Printed from https://ideas.repec.org/s/aah/create3.html
Content
2012
- 2012-09 Modelling conditional correlations of asset returns: A smooth transition approach
by Annastiina Silvennoinen & Timo Teräsvirta - 2012-08 On the Effects of Private Information on Volatility
by Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor - 2012-07 Modelling Changes in the Unconditional Variance of Long Stock Return Series
by Cristina Amado & Timo Teräsvirta - 2012-06 Commodity derivatives pricing with inventory effects
by Christian Bach & Matt P. Dziubinski - 2012-05 On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions
by Anders Bredahl Kock - 2012-04 The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options
by Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante - 2012-03 Conditionally-uniform Feasible Grid Search Algorithm
by Matt P. Dziubinski - 2012-02 Alternative Asymptotics and the Partially Linear Model with Many Regressors
by Matias D. Cattaneo & Michael Jansson & Whitney K. Newey - 2012-01 The Power of Unit Root Tests Against Nonlinear Local Alternatives
by Matei Demetrescu & Robinson Kruse
2011
- 2012-17 Using the Yield Curve in Forecasting Output Growth and In?flation
by Eric Hillebrand & Huiyu Huang & Tae-Hwy Lee & Canlin Li - 2012-11 Parametric Inference and Dynamic State Recovery from Option Panels
by Torben G. Andersen & Nicola Fusari & Viktor Todorov - 2011-53 On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
by Kim Christensen & Mark Podolskij & Mathias Vetter - 2011-52 What we can learn from pricing 139,879 Individual Stock Options
by Lars Stentoft - 2011-51 Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
by Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen - 2011-50 VPIN and the Flash Crash
by Torben G. Andersen & Oleg Bondarenko - 2011-49 Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX
by Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez - 2011-48 Wage Dispersion and Decentralization of Wage Bargaining
by Christian M. Dahl & Daniel le Maire & Jakob R. Munch - 2011-47 Asymptotic theory of range-based multipower variation
by Kim Christensen & Mark Podolskij - 2011-46 Forecasting with Option Implied Information
by Peter Christoffersen & Kris Jacobs & Bo Young Chang - 2011-45 The Joint Dynamics of Equity Market Factors
by Peter Christoffersen & Hugues Langlois - 2011-44 Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
by Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez - 2011-43 Illiquidity Premia in the Equity Options Market
by Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui - 2011-42 Return Predictability, Model Uncertainty, and Robust Investment
by Manuel Lukas - 2011-41 Marginal Likelihood for Markov-switching and Change-point Garch Models
by Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts - 2011-40 Asymptotic theory for iterated one-step Huber-skip estimators
by Søren Johansen & Bent Nielsen - 2011-39 Statistical analysis of global surface air temperature and sea level using cointegration methods
by Torben Schmith & Søren Johansen & Peter Thejll - 2011-38 The Role of the Spouse in Early Retirement Decisions for Older Workers
by Malene Kallestrup-Lamb - 2011-37 Financial Risk Measurement for Financial Risk Management
by Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold - 2011-36 The Properties of Model Selection when Retaining Theory Variables
by David F. Hendry & Søren Johansen - 2011-35 Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices
by Rasmus Tangsgaard Varneskov - 2011-34 American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison
by Lars Stentoft - 2011-33 Econometric Analysis and Prediction of Recurrent Events
by Adrian Pagan & Don Harding - 2011-32 Conservatism in Corporate Valuation
by Christian Bach - 2011-31 Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise
by Rasmus Tangsgaard Varneskov - 2011-30 Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search
by Stefano Grassi & Tommaso Proietti - 2011-29 Wavelet Based Outlier Correction for Power Controlled Turning Point Detection in Surveillance Systems
by Yushu Li - 2011-28 Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009
by Anders Bredahl Kock & Timo Teräsvirta - 2011-27 Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques
by Anders Bredahl Kock & Timo Teräsvirta - 2011-26 Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns
by Rasmus Tangsgaard Varneskov & Pierre Perron - 2011-25 Field Experiments in Economics: Comment on an article by Levitt and List
by Stephen T. Ziliak - 2011-24 Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations
by Cristina Amado & Timo Teräsvirta - 2011-23 A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg - 2011-22 Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models
