasmus T. Varneskov
2016-02 System Estimation of Panel Data Models under Long-Range Dependence
by Yunus Emre Ergemen
2016-01 Fixed-b Inference in the Presence of Time-Varying Volatility
by Matei Demetrescu & Christoph Hanck & Robinson Kruse

2015

2015-61 Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models
by Jakob Guldbæk Mikkelsen & Eric Hillebrand & Giovanni Urga
2015-60 Edgeworth expansion for the pre-averaging estimator
by Mark Podolskij & Bezirgen Veliyev & Nakahiro Yoshida
2015-59 Long Memory, Fractional Integration, and Cross-Sectional Aggregation
by Niels Haldrup & J. Eduardo Vera-Valdés
2015-58 Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads
by Yunus Emre Ergemen & Niels Haldrup & Carlos Vladimir Rodríguez-Caballero
2015-57 On critical cases in limit theory for stationary increments Lévy driven moving averages
by Andreas Basse-O'Connor & Mark Podolskij
2015-56 Limit theorems for stationary increments Lévy driven moving averages
by Andreas Basse-O'Connor & Raphaël Lachièze-Rey & Mark Podolskij
2015-54 Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk
by Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui
2015-53 A weak limit theorem for numerical approximation of Brownian semi-stationary processes
by Mark Podolskij & Nopporn Thamrongrat
2015-52 On U- and V-statistics for discontinuous Itô semimartingale
by Mark Podolskij & Christian Schmidt & Mathias Vetter
2015-51 Exponential Smoothing, Long Memory and Volatility Prediction
by Tommaso Proietti
2015-50 Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach
by Shin Kanaya
2015-49 Credit policies before and during the financial crisis
by Palle Sørensen
2015-48 The Role of Credit in Predicting US Recessions
by Harri Pönkä
2015-47 Testing constancy of unconditional variance in volatility models by misspecification and specification tests
by Annastiina Silvennoinen & Timo Teräsvirta
2015-46 A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method
by Asger Lunde & Anne Floor Brix & Wei Wei
2015-45 Inference from high-frequency data: A subsampling approach
by Kim Christensen & Mark Podolskij & Nopporn Thamrongrat & Bezirgen Veliyev
2015-44 Expected Business Conditions and Bond Risk Premia
by Jonas Nygaard Eriksen
2015-43 Hybrid scheme for Brownian semistationary processes
by Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen
2015-42 Rough electricity: a new fractal multi-factor model of electricity spot prices
by Mikkel Bennedsen
2015-41 Parametric Portfolio Policies with Common Volatility Dynamics
by Yunus Emre Ergemen & Abderrahim Taamouti

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