Welcome to the homepage of CREATES, Center for Research in Econometric Analysis of Time Series, funded by the Danish National Research Foundation. The center is hosted by the School of Economics and Management at Aarhus University.

Thursday 11 February 14:15 at Room 219, Building 1326
Speaker: Changli He, Dalarna University and Southwestern University of Finance and Economics
Title: Smooth Transition Cointegration
Full seminar program

Tuesday 9 February 12:00 at Room 219, Building 1326
Speaker: Paolo Santucci de Magistris, University of Pavia
Title: Fractional Cointegration and Level Shifts in the Realized and Implied Volatility Relation
Full Lunch seminar program

Changli He, Dalarna University and Southwestern University of Finance and Economics, 10-12 February, office 212/1326
Michel van der Wel, Erasmus University Rotterdam and CREATES, 8 February - 19 March, office 212/1326
Paolo Santucci de Magistris, University of Pavia, 5 February - 31 March, office 212/1326
Paulius Stakenas, Amsterdam School of Economics, 1 February - 31 March, office 132/1327

PhD-course, Russell Davidson, McGill University, "The Bootstrap", 8-10 March.

PhD-course, Timo Trimborn, University of Hannover "Dynamic Macroeconomic Modeling with Matlab", 11-12 March.

Symposium, "Market Microstructure", 15-17 March.

Distinguished Speaker Seminar, Professor Joel Hasbrouck, NYU Stern, 17 March.

Annual meeting with the board of the Danish National Research Foundation, 18 March.

Thiele Center - CREATES conference in honour of Ole Barndorff-Nielsen, 13-14 October.

SoFiE - CREATES conference, "Measuring and Predicting Risk with Financial High Frequency Data", 15-16 October.

Full program

Post doc Kim Christensen has received "Ung Eliteforskerpris 2010" from the Danish Council for Independent Research, Social Sciences. The prize is worth DKK 200.000. See more info here: Faculty of Social Sciences, Danish Agency for Science Technology and Innovation, see picture.

CREATES members are now getting augmented access to financial data via a DKK 10m grant from the National Programme for Research Infrastructure under the Danish Ministry of Science, Technology and Innovation. The grant supplements a grant of DKK 4m from the Danish Council for Independent Research within the Social Sciences. The two grants will be used for establishing Danish Data Center for Accounting and Finance headed by Prof. Peter Ove Christensen. See more.

Assistant Professor, Kim Christensen, CREATES, has received DKK 1.860.000 from FSE (The Danish Council for Independent Research, Social Sciences) to the project "Estimating multivariate financial volatility".

Professor Carsten Tanggaard, CREATES, has been appointed chairman of "Penge- og pensionspanelet" by the Ministry of Economic and Business Affairs. See more.

Christian M. Dahl, CREATES, has been appointed full professor at University of Southern Denmark starting 1 January 2010.

News Archive

CREATES RP 2010-6: Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli by Søren Johansen and Bent Nielsen

CREATES RP 2010-5: Non-linear DSGE Models and The Optimized Particle Filter by Martin M. Andreasen

CREATES RP 2010-4: The Taylor Rule and “Opportunistic” Monetary Policy by Helle Bunzel and Walter Enders

CREATES RP 2010-3: Cash Flow-Predictability: Still Going Strong by Jesper Rangvid, Maik Schmeling and Andreas Schrimpf

CREATES RP 2010-2: Asymmetric unemployment rate dynamics in Australia by Gunnar Bårdsen, Stan Hurn and Zoë McHugh

Download Research Papers