by Antonis Papapantoleon & John Schoenmakers & David Skovmand - 2011-21 Estimating Dynamic Equilibrium Models using Macro and Financial Data
by Bent Jesper Christensen & Olaf Posch & Michel van der Wel - 2011-20 Predicting Severe Simultaneous Recessions Using Yield Spreads as Leading Indicators
by Charlotte Christiansen - 2011-19 Fact or friction: Jumps at ultra high frequency
by Kim Christensen & Roel Oomen & Mark Podolskij - 2011-18 Bias-correction in vector autoregressive models: A simulation study
by Tom Engsted & Thomas Q. Pedersen - 2011-17 Some econometric results for the Blanchard-Watson bubble model
by Søren Johansen & Theis Lange - 2011-16 Characterizing economic trends by Bayesian stochastic model specification search
by Stefano Grassi & Tommaso Proietti - 2011-15 A Simple Test for Spurious Regressions
by Antonio E. Noriega & Daniel Ventosa-Santaularia - 2011-14 When Long Memory Meets the Kalman Filter: A Comparative Study
by Stefano Grassi & Paolo Santucci de Magistris - 2011-13 Nonparametric Detection and Estimation of Structural Change
by Dennis Kristensen - 2011-12 Generalized Jackknife Estimators of Weighted Average Derivatives
by Matias D. Cattaneo & Richard K. Crump & Michael Jansson - 2011-11 Estimation of long memory in integrated variance
by Eduardo Rossi & Paolo Santucci de Magistris - 2011-10 International Diversification Benefits with Foreign Exchange Investment Styles
by Tim A. Kroencke & Felix Schindler & Andreas Schrimpf - 2011-09 Option valuation with the simplified component GARCH model
by Matt P. Dziubinski - 2011-08 Bayesian stochastic model specification search for seasonal and calendar effects
by Stefano Grassi & Tommaso Proietti - 2011-07 Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises
by Tom Engsted & Stig V. Møller - 2011-06 An extension of cointegration to fractional autoregressive processes
by Søren Johansen - 2011-05 Prediction-based estimating functions: review and new developments
by Michael Sørensen - 2011-04 Testing the local volatility assumption: a statistical approach
by Mark Podolskij & Mathieu Rosenbaum - 2011-03 Forecasting Covariance Matrices: A Mixed Frequency Approach
by Roxana Halbleib & Valeri Voev - 2011-02 Nonlinear models for autoregressive conditional heteroskedasticity
by Timo Teräsvirta - 2011-01 Modelling Volatility by Variance Decomposition
by Cristina Amado & Timo Teräsvirta - 2010-61 Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach
by Christian Bach & Bent Jesper Christensen
2010
- 2010-76 The Model Confidence Set
by Peter R. Hansen & Asger Lunde & James M. Nason - 2010-75 A Bootstrap Cointegration Rank Test for Panels of VAR Models
by Laurent A.F. Callot - 2010-74 Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility
by Peter R. Hansen & Asger Lunde & Valeri Voev - 2010-73 Estimating the effect of a variable in a high-dimensional regression model
by Peter Sandholt Jensen & Allan H. Würtz - 2010-72 An invariance property of the common trends under linear transformations of the data
by Søren Johansen & Katarina Juselius - 2010-71 Modelling asset correlations during the recent FInancial crisis: A semiparametric approach
by Nektarios Aslanidis & Isabel Casas - 2010-70 A necessary moment condition for the fractional functional central limit theorem
by Søren Johansen & Morten Ørregaard Nielsen - 2010-69 The analysis of nonstationary time series using regression, correlation and cointegration with an application to annual mean temperature and sea level
by Søren Johansen - 2010-68 Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
by Dennis Kristensen & Anders Rahbek - 2010-67 Estimation of Stochastic Volatility Models by Nonparametric Filtering
by Shin Kanaya & Dennis Kristensen - 2010-66 Integer-valued Lévy processes and low latency financial econometrics
by Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard - 2010-65 How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
by Almut E. D. Veraart - 2010-64 Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns
by Tim Bollerslev & Viktor Todorov - 2010-63 How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models
by Martin M. Andreasen - 2010-62 The Impact of Health Changes on Labor Supply: Evidence from Merged Data on Individual Objective Medical Diagnosis Codes and Early Retirement Behavior
by Bent Jesper Christensen & Malene Kallestrup Lamb - 2010-60 Level Shifts in Volatility and the Implied-Realized Volatility Relation
by Bent Jesper Christensen & Paolo Santucci de Magistris - 2010-59 Numerical distribution functions of fractional unit root and cointegration tests
by James G. MacKinnon & Morten Ørregaard Nielsen - 2010-58 A Comprehensive Look at Financial Volatility Prediction by Economic Variables
by Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf - 2010-57 The Effects of Marriage and Divorce on Financial Investments: Learning to Love or Hate Risk?
