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Publications

by members of

Aarhus Universitet → Institut for Økonomi → Center for Research in Econometric Analysis of Time Series (CREATES)

Aarhus University → Department of Economics and Business Economics

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters | Software components |

Working papers

2025

  1. Torben G. Andersen & Yi Ding & Viktor Todorov, 2025, "Tails of Cross-Sectional Return Distributions at High Frequencies," Working Papers, University of Macau, Faculty of Business Administration, number 202530, Jun, revised Mar 2026.
  2. Torben G. Andersen & Yi Ding & Viktor Todorov & Seunghyeon Yu, 2025, "The Factor Structure of Jump Risk," Working Papers, University of Macau, Faculty of Business Administration, number 202531, Jun, revised Mar 2026.
  3. Balakina, Olga & Christiansen, Charlotte & Kallestrup-Lamb, Malene, 2025, "Greener pensions, greener choices: Linking investments to sustainable behavior," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 452, DOI: 10.2139/ssrn.5356784.
  4. Matias D. Cattaneo & Gregory Fletcher Cox & Michael Jansson & Kenichi Nagasawa, 2025, "Continuity of the Distribution Function of the argmax of a Gaussian Process," Papers, arXiv.org, number 2501.13265, Jan, revised Oct 2025.
  5. Matias D. Cattaneo & Michael Jansson & Kenichi Nagasawa, 2025, "Robust Inference for Convex Pairwise Difference Estimators," Papers, arXiv.org, number 2510.05991, Oct, revised May 2026.
  6. Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2025, "Testing parametric additive time-varying GARCH models," Papers, arXiv.org, number 2506.23821, Jun.

2024

  1. Anders Bredahl Kock & David Preinerstorfer, 2024, "Regularizing Fairness in Optimal Policy Learning with Distributional Targets," Papers, arXiv.org, number 2401.17909, Jan, revised May 2025.
  2. Anders Bredahl Kock & Rasmus S{o}ndergaard Pedersen & Jesper Riis-Vestergaard S{o}rensen, 2024, "Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions," Papers, arXiv.org, number 2403.06657, Mar, revised Dec 2024.
  3. Anders Bredahl Kock & David Preinerstorfer, 2024, "Enhanced power enhancements for testing many moment equalities: Beyond the $2$- and $\infty$-norm," Papers, arXiv.org, number 2407.17888, Jul, revised Oct 2024.
  4. Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2024, "A new GARCH model with a deterministic time-varying intercept," Papers, arXiv.org, number 2410.03239, Oct, revised Oct 2024.

2023

  1. Torben G. Andersen & Viktor Todorov & Bo Zhou, 2023, "Real-Time Detection of Local No-Arbitrage Violations," Papers, arXiv.org, number 2307.10872, Jul.
  2. Baker, Jennifer L. & Bjerregaard, Lise G. & Dahl, Christian M. & Johansen, Torben S. D. & Sørensen, Emil N. & Wüst, Miriam, 2023, "Universal Investments in Toddler Health. Learning from a Large Government Trial," IZA Discussion Papers, IZA Network @ LISER, number 16270, Jun.
  3. Dahl, Christian M. & Hansen, Casper W. & Jensen, Peter S. & Karlsson, Martin & Kühnle, Daniel, 2023, "School Closures, Mortality, and Human Capital: Evidence from the Universe of Closures during the 1918 Pandemic in Sweden," IZA Discussion Papers, IZA Network @ LISER, number 16592, Nov.
  4. Engsted, Tom & Schneider, Jesper W., 2023, "Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective," SocArXiv, Center for Open Science, number nztk8, Apr, DOI: 10.31235/osf.io/nztk8.
  5. Matias D. Cattaneo & Michael Jansson & Kenichi Nagasawa, 2023, "Bootstrap-Assisted Inference for Generalized Grenander-type Estimators," Papers, arXiv.org, number 2303.13598, Mar, revised Jul 2024.
  6. Anders Bredahl Kock & David Preinerstorfer, 2023, "A remark on moment-dependent phase transitions in high-dimensional Gaussian approximations," Papers, arXiv.org, number 2310.12863, Oct, revised Feb 2024.
  7. Dennis Kristensen & Young Jun Lee & Antonio Mele, 2023, "Closed-form approximations of moments and densities of continuous-time Markov models," Papers, arXiv.org, number 2308.09009, Aug.
  8. Scott Condie & Lars Stentoft & Marie-Louise Vierø, 2023, "Unawareness Premia," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2023-09, Sep.
  9. Changli He & Jian Kang & Annastiina Silvennoinen & Timo Teräsvirta, 2023, "Long Monthly European Temperature Series and the North Atlantic Oscillation," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2023-03, Apr.
  10. Simon Smith & Allan Timmermann & Jonathan H. Wright, 2023, "Breaks in the Phillips Curve: Evidence from Panel Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 31153, Apr.

2022

  1. Daniel Borup & Philippe Goulet Coulombe & Erik Christian Montes Schütte & David E. Rapach & Sander Schwenk-Nebbe, 2022, "The Anatomy of Out-of-Sample Forecasting Accuracy," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2022-16, Nov, DOI: 10.29338/wp2022-16.
  2. Matias D. Cattaneo & Rajita Chandak & Michael Jansson & Xinwei Ma, 2022, "Boundary Adaptive Local Polynomial Conditional Density Estimators," Papers, arXiv.org, number 2204.10359, Apr, revised Dec 2023.
  3. Matias D. Cattaneo & Max H. Farrell & Michael Jansson & Ricardo Masini, 2022, "Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators," Papers, arXiv.org, number 2301.00277, Dec, revised Feb 2024.
  4. Samuel Brien & Michael Jansson & Morten Ørregaard Nielsen, 2022, "Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order," Working Paper, Economics Department, Queen's University, number 1429, Mar.
  5. S{o}ren Johansen & Morten {O}rregaard Nielsen, 2022, "Weak convergence to derivatives of fractional Brownian motion," Papers, arXiv.org, number 2208.02516, Aug, revised Oct 2022.
  6. Max-Sebastian Dov`i & Anders Bredahl Kock & Sophocles Mavroeidis, 2022, "A Ridge-Regularised Jackknifed Anderson-Rubin Test," Papers, arXiv.org, number 2209.03259, Sep, revised Nov 2023.
  7. Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022, "A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2022-01, Jan.
  8. Lorenzo Lucchese & Mikko Pakkanen & Almut Veraart, 2022, "The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective," Papers, arXiv.org, number 2211.13777, Nov, revised Oct 2023.

