Creates Annual Report 2016

Beklager, publikationen kan ikke vises.

2 CREATES ANNUAL REPORT 2016 Table 1. Prioritized list of the most prestigious publication sources within CREATES' research area # Journal 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Forth.** Total General Econometrics 1 Econometrica Journal of American Statistical Association 2 Econometric Theory 1 2 - - 2 3 - - 3 - - 1 - 2 1 - - 1 - - - - 5 1 1 4 3 - 1 4 4 3 3 8 32 11 Journal of Applied Econometrics - - - 1 2 2 3 4 1 3 5 21 Journal of Business and Economic Statistics 2 1 1 2 1 2 2 3 3 4 5 26 Journal of Econometrics 6 5 5 12 9 5 5 4 9 7 11 78 Review of Economics and Statistics 2 - - - - - - 1 - 1 4 8 1 1 2 1 - - - 2 2 4 6 19 3 Econometric Reviews Econometrics Journal - - 2 - 3 5 - 1 1 1 - 13 Oxford Bulletin of Economics and Statistics - 1 - - - - - 1 1 1 - 4 Financial Econometrics 1 Journal of Finance - - 1 3 1 1 2 - - - 1 9 Journal of Financial Economics - 1 1 1 2 4 3 3 4 1 2 22 Review of Financial Studies - 1 1 2 - 1 2 - 2 - - 9 2 Journal of Empirical Finance - 1 1 2 1 2 3 7 2 3 1 23 Journal of Financial and Quantitative Analysis - - 1 - 1 2 1 2 - - 2 9 Journal of Financial Econometrics 1 4 1 1 1 2 3 1 - 4 2 20 - 1 - - 0 - 9 - - 3 Journal of M onetary Economics - - - 1 - - - - - Journal of M oney Credit and Banking - - - - - - - - - - - 1 - 1 2 2 2 1 - - - 2 - - - - 1 3 Journal of Banking and Finance Journal of International M oney and Finance Statistics/Stochastics 1 Annals of Statistics - - - 1 - - 2 - - - - 3 2 Bernoulli - 1 1 - 2 - 2 1 - 2 3 12 - 1 Finance and Stochastics - - 1 - - - - - - - Journal of Royal Statistical Society Series B - - - - - - - - - 1 1 M athematical Finance 1 - - - - - - - - - - 1 Scandinavian Journal of Statistics - 1 - - - - - 1 - 2 1 5 Stochastic Processes and their Applications - 2 4 - - 2 1 2 2 - 3 16 - - 2 - - - 1 1 2 - 1 7 16 22 31 33 26 34 37 40 37 37 55 368 3 Journal of Time Series Analysis Subtotal Other journals 16 25 18 20 27 23 43 47 39 25 32 315 Total 32 47 49 53 53 57 80 87 76 62 87 683 ** Accepted (forthcoming) papers as of 1 April 2017 3. Research Fields and Activities The research conducted at CREATES covers a broad range of subfields. One of the most active research areas is within the econometric analysis of high-frequency time series data, especially volatility modelling of financial data. The activity and research production is impressive and CREATES can document one of the strongest research groups worldwide in this field. Building on those competencies the area is expanding with focus on the stochastic and econometric modelling of commodity markets including energy markets. This area is one of the focus areas which is considered high-risk in the CREATES research plan and includes interdisciplinary research collaboration both within Aarhus University and with international research partners. The research in this area will grow in the coming years driven by recent international recruitments. Furthermore, CREATES has attracted further funding to strengthen this research field. Other focused research fields at CREATES include theoretical time series econometrics: the analysis of non-stationary time series, long memory models, and non-linear time series modelling. Also, the fields of empirical finance, asset pricing, and housing market modelling have a very dominant priority in CREATES research plan. A large group of researchers is attached to this field. One particular field to emphasize here concerns the construction of statistical algorithms for econometric analysis of highdimensional data sets. In economics and finance as well as in other research fields, the access to databases of large dimensions is becoming an increasing challenge for data analysis. In the future, CREATES will become a visible research player within the expanding field of Big Data Analytics, especially for high-dimensional data relevant for the social sciences. CREATES Annual Report 2016 The Danish National Research Foundations Center for Research in Econometric Analysis of Time Series, CREATES 1 CREATES ANNUAL REPORT 2016 1. The Final Year as a DG Center of Excellence This report is the final full year annual report of CREATES Center for Research in Econometric Analysis of Time Series. CREATES started its activities as a DG Center of Excellence in April 2007. Following a peer-reviewed 2 CREATES ANNUAL REPORT 2016 Table 1. Prioritized list of the most prestigious publication sources within CREATES' research area # Journal 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Forth.** Total General Econometrics 1 Econometrica Journal of American Statistical Association 2 3 CREATES ANNUAL REPORT 2016 A new field on the research agenda is concerned with the analysis of climate data by use of econometrics tools. Traditionally, statistical methods have played a relatively minor role in climate research and it seems natural to combine econometric time series methods in 4 CREATES ANNUAL REPORT 2016 Table 2. CREATES affiliates and funding sources, man-years (årsværk), 2016 DG/CREATES Host institution External funding 1 Other sources 2 Total Domestic Research Fellows 1,0 13.6 3.5 0.2 18,3 International Research Fellows 0.2 0.0 0.0 0.0 0.2 Visiting 5 CREATES ANNUAL REPORT 2016 Figure 1. The development in total number of man-years (årsværk), 2008-2016 40 35 30 25 DG/CREATES 20 Host Institution 15 External Funding 10 5 0 2008 2009 2010 2011 2012 2013 2014 2015 2016 Figure 2. The development in man-years (årsværk) for postdoctor 6 CREATES ANNUAL REPORT 2016 6. External Funding For the funding period 2007-2017, the Board of the Danish National Research Foundation has granted CREATES approximately DKK 80m CREATES members have been very active in attracting additional funding from various private, public, and international s 7 CREATES ANNUAL REPORT 2016 The host institution Department of Economics and Business Economics does not have a gender strategy as such. In connection with job openings, the best candidates, regardless of gender, will be chosen amongst the qualified candidates. Generally, the fields of economics 8 CREATES ANNUAL REPORT 2016 9. Directors Signature (Ved underskriften bekræftes det, at beretning og regnskab med tilhørende noter og oversigter indeholder alle relevante oplysninger, som vedrører årets primære aktiviteter i Danmarks Grundforskningsfonds Center for Tidsrækkeøkonometri.) To my kno