by Charlotte Christiansen & Juanna Schröter Joensen & Jesper Rangvid - 2010-56 Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models
by Anders Bredahl Kock - 2010-55 Sign and Quantiles of the Realized Stock-Bond Correlation
by Nektarios Aslanidis & Charlotte Christiansen - 2010-54 Minimax Regression Quantiles
by Stefan Holst Bache - 2010-53 Detecting Housing Submarkets using Unsupervised Learning of Finite Mixture Models
by Christos Ntantamis - 2010-52 Detecting Structural Breaks using Hidden Markov Models
by Christos Ntantamis - 2010-51 A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns
by Christos Ntantamis - 2010-50 The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model
by Bent Jesper Christensen & Petra Posedel - 2010-49 Macro Expectations, Aggregate Uncertainty, and Expected Term Premia
by Christian D. Dick & Maik Schmeling & Andreas Schrimpf - 2010-48 Asymptotic normality of the QMLE in the level-effect ARCH model
by Christian M. Dahl & Emma M. Iglesias - 2010-47 ICT and Productivity Growth in the 1990's: Panel Data Evidence on Europe
by Christian M. Dahl & Hans Christian Kongsted & Anders Sørensen - 2010-46 Habit-based Asset Pricing with Limited Participation Consumption
by Christian Bach & Stig Vinther Møller - 2010-45 The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts
by Rasmus Tangsgaard Varneskov & Valeri Voev - 2010-44 Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
by Jeroen V.K. Rombouts & Lars Stentoft - 2010-43 Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
by Dennis Kristensen - 2010-42 Long memory and changing persistence
by Robinson Kruse & Philipp Sibbertsen - 2010-41 Modelling electricity forward markets by ambit fields
by Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart - 2010-40 Picard Approximation of Stochastic Differential Equations and Application to Libor Models
by Antonis Papapantoleon & David Skovmand - 2010-39 The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data
by Rasmus Tangsgaard Varneskov - 2010-38 Predictable return distributions
by Thomas Q. Pedersen - 2010-37 The log-linear return approximation, bubbles, and predictability
by Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard - 2010-36 Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency
by Robinson Kruse & Rickard Sandberg - 2010-35 Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns
by Leonidas Tsiaras - 2010-34 The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks
by Leonidas Tsiaras - 2010-33 Maximum likelihood estimation for integrated diffusion processes
by Fernando Baltazar-Larios & Michael Sørensen - 2010-32 Simple simulation of diffusion bridges with application to likelihood inference for diffusions
by Mogens Bladt & Michael Sørensen - 2010-31 Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration
by Morten Ørregaard Nielsen & Per Frederiksen - 2010-30 Non-linear DSGE Models and The Central Difference Kalman Filter
by Martin M. Andreasen - 2010-29 Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
by Nikolaus Hautsch & Mark Podolskij - 2010-27 Milestones of European Integration: Which matters most for Export Openness?