2021

  1. Torben G. Andersen & Rasmus T. Varneskov, 2021, "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers, National Bureau of Economic Research, Inc, number 28568, Mar.
  2. Torben G. Andersen & Rasmus T. Varneskov, 2021, "Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 28569, Mar.
  3. Torben G. Andersen & Rasmus T. Varneskov, 2021, "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers, National Bureau of Economic Research, Inc, number 28570, Mar.
  4. Daniel Borup & David E. Rapach & Erik Christian Montes Schütte, 2021, "Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-02, Jan.
  5. Christian M. Dahl & Torben Johansen & Emil N. S{o}rensen & Simon Wittrock, 2021, "HANA: A HAndwritten NAme Database for Offline Handwritten Text Recognition," Papers, arXiv.org, number 2101.10862, Jan, revised Mar 2022.
  6. Christian M. Dahl & Emil N. S{o}rensen, 2021, "Time Series (re)sampling using Generative Adversarial Networks," Papers, arXiv.org, number 2102.00208, Jan.
  7. Christian M. Dahl & Torben S. D. Johansen & Emil N. S{o}rensen & Christian E. Westermann & Simon F. Wittrock, 2021, "Applications of Machine Learning in Document Digitisation," Papers, arXiv.org, number 2102.03239, Feb.
  8. Borowiecki, Karol Jan & Dahl, Christian Møller, 2021, "What makes an artist? The evolution and clustering of creative activity in the US since 1850," Discussion Papers on Economics, University of Southern Denmark, Department of Economics, number 1/2021, Jan.
  9. Søren Johansen & Anders Ryghn Swensen, 2021, "Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-10, Jul.
  10. Roman Frydman & Soren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2021, "Asset Prices Under Knightian Uncertainty," Working Papers Series, Institute for New Economic Thinking, number inetwp172, Dec, DOI: 10.36687/inetwp172.
  11. Anders Bredahl Kock & David Preinerstorfer, 2021, "Superconsistency of Tests in High Dimensions," Papers, arXiv.org, number 2106.03700, Jun, revised Jan 2022.
  12. Giuseppe Cavaliere & Zeng-Hua Lu & Anders Rahbek & Yuhong Yang, 2021, "MinP Score Tests with an Inequality Constrained Parameter Space," Papers, arXiv.org, number 2107.06089, Jul.
  13. Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek, 2021, "Specification tests for GARCH processes," Papers, arXiv.org, number 2105.14081, May.
  14. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & Iliyan Georgiev, 2021, "Bootstrapping Non-Stationary Stochastic Volatility," Papers, arXiv.org, number 2101.03562, Jan.
  15. Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard, 2021, "Bootstrap Inference for Hawkes and General Point Processes," Papers, arXiv.org, number 2104.03122, Apr, revised Sep 2021.
  16. Timmermann, Allan & Møller, Stig & Pedersen, Thomas & Schütte, Erik Christian Montes, 2021, "Search and Predictability of Prices in the Housing Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 15875, Mar.
  17. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021, "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-13, Sep.
  18. Bart H. L. Overes & Michel van der Wel, 2021, "Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques," Papers, arXiv.org, number 2101.12684, Jan, revised Jul 2021.
  19. Mikkel Bennedsen & Asger Lunde & Neil Shephard & Almut E.D. Veraart, 2021, "Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-12, Jul.
  20. Mikkel Bennedsen & Asger Lunde & Neil Shephard & Almut E. D. Veraart, 2021, "Inference and forecasting for continuous-time integer-valued trawl processes," Papers, arXiv.org, number 2107.03674, Jul, revised Feb 2023.
  21. Stefano Grassi & Francesco Violante, 2021, "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2021-05, Mar.

2020

  1. Daniel Borup & Bent Jesper Christensen & Nicolaj N. Mühlbach & Mikkel S. Nielsen, 2020, "Targeting predictors in random forest regression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2020-03, May.
  2. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2020, "Predicting bond return predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2020-09, Aug.
  3. Charlotte Christiansen & Ran Xing & Yue Xu, 2020, "Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2020-14, Dec.
  4. Aslanidis, Nektarios & Christiansen, Charlotte & Kouretas, George, 2020, "Uncertainty and Downside Risk in International Stock Returns," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/376032.
  5. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2020, "Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-020.
  6. Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga, 2020, "Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2020-19, Dec.
  7. Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman, 2020, "A statistical model of the global carbon budget," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2020-18, Dec.
  8. Matias D. Cattaneo & Michael Jansson & Xinwei Ma, 2020, "Local Regression Distribution Estimators," Papers, arXiv.org, number 2009.14367, Sep, revised Jan 2021.
  9. Kanaya, Shin & Taylor, Luke, 2020, "Type I and Type II Error Probabilities in the Courtroom," MPRA Paper, University Library of Munich, Germany, number 100217.
  10. Anders Bredahl Kock & David Preinerstorfer & Bezirgen Veliyev, 2020, "Functional Sequential Treatment Allocation with Covariates," Papers, arXiv.org, number 2001.10996, Jan.
  11. Anders Bredahl Kock & David Preinerstorfer & Bezirgen Veliyev, 2020, "Treatment recommendation with distributional targets," Papers, arXiv.org, number 2005.09717, May, revised Apr 2022.
  12. Mogens Fosgerau & Dennis Kristensen, 2020, "Identification of a class of index models: A topological approach," Papers, arXiv.org, number 2004.07900, Apr.
  13. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2020, "An Introduction To Bootstrap Theory In Time Series Econometrics," Discussion Papers, University of Copenhagen. Department of Economics, number 20-02, Dec.
  14. van der Wel, M., 2020, "Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein," ERIM Inaugural Address Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam., number 124748, Jan.
  15. Valentin Courgeau & Almut E. D. Veraart, 2020, "High-frequency Estimation of the L\'evy-driven Graph Ornstein-Uhlenbeck process," Papers, arXiv.org, number 2008.10930, Aug, revised Jul 2022.
  16. Carlos Vladimir Rodríguez-Caballero & J. Eduardo Vera-Valdés, 2020, "Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2020-15, Dec.
  17. J. Eduardo Vera-Valdés, 2020, "Temperature Anomalies, Long Memory, and Aggregation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2020-16, Dec.
  18. A. Fronzetti Colladon & S. Grassi & F. Ravazzolo & F. Violante, 2020, "Forecasting financial markets with semantic network analysis in the COVID-19 crisis," Papers, arXiv.org, number 2009.04975, Sep, revised Jul 2023.

2019

  1. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2019, "Cross-Sectional Dispersion of Risk in Trading Time," NBER Working Papers, National Bureau of Economic Research, Inc, number 26329, Sep.
  2. Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019, "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-04, Mar.
  3. Daniel Borup & Erik Christian Montes Schütte, 2019, "In search of a job: Forecasting employment growth using Google Trends," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-13, Aug.
  4. Kim Christensen & Charlotte Christiansen & Anders M. Posselt, 2019, "The Economic Value of VIX ETPs," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-14, Sep.
  5. Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman, 2019, "Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-21, Nov.
  6. Matias D. Cattaneo & Michael Jansson, 2019, "Average Density Estimators: Efficiency and Bootstrap Consistency," Papers, arXiv.org, number 1904.09372, Apr, revised Dec 2020.
  7. Matias D. Cattaneo & Michael Jansson & Xinwei Ma, 2019, "lpdensity: Local Polynomial Density Estimation and Inference," Papers, arXiv.org, number 1906.06529, Jun, revised Feb 2021.
  8. Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019, "The analysis of marked and weighted empirical processes of estimated residuals," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-06, Apr.
  9. Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019, "Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-12, May.
  10. Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019, "Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-15, Sep.
  11. Roman Frydman & Soeren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2019, "The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes," Discussion Papers, University of Copenhagen. Department of Economics, number 19-02, Feb.
  12. Roman Frydman & Soren Johansen & Anders Rahbek & Morten Tabor, 2019, "The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes," Working Papers Series, Institute for New Economic Thinking, number 92, Feb, DOI: 10.2139/ssrn.3346766.
  13. Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2019, "Demand and Welfare Analysis in Discrete Choice Models with Social Interactions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-09, Apr.
  14. Dennis Kristensen & Young Jun Lee, 2019, "Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models," Papers, arXiv.org, number 1904.05209, Apr, revised Jul 2025.
  15. Dennis Kristensen & Patrick K. Mogensen & Jong Myun Moon & Bertel Schjerning, 2019, "Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods," Papers, arXiv.org, number 1904.05232, Apr, revised Feb 2020.
  16. Simon Hetland & Rasmus Søndergaard Pedersen & Anders Rahbek, 2019, "Dynamic Conditional Eigenvalue GARCH," Discussion Papers, University of Copenhagen. Department of Economics, number 19-13, Dec.
  17. Giuseppe Cavaliere & Anders Rahbek, 2019, "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers, University of Copenhagen. Department of Economics, number 19-03, Apr.
  18. Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2019, "Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-17, Nov.
  19. Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019, "Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-18, Nov.
  20. Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019, "Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2019-19, Nov.

2018

  1. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018, "The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-02, Jan.
  2. Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018, "Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-03, Jan.
  3. Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018, "Option Panels in Pure-Jump Settings," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-04, Jan.
  4. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2018, "Time-Varying Periodicity in Intraday Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-05, Jan.
  5. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018, "Short-Term Market Risks Implied by Weekly Options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-08, Jan.
  6. Torben G. Andersen & Rasmus T. Varneskov, 2018, "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-09, Feb.
  7. Pedersen, Lasse Heje & Bollerslev, Tim & Hood, Benjamin & Huss, John, 2018, "Risk Everywhere: Modeling and Managing Volatility," CEPR Discussion Papers, Centre for Economic Policy Research, number 12687, Feb.
  8. Charlotte Christiansen & Niels S. Grønborg & Ole L. Nielsen, 2018, "Mutual Fund Selection for Realistically Short Samples," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-36, Dec.
  9. Tom Engsted, 2018, "Frekvensbaserede versus bayesianske metoder i empirisk økonomi," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2018-07, Aug.
  10. Tom Engsted & Thomas Q. Pedersen, 2018, "Disappearing money illusion," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-24, Aug.
  11. Niels Haldrup & Carsten P. T. Rosenskjold, 2018, "A Parametric Factor Model of the Term Structure of Mortality," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-06, Jan.
  12. Tae-Hwy Lee & Eric Hillebrand & Huiyu Huang & Canlin Li, 2018, "Using the Entire Yield Curve in Forecasting Output and Inflation," Working Papers, University of California at Riverside, Department of Economics, number 201903, Aug.
  13. Riccardo Borghi & Eric Hillebrand & Jakob Mikkelsen & Giovanni Urga, 2018, "The dynamics of factor loadings in the cross-section of returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-38, Dec.
  14. Matias D. Cattaneo & Michael Jansson & Xinwei Ma, 2018, "Two-Step Estimation and Inference with Possibly Many Included Covariates," Papers, arXiv.org, number 1807.10100, Jul.
  15. Matias D. Cattaneo & Michael Jansson & Xinwei Ma, 2018, "Simple Local Polynomial Density Estimators," Papers, arXiv.org, number 1811.11512, Nov, revised Jun 2019.
  16. Søren Johansen & Morten Ørregaard Nielsen, 2018, "Nonstationary cointegration in the fractionally cointegrated VAR model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-17, May.
  17. Soeren Johansen, 2018, "Cointegration and adjustment in the infinite order CVAR representation of some partially observed CVAR(1) models," Discussion Papers, University of Copenhagen. Department of Economics, number 18-05, May.
  18. Bhattacharya, D. & Dupas, P. & Kanaya, S., 2018, "Demand and Welfare Analysis in Discrete Choice Models under Social Interactions," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1885, Apr.
  19. Anders Bredahl Kock & David Preinerstorfer & Bezirgen Veliyev, 2018, "Functional Sequential Treatment Allocation," Papers, arXiv.org, number 1812.09408, Dec, revised Aug 2020.
  20. Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018, "Diffusion Copulas: Identification and Estimation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-20, Aug.
  21. Dominique Guegan & Kruse-Becher Robin & Hans-Jörg Mettenheim, Von & Wegener Christoph, 2018, "Measuring risk an explosive environment," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01896907, Sep.
  22. Giuseppe Cavaliere & Heino Bohn Nielsen & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018, "Bootstrap Inference On The Boundary Of The Parameter Space With Application To Conditional Volatility Models," Discussion Papers, University of Copenhagen. Department of Economics, number 18-10, Nov.
  23. Erik Christian Montes Schütte, 2018, "In Search of a Job: Forecasting Employment Growth in the US using Google Trends," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-25, Aug.
  24. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018, "Models with Multiplicative Decomposition of Conditional Variances and Correlations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-14, Apr.
  25. Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2018, "The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-15, Apr.
  26. Stan Hurn & Nicholas Johnson & Annastiina Silvennoinen & Timo Teräsvirta, 2018, "Transition from the Taylor rule to the zero lower bound," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-31, Nov.
  27. Max Ole Liemen & Michel van der Wel & Olaf Posch, 2018, "Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data," 2018 Meeting Papers, Society for Economic Dynamics, number 1049.
  28. J. Eduardo Vera-Vald'es, 2018, "Nonfractional Memory: Filtering, Antipersistence, and Forecasting," Papers, arXiv.org, number 1801.06677, Jan.
  29. Tue Gørgens & Allan H. Würtz, 2018, "Threshold regression with endogeneity for short panels," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-27, Nov.

2017

  1. Andersen, Torben G. & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2017, "Volatility, information feedback and market microstructure noise: A tale of two regimes," CFS Working Paper Series, Center for Financial Studies (CFS), number 569.
  2. Daniel Borup & Martin Thyrsgaard, 2017, "Statistical tests for equal predictive ability across multiple forecasting methods," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-19, May.
  3. Leopoldo Catania & Stefano Grassi, 2017, "Modelling Crypto-Currencies Financial Time-Series," CEIS Research Paper, Tor Vergata University, CEIS, number 417, Dec, revised 11 Dec 2017.
  4. Nektarios Aslanidis & Charlotte Christiansen & Andrea Cipollini, 2017, "Predicting Bond Betas using Macro-Finance Variables," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-01, Jan.
  5. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang, 2017, "Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-34, Oct.
  6. Nektarios Aslanidis & Charlotte Christiansen, 2017, "Flight to Safety from European Stock Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-38, Nov.
  7. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2017, "Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-12, Mar.
  8. Dahl, Christian M. & Huber, Martin & Mellace, Giovanni, 2017, "It's never too LATE: A new look at local average treatment effects with or without defiers," Discussion Papers on Economics, University of Southern Denmark, Department of Economics, number 2/2017, Feb.
  9. Knapik, Oskar & Exterkate, Peter, 2017, "A regime-switching stochastic volatility model for forecasting electricity prices," Working Papers, University of Sydney, School of Economics, number 2017-02, Feb.
  10. Tommaso Proietti & Niels Haldrup & Oskar Knapik, 2017, "Spikes and memory in (Nord Pool) electricity price spot prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-39, Nov.
  11. Matias D. Cattaneo & Michael Jansson & Kenichi Nagasawa, 2017, "Bootstrap-Based Inference for Cube Root Consistent Estimators," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-18, May.
  12. Matias D. Cattaneo & Michael Jansson & Kenichi Nagasawa, 2017, "Bootstrap-Based Inference for Cube Root Asymptotics," Papers, arXiv.org, number 1704.08066, Apr, revised May 2020.
  13. Michael Jansson & Demian Pouzo, 2017, "Towards a General Large Sample Theory for Regularized Estimators," Papers, arXiv.org, number 1712.07248, Dec, revised Jul 2020.
  14. Søren Johansen & Morten Nyboe Tabor, 2017, "Cointegration between trends and their estimators in state space models and CVAR models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-11, Mar.
  15. Lukasz Gatarek & Søren Johansen, 2017, "The role of cointegration for optimal hedging with heteroscedastic error term," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-12, Mar.
  16. Massimo Franchi & Søren Johansen, 2017, "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-17, Apr.
  17. Roman Frydman & Søren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2017, "The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-23, Jun.
  18. Søren Johansen & Morten Ørregaard Nielsen, 2017, "Testing the CVAR in the fractional CVAR model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-37, Nov.
  19. Kanaya, S. & Bhattacharya, D., 2017, "Uniform Convergence of Smoothed Distribution Functions with an Application to Delta Method for the Lorenz Curve," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1760, Dec.
  20. Anders Bredahl Kock & Martin Thyrsgaard, 2017, "Optimal sequential treatment allocation," Papers, arXiv.org, number 1705.09952, May, revised Aug 2018.
  21. Anders Bredahl Kock & David Preinerstorfer, 2017, "Power in High-dimensional testing Problems," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2017-42, Nov.
  22. Richard Blundell & Dennis Kristensen & Rosa Matzkin, 2017, "Individual counterfactuals with multidimensional unobserved heterogeneity," CeMMAP working papers, Institute for Fiscal Studies, number 60/17, Dec, DOI: 10.1920/wp.cem.2017.6017.
  23. Tobias Basse & Robinson Kruse & Christoph Wegener, 2017, "The Walking Debt Crisis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-06, Jan.
  24. Thomas Quistgaard Pedersen & Erik Christian Montes Schütte, 2017, "Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-09, Feb.
  25. Rasmus Soendergaard Pedersen & Anders Rahbek, 2017, "Testing Garch-X Type Models," Discussion Papers, University of Copenhagen. Department of Economics, number 17-15, Aug.
  26. Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017, "Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-10, Mar.
  27. Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017, "Variance swap payoffs, risk premia and extreme market conditions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-21, May.
  28. Timo Teräsvirta, 2017, "Sir Clive Granger's contributions to nonlinear time series and econometrics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-04, Jan.
  29. Matthew T. Holt & Timo Teräsvirta, 2017, "Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-05, Jan.
  30. Annastiina Silvennoinen & Timo Teräsvirta, 2017, "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-28, Aug.
  31. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017, "Modelling and forecasting WIG20 daily returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-29, Aug.
  32. Timo Teräsvirta, 2017, "Nonlinear models in macroeconometrics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-32, Sep.
  33. Andrés González & Timo Teräsvirta & Dick van Dijk & Yukai Yang, 2017, "Panel Smooth Transition Regression Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-36, Oct.
  34. J. Eduardo Vera-Vald'es, 2017, "On Long Memory Origins and Forecast Horizons," Papers, arXiv.org, number 1712.08057, Dec.
  35. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2017, "A Non-Structural Investigation of VIX Risk Neutral Density," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2017-15, Apr.