by Robinson Kruse & Sanne Hiller - 2010-26 On European monetary integration and the persistence of real effective exchange rates
by Robinson Kruse - 2010-25 Testing for rational bubbles in a co-explosive vector autoregression
by Tom Engsted & Bent Nielsen - 2010-24 Likelihood inference for a fractionally cointegrated vector autoregressive model
by Søren Johansen & Morten Ørregaard Nielsen - 2010-23 Bootstrapping Density-Weighted Average Derivatives
by Matias D. Cattaneo & Richard K. Crump & Michael Jansson - 2010-22 Quantitative Breuer-Major Theorems
by Ivan Nourdin & Giovanni Peccati & Mark Podolskij - 2010-21 Forecast Combinations
by Marco Aiolfi & Carlos Capistrán & Allan Timmermann - 2010-20 Intertemporal Risk-Return Trade-off in Foreign Exchange Rates
by Charlotte Christiansen - 2010-19 Multivariate Option Pricing with Time Varying Volatility and Correlations
by Jeroen V.K. Rombouts & Lars Stentoft - 2010-18 Modelling energy spot prices by Lévy semistationary processes
by Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart - 2010-17 Ambit processes and stochastic partial differential equations
by Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart - 2010-16 Estimation of Jump Tails
by Tim Bollerslev & Viktor Todorov - 2010-15 Smooth Transition Patterns in the Realized Stock Bond Correlation
by Nektarios Aslanidis & Charlotte Christiansen - 2010-10 Stochastic Volatility
by Torben G. Andersen & Luca Benzoni - 2010-09 Pitfalls in VAR based return decompositions: A clarification
by Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard - 2010-08 Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error
by Peter R. Hansen & Asger Lunde - 2010-07 Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
by Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor - 2010-06 Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli
by Søren Johansen & Bent Nielsen - 2010-05 Non-linear DSGE Models and The Optimized Particle Filter
by Martin M. Andreasen - 2010-03 Dividend predictability around the world
by Jesper Rangvid & Maik Schmeling & Andreas Schrimpf - 2010-02 Asymmetric unemployment rate dynamics in Australia
by Gunnar Bårdsen & Stan Hurn & Zoë McHugh - 2010-01 Forecasting with nonlinear time series models
by Anders Bredahl Kock & Timo Teräsvirta
2009
- 2010-04 The Taylor Rule and “Opportunistic” Monetary Policy
by Helle Bunzel & Walter Enders - 2009-60 Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
by Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij - 2009-59 Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary
by Christian M. Dahl & Emma M. Iglesias - 2009-58 Risk premia in general equilibrium
by Olaf Posch - 2009-57 Global Asset Pricing: Is There a Role for Long-run Consumption Risk?
by Jesper Rangvid & Maik Schmeling & Andreas Schrimpf - 2009-56 On the Economic Evaluation of Volatility Forecasts
by Valeri Voev - 2009-55 Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
by Michael Jansson & Morten Ørregaard Nielsen - 2009-54 Testing a parametric function against a nonparametric alternative in IV and GMM settings
by Tue Gørgens & Allan Würtz - 2009-53 Forecasting long memory time series under a break in persistence
by Florian Heinen & Philipp Sibbertsen & Robinson Kruse - 2009-52 Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg - 2009-51 Efficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models
by Tue Gørgens & Christopher L. Skeels & Allan H. Würtz - 2009-50 What do we know about real exchange rate non-linearities?
by Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen - 2009-49 Realized Volatility and Multipower Variation
by Torben G. Andersen & Viktor Todorov - 2009-48 Unstable volatility functions: the break preserving local linear estimator
by Isabel Casas & Irene Gijbels - 2009-47 Understanding limit theorems for semimartingales: a short survey
by Mark Podolskij & Mathias Vetter - 2009-46 Robust Data-Driven Inference for Density-Weighted Average Derivatives
by Matias D. Cattaneo & Richard K. Crump & Michael Jansson - 2009-45 Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
by Kim Christensen & Silja Kinnebrock & Mark Podolskij - 2009-44 Semiparametric Modelling and Estimation: A Selective Overview
by Dennis Kristensen - 2009-43 Identification of Macroeconomic Factors in Large Panels
by Lasse Bork & Hans Dewachter & Romain Houssa - 2009-42 The multivariate supOU stochastic volatility model
by Ole Eiler Barndorff-Nielsen & Robert Stelzer - 2009-41 Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models
by Dennis Kristensen - 2009-40 Detection of additive outliers in seasonal time series
by Niels Haldrup & Antonio Montañés & Andreu Sansó - 2009-39 Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates
by Borus Jungbacker & Siem Jan Koopman & Michel van der Wel - 2009-38 Local Whittle estimation of multivariate fractionally integrated processes
by Frank S. Nielsen - 2009-37 Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
by Michael Jansson & Morten Ørregaard Nielsen - 2009-36 The dividend-price ratio does predict dividend growth: International evidence
by Tom Engsted & Thomas Q. Pedersen - 2009-34 The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well
by Peter Christoffersen & Steven Heston & Kris Jacobs - 2009-33 Option Valuation with Conditional Heteroskedasticity and Non-Normality
by Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs - 2009-32 The Effects of Interest Rate Movements on Assets’ Conditional Second Moments
by Alessandro Palandri - 2009-31 A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility
by Eduardo Rossi & Paolo Santucci de Magistris - 2009-30 Long Memory and Tail dependence in Trading Volume and Volatility
by Eduardo Rossi & Paolo Santucci de Magistris - 2009-29 Stochastic Volatility and DSGE Models
by Martin M. Andreasen - 2009-28 An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application
by Takamitsu Kurita & Heino Bohn Nielsen & Anders Rahbek - 2009-27 Realised Quantile-Based Estimation of the Integrated Variance
by Kim Christensen & Roel Oomen & Mark Podolskij - 2009-26 Tails, Fears and Risk Premia
by Tim Bollerslev & Viktor Todorov - 2009-25 Stochastic volatility of volatility in continuous time
by Ole E. Barndorff-Nielsen & Almut E. D. Veraart - 2009-24 A Meta-Distribution for Non-Stationary Samples
by Dominique Guégan - 2009-23 Interest rate convergence in the EMS prior to European Monetary Union
by Michael Frömmel & Robinson Kruse - 2009-22 Co-integration Rank Testing under Conditional Heteroskedasticity
by Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor - 2009-21 Multipower Variation for Brownian Semistationary Processes
by Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij - 2009-20 Stochastic volatility and stochastic leverage
by Almut E. D. Veraart & Luitgard A. M. Veraart - 2009-19 On a numerical and graphical technique for evaluating some models involving rational expectations
by Søren Johansen & Anders Rygh Swensen - 2009-18 Forecasting with Universal Approximators and a Learning Algorithm
by Anders Bredahl Kock - 2009-17 Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak
by Tom Engsted - 2009-16 Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise
by Ingmar Nolte & Valeri Voev - 2009-15 The Time-Varying Systematic Risk of Carry Trade Strategies
by Charlotte Christiansen & Angelo Ranaldo & Paul Söderllind - 2009-14 Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models
by Dennis Kristensen & Antonio Mele - 2009-13 Quadratic Variation by Markov Chains
by Peter Reinhard Hansen & Guillaume Horel - 2009-12 Poisson Autoregression
by Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim - 2009-11 Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach
by Lasse Bork - 2009-10 Skewness Premium with Lévy Processes
by José Fajardo & Ernesto Mordecki - 2009-09 Testing Conditional Factor Models
by Dennis Kristensen & Andrew Ang - 2009-08 Jump Testing and the Speed of Market Adjustment
by Torben B. Rasmussen - 2009-07 Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
by Jeroen V.K. Rombouts & Lars Stentoft - 2009-06 On IGARCH and convergence of the QMLE for misspecified GARCH models
by Anders Tolver Jensen & Theis Lange - 2009-05 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
by Tim Bollerslev & Natalia Sizova & George Tauchen - 2009-04 First and second order non-linear cointegration models
by Theis Lange - 2009-03 Forecasting inflation with gradual regime shifts and exogenous information
by Andrés González & Kirstin Hubrich & Timo Teräsvirta - 2009-02 Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders
by Morten Ørregaard Nielsen - 2009-01 A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
by Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius
2008
- 2009-35 Evaluating Value-at-Risk Models with Desk-Level Data
by Peter Christoffersen & Jeremy Berkowitz & Denis Pelletier - 2008-63 Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
by Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard - 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 - 2008-61 Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution
by Jean Jacod & Mark Podolskij & Mathias Vetter