2016

  1. Girum D. Abate & Luc Anselin, 2016, "House price fluctuations and the business cycle dynamics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-06, Jan.
  2. Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna Obizhaeva, 2016, "Intraday Trading Invariance in the E-mini S&P 500 Futures Market," Working Papers, New Economic School (NES), number w0229, Mar.
  3. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016, "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-10, Apr.
  4. Tim Bollerslev & Jia Li & Yuan Xue, 2016, "Volume, Volatility and Public News Announcements," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-19, Jun.
  5. Richard Barnett & Joydeep Bhattacharya & Helle Bunzel, 2016, "Do the Joneses make you financially vulnerable?," School of Economics Working Paper Series, LeBow College of Business, Drexel University, number 2016-11, Aug.
  6. Richard Barnett & Joydeep Bhattacharya & Helle Bunzel, 2016, "The Fight-or-Flight Response to the Joneses," School of Economics Working Paper Series, LeBow College of Business, Drexel University, number 2016-12, Aug.
  7. Mauro Bernardi & Leopoldo Catania, 2016, "Portfolio Optimisation Under Flexible Dynamic Dependence Modelling," Papers, arXiv.org, number 1601.05199, Jan.
  8. Leopoldo Catania, 2016, "Dynamic Adaptive Mixture Models," Papers, arXiv.org, number 1603.01308, Mar, revised Jan 2023.
  9. David Ardia & Kris Boudt & Leopoldo Catania, 2016, "Generalized Autoregressive Score Models in R: The GAS Package," Papers, arXiv.org, number 1609.02354, Sep.
  10. David Ardia & Kris Boudt & Leopoldo Catania, 2016, "Value-at-Risk Prediction in R with the GAS Package," Papers, arXiv.org, number 1611.06010, Nov.
  11. Leopoldo Catania & Anna Gloria Bill'e, 2016, "Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances," Papers, arXiv.org, number 1602.02542, Feb, revised Jan 2023.
  12. Leopoldo Catania & Nima Nonejad, 2016, "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers, arXiv.org, number 1605.00230, May, revised Nov 2016.
  13. Hossein Asgharian & Charlotte Christiansen & Rangan Gupta & Ai Jun Hou, 2016, "Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-29, Oct.
  14. Yoseph Yilma Getachew, 2016, "Credit Constraints, Growth and Inequality Dynamics," Working Papers, University of Pretoria, Department of Economics, number 201672, Oct.
  15. Tom Engsted & Thomas Q. Pedersen, 2016, "The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-11, Apr.
  16. Martin M. Andreasen & Tom Engsted & Stig V. Møller & Magnus Sander, 2016, "Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-26, Aug.
  17. Mayank Gupta & Jan Novotny, 2016, "The Dynamics of Value Comovement across Global Equity Markets," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp560, Mar.
  18. Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016, "A generalized exponential time series regression model for electricity prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-08, Mar.
  19. Søren Johansen & Bent Nielsen, 2016, "Tightness of M-estimators for multiple linear regression in time series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-18, May.
  20. Søren Johansen & Morten Ørregaard Nielsen, 2016, "The cointegrated vector autoregressive model with general deterministic terms," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-22, Jul.
  21. Søren Johansen & Bent Nielsen, 2016, "Tightness of M-estimators for multiple linear regression in time for multiple linear regression in time series," Discussion Papers, University of Copenhagen. Department of Economics, number 16-05, Jun.
  22. Shin Kanaya, 2016, "Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-24, Jul.
  23. Shin Kanaya, 2016, "Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," KIER Working Papers, Kyoto University, Institute of Economic Research, number 947, Aug.
  24. Federico A. Bugni & Mehmet Caner & Anders Bredahl Kock & Soumendra Lahiri, 2016, "Inference in partially identified models with many moment inequalities using Lasso," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-12, Apr.
  25. Michael Creel & Jiti Gao & Han Hong & Dennis Kristensen, 2016, "Bayesian Indirect Inference and the ABC of GMM," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/16.
  26. Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016, "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-01, Jan.
  27. Robinson Kruse & Christian Leschinski & Michael Will, 2016, "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-17, May.
  28. Lasse Bork & Stig V. Møller & Thomas Q. Pedersen, 2016, "A New Index of Housing Sentiment," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-32, Nov.
  29. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016, "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 6.
  30. Cavaliere, G & De Angelis, L & Rahbek, A & Taylor, AMR, 2016, "Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 17454, Aug.
  31. Didier Nibbering & Richard Paap & Michel van der Wel, 2016, "A Bayesian Infinite Hidden Markov Vector Autoregressive Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-107/III, Dec, revised 13 Oct 2017.
  32. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016, "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-20, Jun.

2015

  1. Girum D. Abate & Niels Haldrup, 2015, "Space-time modeling of electricity spot prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-22, May.
  2. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015, "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 21491, Aug.
  3. Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2015, "Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-02, Jan.
  4. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2015, "Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-14, Mar.
  5. Mauro Bernardi & Leopoldo Catania, 2015, "Switching-GAS Copula Models With Application to Systemic Risk," Papers, arXiv.org, number 1504.03733, Apr, revised Jan 2016.
  6. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015, "Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-10, Feb.
  7. Laurent Callot & Johannes Tang Kristensen, 2015, "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-069/III, Jun.
  8. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2015, "Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-15, Mar.
  9. Tom Engsted & Simon J. Hviid & Thomas Q. Pedersen, 2015, "Explosive bubbles in house prices? Evidence from the OECD countries," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-01, Jan.
  10. Yunus Emre Ergemen & Niels Haldrup & Carlos Vladimir Rodríguez-Caballero, 2015, "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-58, Dec.
  11. Niels Haldrup & J. Eduardo Vera-Valdés, 2015, "Long Memory, Fractional Integration, and Cross-Sectional Aggregation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-59, Dec.
  12. Eric Hillebrand & Søren Johansen & Torben Schmith, 2015, "Data Revisions And The Statistical Relation Of Global Mean Sea-Level And Temperature," Discussion Papers, University of Copenhagen. Department of Economics, number 15-09, Jun.
  13. Tommaso Proietti & Eric Hillebrand, 2015, "Seasonal Changes in Central England Temperatures," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-28, Jun.
  14. Lorenzo Boldrini & Eric Hillebrand, 2015, "The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-39, Aug.
  15. Lorenzo Boldrini & Eric Hillebrand, 2015, "Supervision in Factor Models Using a Large Number of Predictors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-38, Aug.
  16. Jakob Guldbæk Mikkelsen & Eric Hillebrand & Giovanni Urga, 2015, "Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-61, 12.
  17. Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2015, "Treatment Effects with Many Covariates and Heteroskedasticity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-31, Jul.
  18. Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2015, "Inference in Linear Regression Models with Many Covariates and Heteroskedasticity," Papers, arXiv.org, number 1507.02493, Jul, revised Jan 2017.
  19. Shin Kanaya, 2015, "Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-50, Nov.
  20. Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015, "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-11, Jan.
  21. Michael Creel & Dennis Kristensen, 2015, "On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 950.15, Jan, revised 27 Feb 2015.
  22. Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015, "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 112916.
  23. Demetrescu, Matei & Kruse, Robinson, 2015, "Testing heteroskedastic time series for normality," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 113221.
  24. Rasmus Søndergaard Pedersen & Anders Rahbek, 2015, "Nonstationary ARCH and GARCH with t-Distributed Innovations," Discussion Papers, University of Copenhagen. Department of Economics, number 15-07, Apr.
  25. Nina Munkholt Jakobsen & Michael Sørensen, 2015, "Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-33, Aug.
  26. Jean-Guy Simonato & Lars Stentoft, 2015, "Which pricing approach for options under GARCH with non-normal innovations?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-32, Jul.
  27. Annastiina Silvennoinen & Timo Teräsvirta, 2015, "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-47, Oct.
  28. Didier Nibbering & Richard Paap & Michel van der Wel, 2015, "What Do Professional Forecasters Actually Predict?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-095/III, Aug, revised 13 Oct 2017.
  29. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015, "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-13, Jan.
  30. Sait R. Ozturk & Michel van der Wel & Dick van Dijk, 2015, "Why do Pit-Hours outlive the Pit?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 15-082/III, Jul.
  31. Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015, "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-09, Jan.
  32. Christian M. Hafner & Sebastien Laurent & Francesco Violante, 2015, "Weak diffusion limits of dynamic conditional correlation models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-03, Jan.
  33. Maria Eugenia Sanin & Maria Mansanet-Bataller & Francesco Violante, 2015, "Understanding volatility dynamics in the EU-ETS market," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-04, Jan.
  34. Wei Wei & Denis Pelletier, 2015, "A Jump-Diffusion Model with Stochastic Volatility and Durations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-34, Aug.
  35. Asger Lunde & Anne Floor Brix & Wei Wei, 2015, "A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-46, Feb.

2014

  1. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2014, "The Risk Premia Embedded in Index Options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-56, Dec.
  2. Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014, "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-48, Dec.
  3. Tim Bollerslev & Viktor Todorov & Lai Xu, 2014, "Tail Risk Premia and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-49, Sep.
  4. Mauro Bernardi & Leopoldo Catania, 2014, "The Model Confidence Set package for R," Papers, arXiv.org, number 1410.8504, Oct.
  5. Mauro Bernardi & Leopoldo Catania & Lea Petrella, 2014, "Are news important to predict large losses?," Papers, arXiv.org, number 1410.6898, Oct, revised Oct 2014.
  6. Laurent Callot & Johannes Tang Kristensen, 2014, "Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-41, Nov.
  7. Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2014, "Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-42, Nov.
  8. Laurent Callot & Niels Haldrup & Malene Kallestrup Lamb, 2014, "Deterministic and stochastic trends in the Lee-Carter mortality model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-44, Nov.
  9. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2014, "Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-13, Apr.
  10. Nektarios Aslanidis & Charlotte Christiansen & Neophytos Lambertides & Christos S. Savva, 2014, "Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-45, Nov.
  11. Tom Engsted, 2014, "Fama on bubbles," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-28, Aug.
  12. Niels Haldrup & Robinson Kruse, 2014, "Discriminating between fractional integration and spurious long memory," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-19, Jun.
  13. Manuel Lukas & Eric Hillebrand, 2014, "Bagging Weak Predictors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-01, Jan.
  14. Tae-Hwy Lee & Eric Hillebrand & Marcelo Medeiros, 2014, "Bagging Constrained Equity Premium Predictors," Working Papers, University of California at Riverside, Department of Economics, number 201421, Sep, revised Feb 2013.
  15. Matias D. Cattaneo & Michael Jansson, 2014, "Bootstrapping Kernel-Based Semiparametric Estimators," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-25, Jul.
  16. Søren Johansen, 2014, "Times Series: Cointegration," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-38, Oct.
  17. Søren Johansen & Bent Nielsen, 2014, "Outlier detection algorithms for least squares time series regression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-39, Sep.
  18. Søren Johansen & Lukasz Gatarek, 2014, "Optimal hedging with the cointegrated vector autoregressive model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-40, Sep.
  19. Lukasz Gatarek & Søren Johansen, 2014, "Optimal Hedging with the Vector Autoregressive Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-022/III, Feb.
  20. Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2014, "Are University Admissions Academically Fair?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-06, Feb.
  21. Mehmet Caner & Anders Bredahl Kock, 2014, "Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-36, Oct.
  22. Anders Bredahl Kock & Haihan Tang, 2014, "Inference in High-dimensional Dynamic Panel Data Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-58, Dec.
  23. Michael Creel & Dennis Kristensen, 2014, "ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-30, Aug.
  24. Mogens Bladt & Samuel Finch & Michael Sørensen, 2014, "Simulation of multivariate diffusion bridges," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-16, May.
  25. Paul Catani & Timo Teräsvirta & Meiqun Yin, 2014, "A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-03, Jan.
  26. Timo Teräsvirta & Yukai Yang, 2014, "Linearity and Misspecification Tests for Vector Smooth Transition Regression Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-04, Feb.
  27. Timo Teräsvirta & Yukai Yang, 2014, "Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-08, Mar.
  28. A.S. Hurn & Annastiina Silvennoinen & Timo Teräsvirta, 2014, "A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2014-09, Mar.
  29. Dick van Dijk & Robin L. Lumsdaine & Michel van der Wel, 2014, "Market Set-Up in Advance of Federal Reserve Policy Decisions," NBER Working Papers, National Bureau of Economic Research, Inc, number 19814, Jan.
  30. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014, "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-090/III, Jul.
  31. Sait Ozturk & Michel van der Wel, 2014, "Intraday Price Discovery in Fragmented Markets," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-027/III, Feb.
  32. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2014, "Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data," CESifo Working Paper Series, CESifo, number 5030.
  33. Barndorff-Nielsen, Ole E. & Lunde, Asger & Shephard, Neil & Veraart, Almut E.D., 2014, "Integer-valued trawl processes: A class of stationary infinitely divisible processes," Scholarly Articles, Harvard University Department of Economics, number 34650304.

2013

  1. Torben G. Andersen & Oleg Bondarenko, 2013, "Reflecting on the VPIN Dispute," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-42, Apr.
  2. Torben G. Andersen & Oleg Bondarenko, 2013, "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-43, 11.
  3. Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen, 2013, "The Fine Structure of Equity-Index Option Dynamics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-52, Jan.
  4. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2013, "A robust neighborhood truncation approach to estimation of integrated quarticity," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1078.
  5. Barnett, Richard C. & Bhattacharya, Joydeep & Bunzel, Helle, 2013, "Deviant Generations, Ricardian Equivalence, and Growth Cycles," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 12939, Jan.
  6. Nordman, Daniel J. & Bunzel, Helle & Lahiri, Soumendra N., 2013, "A Nonstandard Empirical Likelihood for Time Series," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 37203, Dec.
  7. Barnett, Richard C. & Bhattacharya, Joydeep & Bunzel, Helle, 2013, "Voting for income-immiserizing redistribution in the Meltzer-Richard model," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 36600, Sep.
  8. Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller, 2013, "Forecasting US Recessions: The Role of Sentiments," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-14, 04.
  9. Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2013, "Risk-Return Trade-Off for European Stock Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-31, Jul.
  10. Charlotte Christiansen, 2013, "Classifying Returns as Extreme: European Stock and Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-37, Nov.
  11. Georgios Effraimidis & Christian M. Dahl, 2013, "Nonparametric Estimation of Cumulative Incidence Functions for Competing Risks Data with Missing Cause of Failure," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-50, 12.
  12. Tom Engsted & Thomas Q. Pedersen, 2013, "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-04, 02.
  13. Tom Engsted & Stig V. Møller & Magnus Sander, 2013, "Bond return predictability in expansions and recessions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-13, 04.
  14. Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2013, "Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-16, 05.
  15. Søren Johansen & Bent Nielsen, 2013, "Asymptotic analysis of the Forward Search," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-05, Oct.
  16. Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2013, "Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-06, 02.
  17. Jiti Gao & Shin Kanaya & Degui Li & Dag Tjøstheim, 2013, "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-29, Nov.
  18. Anders Bredahl Kock, 2013, "Oracle inequalities for high-dimensional panel data models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-20, Dec.
  19. Malene Kallestrup-Lamb & Anders Bredahl Kock & Johannes Tang Kristensen, 2013, "Lassoing the Determinants of Retirement," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-21, 06.
  20. Mehmet Caner & Anders Bredahl Kock, 2013, "Oracle Inequalities for Convex Loss Functions with Non-Linear Targets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-51, Dec.
  21. Michael Creel & Dennis Kristensen, 2013, "Indirect Likelihood Inference (revised)," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 931.13, Jun.
  22. Dennis Kristensen & Bernard Salanie, 2013, "Higher-order properties of approximate estimators," CeMMAP working papers, Institute for Fiscal Studies, number 45/13, Sep, DOI: 10.1920/wp.cem.2013.4513.
  23. Hendrik Kaufmannz & Robinson Kruse, 2013, "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-10, 04.
  24. Robinson Kruse & Daniel Ventosa-Santaulària & Antonio E. Noriega, 2013, "Changes in persistence, spurious regressions and the Fisher hypothesis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-11, Nov.
  25. Bent Jesper Christensen & Robinson Kruse & Philipp Sibbertsen, 2013, "A unified framework for testing in the linear regression model under unknown order of fractional integration," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-35, 05.
  26. Johannes Tang Kristensen, 2013, "Diffusion Indexes with Sparse Loadings," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-22, Mar.
  27. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013, "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers, University of Copenhagen. Department of Economics, number 13-13, Nov.
  28. Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A.M.Robert Taylor, 2013, "A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 4.
  29. Maxence Soumare & J{o}rgen Vitting Andersen & Francis Bouchard & Alain Elkaim & Dominique Gu'egan & Justin Leroux & Michel Miniconi & Lars Stentoft, 2013, "A theoretical framework for trading experiments," Papers, arXiv.org, number 1306.2073, Jun.
  30. Kirstin Hubrich & Timo Teräsvirta, 2013, "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-18, Jun.
  31. Kappler, Marcus & Schleer, Frauke & Semmler, Willi & Teräsvirta, Timo & Winker, Peter, 2013, "Financial sector and output dynamics in the euro area countries," ZEW policy briefs, ZEW - Leibniz Centre for European Economic Research, number 9/2013.
  32. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2013, "Predicting Covariance Matrices with Financial Conditions Indexes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-113/III, Aug.
  33. Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel, 2013, "Economic Valuation of Liquidity Timing," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 13-156/IV/DSF64, Oct.
  34. Almut E. D. Veraart & Luitgard A. M. Veraart, 2013, "Risk premia in energy markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-02, Jan.
  35. Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2013, "Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes," Papers, arXiv.org, number 1307.6332, Jul.

2012

  1. Tim Bollerslev & Lai Xu & Hao Zhou, 2012, "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-51, Nov.
  2. Richard Barnett & Joydeep Bhattacharya & Helle Bunzel, 2012, "Voting for immiserizing income redistribution in the Meltzer-Richard model," School of Economics Working Paper Series, LeBow College of Business, Drexel University, number 2012-15, Nov.
  3. Anders Bredahl Kock & Laurent A.F. Callot, 2012, "Oracle Inequalities for High Dimensional Vector Autoregressions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-16, 04.
  4. Anders Bredahl Kock & Laurent A.F. Callot, 2012, "Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-38, Jan.
  5. Charlotte Christiansen, 2012, "Integration of European Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-33, Jul.
  6. Nektarios Aslanidis & Charlotte Christiansen, 2012, "Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-34, Jul.
  7. Matt P. Dziubinski, 2012, "Conditionally-uniform Feasible Grid Search Algorithm," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-03, Jan.
  8. Christian Bach & Matt P. Dziubinski, 2012, "Commodity derivatives pricing with inventory effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-06, Feb.
  9. Matt P. Dziubinski & Stefano Grassi, 2012, "Heterogeneous Computing in Economics: A Simplified Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-15, Apr.
  10. Tom Engsted & Thomas Q. Pedersen, 2012, "Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-58, Dec.
  11. Peter Exterkate, 2012, "Model Selection in Kernel Ridge Regression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-10, Feb.
  12. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012, "Unit roots, nonlinearities and structural breaks," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-14, Apr.
    • Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013, "Unit roots, non-linearities and structural breaks," Chapters, Edward Elgar Publishing, chapter 4, in: Nigar Hashimzade & Michael A. Thornton, "Handbook of Research Methods and Applications in Empirical Macroeconomics".
  13. Eric Hillebrand & Marcelo C. Medeiros, 2012, "Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-30, Jun.
  14. Eric Hillebrand & Tae-Hwy Lee, 2012, "Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-18, 04.
  15. Eric Hillebrand & Marcelo C. Medeiros & Junyue Xu, 2012, "Asymptotic Theory for Regressions with Smoothly Changing Parameters," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-31, Jun.
  16. Mihaela Craioveanu & Eric Hillebrand, 2012, "Why It Is Ok To Use The Har-Rv(1,5,21) Model," Working Papers, University of Central Missouri, Department of Economics & Finance, number 1201, Aug, revised Aug 2012.
  17. Eric Hillebrand & Tae-Hwy Lee & Marcelo C. Medeiros, 2012, "Let's Do It Again: Bagging Equity Premium Predictors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-41, Sep.
  18. Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2012, "Alternative Asymptotics and the Partially Linear Model with Many Regressors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-02, Jan.
  19. H. Peter Boswijk & Michael Jansson & Morten Ørregaard Nielsen, 2012, "Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-39, 09.
  20. Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012, "The Selection of ARIMA Models with or without Regressors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-46, Nov.
  21. Søren Johansen & Morten Ørregaard Nielsen, 2012, "The role of initial values in nonstationary fractional time series models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-47, Nov.
  22. Johansen, SÃÿren & ßrregaard Nielsen, Morten, 2012, "The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274620, Nov, DOI: 10.22004/ag.econ.274620.
  23. David Hendry & Soren Johansen, 2012, "Model Discovery and Trygve Haavelmo's Legacy," Economics Series Working Papers, University of Oxford, Department of Economics, number 598, Mar.
  24. Anders Bredahl Kock, 2012, "On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-05, Feb.
  25. Heejoon Han & Dennis Kristensen, 2012, "Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-25, May.
  26. Matei Demetrescu & Robinson Kruse, 2012, "The Power of Unit Root Tests Against Nonlinear Local Alternatives," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-01, Jan.
  27. Hendrik Kaufmann & Robinson Kruse & Philipp Sibbertsen, 2012, "On tests for linearity against STAR models with deterministic trends," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-20, May.
  28. Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012, "A simple specification procedure for the transition function in persistent nonlinear time series models," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-500, Jul.
  29. Johannes Tang Kristensen, 2012, "Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-28, Jun.
  30. Robert F. Engle & Martin Klint Hansen & Asger Lunde, 2012, "And Now, The Rest of the News: Volatility and Firm Specific News Arrival," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-56, Dec.
  31. Rasmus Søndergaard Pedersen & Anders Rahbek, 2012, "Multivariate Variance Targeting in the BEKK-GARCH Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-53, Nov.
  32. Anders Rahbek & Heino Bohn Nielsen, 2012, "Unit Root Vector Autoregression with volatility Induced Stationarity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-29, Jun.
  33. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2012, "Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models," Discussion Papers, University of Copenhagen. Department of Economics, number 12-11, Aug.
  34. Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012, "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-04, Jan.
  35. M. Martin Boyer & Lars Stentoft, 2012, "If we can simulate it, we can insure it: An application to longevity risk management," CIRANO Working Papers, CIRANO, number 2012s-08, Apr.
  36. Cristina Amado & Timo Teräsvirta, 2012, "Modelling Changes in the Unconditional Variance of Long Stock Return Series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-07, 02.
  37. Annastiina Silvennoinen & Timo Teräsvirta, 2012, "Modelling conditional correlations of asset returns: A smooth transition approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-09, 02.
  38. Matthew T. Holt & Timo Teräsvirta, 2012, "Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-54, Nov.
  39. Peter Reinhard HANSEN & Allan TIMMERMANN, 2012, "Choice of Sample Split in Out-of-Sample Forecast Evaluation," Economics Working Papers, European University Institute, number ECO2012/10.
  40. Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor, 2012, "On the Effects of Private Information on Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-08, 02.
  41. Lei Pan & Olaf Posch & Michel van der Wel, 2012, "Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-26, May.
  42. Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright, 2012, "Forecasting Interest Rates with Shifting Endpoints," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-076/4, Jul.
  43. Almut E. D. Veraart & Luitgard A. M. Veraart, 2012, "Modelling electricity day–ahead prices by multivariate Lévy semistationary processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-13, Mar.
  44. BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco, 2012, "Dynamic conditional correlation models for realized covariance matrices," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012060, Dec.
  45. LAURENT, Sébastien & VIOLANTE, Francesco, 2012, "Volatility forecasts evaluation and comparison," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2414, Jan, DOI: 10.1002/wics.190.

2011

  1. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011, "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-23, May.
  2. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011, "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-37, Nov.
  3. Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2011, "Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-49, Nov.
  4. Torben G. Andersen & Oleg Bondarenko, 2011, "VPIN and the Flash Crash," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-50, Oct.
  5. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2011, "Parametric Inference and Dynamic State Recovery from Option Panels," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-11, May.
  6. Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011, "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-51, Dec.
  7. Tim Bollerslev & James Marrone & Lai Xu & Hao Zhou, 2011, "Stock return predictability and variance risk premia: statistical inference and international evidence," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-52.
  8. Charlotte Christiansen, 2011, "Predicting Severe Simultaneous Recessions Using Yield Spreads as Leading Indicators," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-20, May.
  9. Aslanidis, Nektarios & Christiansen, Charlotte, 2011, "Quantiles of the Realized Stock-Bond Correlation," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/151809.
  10. Christian M. Dahl & Daniel le Maire & Jakob R. Munch, 2011, "Wage Dispersion and Decentralization of Wage Bargaining," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-48, Nov.
  11. Matt P. Dziubinski, 2011, "Option valuation with the simplified component GARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-09, May.
  12. Tom Engsted & Stig V. Møller, 2011, "Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-07, Feb.
  13. Tom Engsted & Thomas Q. Pedersen, 2011, "Bias-correction in vector autoregressive models: A simulation study," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-18, May.
  14. Peter Exterkate, 2011, "Modelling Issues in Kernel Ridge Regression," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-138/4, Sep.
  15. Christophe Croux & Peter Exterkate, 2011, "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-122/4, Aug.
  16. Eric Hillebrand & Huiyu Huang & Tae-Hwy Lee & Canlin Li, 2011, "Using the Yield Curve in Forecasting Output Growth and In?flation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-17, 12.
  17. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2011, "Generalized Jackknife Estimators of Weighted Average Derivatives," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-12, Apr.
  18. Søren Johansen, 2011, "An extension of cointegration to fractional autoregressive processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-06, Jan.
  19. Søren Johansen & Theis Lange, 2011, "Some econometric results for the Blanchard-Watson bubble model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-17, May.
  20. David F. Hendry & Søren Johansen, 2011, "The Properties of Model Selection when Retaining Theory Variables," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-36, Oct.
  21. Torben Schmith & Søren Johansen & Peter Thejll, 2011, "Statistical analysis of global surface air temperature and sea level using cointegration methods," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-39, Oct.
  22. Søren Johansen & Bent Nielsen, 2011, "Asymptotic theory for iterated one-step Huber-skip estimators," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-40, Nov.
  23. Shin Kanaya & Taisuke Otsu, 2011, "Large Deviations of Realized Volatility," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1798, May.
  24. Anders Bredahl Kock & Timo Teräsvirta, 2011, "Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-27, Aug.
  25. Anders Bredahl Kock & Timo Teräsvirta, 2011, "Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-28, Aug.
  26. Dennis Kristensen, 2011, "Nonparametric Detection and Estimation of Structural Change," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-13, Apr.
  27. Michael Creel & Dennis Kristensen, 2011, "Indirect likelihood inference," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 874.11, May.
  28. Richard Blundell & Dennis Kristensen & Rosa Matzkin, 2011, "Bounding quantile demand functions using revealed preference inequalities," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP21/11, Jun.
  29. Pierre-Andre Chiappori & Ivana Komunjer & Dennis Kristensen, 2011, "Nonparametric Identification and Estimation of Transformation Models," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, number 2011-01, Jan.
  30. M. Fr Mmel & R. Kruse, 2011, "Testing for a rational bubble under long memory," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 11/722, May.
  31. Mark Podolskij & Mathieu Rosenbaum, 2011, "Testing the local volatility assumption: a statistical approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-04, Jan.
  32. Kim Christensen & Roel Oomen & Mark Podolskij, 2011, "Fact or friction: Jumps at ultra high frequency," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-19, May.
  33. Kim Christensen & Mark Podolskij & Mathias Vetter, 2011, "On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-53, Dec.
  34. Kim Christensen & Mark Podolskij, 2011, "Asymptotic theory of range-based multipower variation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-47, Oct.
  35. Giuseppe Cavaliere & Anders Rahbek & Taylor A.M.Robert, 2011, "Bootstrap determination of the co-integration rank in VAR models," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 9.
  36. Michael Sørensen, 2011, "Prediction-based estimating functions: review and new developments," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-05, Jan.
  37. Lars Stentoft, 2011, "American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-34, Sep.
  38. Lars Stentoft, 2011, "What we can learn from pricing 139,879 Individual Stock Options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-52, Dec.
  39. M. Martin Boyer & Joanna Mejza & Lars Stentoft, 2011, "Measuring Longevity Risk for a Canadian Pension Fund," CIRANO Working Papers, CIRANO, number 2011s-43, Apr.
  40. Cristina Amado & Timo Teräsvirta, 2011, "Modelling Volatility by Variance Decomposition," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-01, Jan.
  41. Timo Teräsvirta, 2011, "Nonlinear models for autoregressive conditional heteroskedasticity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-02, Jan.
  42. Cristina Amado & Timo Teräsvirta, 2011, "Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-24, May.
  43. Timmermann, Allan & Patton, Andrew, 2011, "Forecast Rationality Tests Based on Multi-Horizon Bounds," CEPR Discussion Papers, Centre for Economic Policy Research, number 8194, Jan.
  44. Timmermann, Allan & Ang, Andrew, 2011, "Regime Changes and Financial Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 8480, Jul.
  45. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2011, "Estimating Dynamic Equilibrium Models using Macro and Financial Data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-21, Jun.
  46. B. Jungbacker & S.J. Koopman & M. van Der Wel, 2011, "Maximum likelihood estimation for dynamic factor models with missing data," Post-Print, HAL, number hal-00828980, Jun, DOI: 10.1016/j.jedc.2011.03.009.
  47. Siem Jan Koopman & Michel van der Wel, 2011, "Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-063/4, Apr.
  48. Roxana Halbleib & Valeri Voev, 2011, "Forecasting Covariance Matrices: A Mixed Frequency Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-03, Jan.

2010

  1. Torben G. Andersen & Luca Benzoni, 2010, "Stochastic Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-10, Feb.
  2. Stefan Holst Bache, 2010, "Minimax Regression Quantiles," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-54, Aug.
  3. Tim Bollerslev & Viktor Todorov, 2010, "Estimation of Jump Tails," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-16, Apr.
  4. Tim Bollerslev & Viktor Todorov, 2010, "Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-64, Sep.
  5. Barnett, Richard C. & Bhattacharya, Joydeep & Bunzel, Helle, 2010, "Resurrecting Equilibria Through Cycles in an Overlapping Generations Model of Money," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 32099, Nov.
  6. Martin Paldam & Laurent Callot, 2010, "Natural funnel asymmetries. A simulation analysis of the three basic tools of meta analysis," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2010-01, Jan.
  7. Laurent A.F. Callot, 2010, "A Bootstrap Cointegration Rank Test for Panels of VAR Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-75, Dec.
  8. Nektarios Aslanidis & Charlotte Christiansen, 2010, "Smooth Transition Patterns in the Realized Stock Bond Correlation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-15, Apr.
  9. Charlotte Christiansen, 2010, "Intertemporal Risk-Return Trade-off in Foreign Exchange Rates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-20, May.
  10. Nektarios Aslanidis & Charlotte Christiansen, 2010, "Sign and Quantiles of the Realized Stock-Bond Correlation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-55, Aug.
  11. Charlotte Christiansen & Juanna Schröter Joensen & Jesper Rangvid, 2010, "The Effects of Marriage and Divorce on Financial Investments: Learning to Love or Hate Risk?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-57, Sep.
  12. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2010, "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-58, Sep.
  13. Christian M. Dahl & Hans Christian Kongsted & Anders Sørensen, 2010, "ICT and Productivity Growth in the 1990's: Panel Data Evidence on Europe," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-47, Aug.
  14. Christian M. Dahl & Emma M. Iglesias, 2010, "Asymptotic normality of the QMLE in the level-effect ARCH model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-48, Aug.
  15. Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010, "Pitfalls in VAR based return decompositions: A clarification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-09, Feb.
  16. Tom Engsted & Bent Nielsen, 2010, "Testing for rational bubbles in a co-explosive vector autoregression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-25, Jun.
  17. Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard, 2010, "The log-linear return approximation, bubbles, and predictability," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-37, Jul.
  18. Exterkate, P. & van Dijk, D.J.C. & Heij, C. & Groenen, P.J.F., 2010, "Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2010-06, Feb.
  19. Eric Hillebrand & Marcelo Cunha Medeiros, 2010, "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 578, Oct.
  20. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2010, "Bootstrapping Density-Weighted Average Derivatives," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-23, May.
  21. Søren Johansen & Bent Nielsen, 2010, "Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-06, Feb.
  22. Søren Johansen & Morten Ørregaard Nielsen, 2010, "Likelihood inference for a fractionally cointegrated vector autoregressive model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-24, May.
  23. Søren Johansen, 2010, "The analysis of nonstationary time series using regression, correlation and cointegration with an application to annual mean temperature and sea level," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-69, Oct.
  24. Søren Johansen & Morten Ørregaard Nielsen, 2010, "A necessary moment condition for the fractional functional central limit theorem," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-70, 10.
  25. Søren Johansen & Katarina Juselius, 2010, "An invariance property of the common trends under linear transformations of the data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-72, Oct.
  26. Shin Kanaya & Dennis Kristensen, 2010, "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-67, Jan.
  27. Anders Bredahl Kock & Timo Teräsvirta, 2010, "Forecasting with nonlinear time series models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-01, Jan.
  28. Anders Bredahl Kock, 2010, "Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-56, Sep.
  29. Dennis Kristensen, 2010, "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-43, Aug.
  30. Dennis Kristensen & Anders Rahbek, 2010, "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-68, Jan.
  31. Dennis Kristensen & Bernard Salanié, 2010, "Higher Order Improvements for Approximate Estimators," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, number 2010-04, Apr.
  32. Robinson Kruse, 2010, "On European monetary integration and the persistence of real effective exchange rates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-26, Mar.
  33. Robinson Kruse & Sanne Hiller, 2010, "Milestones of European Integration: Which matters most for Export Openness?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-27, Jul.
  34. Robinson Kruse & Rickard Sandberg, 2010, "Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-36, Jul.
  35. Robinson Kruse & Philipp Sibbertsen, 2010, "Long memory and changing persistence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-42, Aug.
  36. Peter R. Hansen & Asger Lunde & Valeri Voev, 2010, "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-74, Nov.
  37. Peter R. Hansen & Asger Lunde, 2010, "Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-08, Feb.
  38. Peter R. Hansen & Asger Lunde & James M. Nason, 2010, "The Model Confidence Set," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-76, Mar.
  39. Thomas Q. Pedersen, 2010, "Predictable return distributions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-38, Jul.
  40. Ivan Nourdin & Giovanni Peccati & Mark Podolskij, 2010, "Quantitative Breuer-Major Theorems," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-22, May.
  41. Nikolaus Hautsch & Mark Podolskij, 2010, "Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-29, Jul.
  42. Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2010, "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-07, Feb.
  43. Fernando Baltazar-Larios & Michael Sørensen, 2010, "Maximum likelihood estimation for integrated diffusion processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-33, Aug.
  44. Mogens Bladt & Michael Sørensen, 2010, "Simple simulation of diffusion bridges with application to likelihood inference for diffusions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-32, Aug.
  45. Jeroen V.K. Rombouts & Lars Stentoft, 2010, "Multivariate Option Pricing with Time Varying Volatility and Correlations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-19, Apr.
  46. Jeroen V.K. Rombouts & Lars Stentoft, 2010, "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-44, Aug.
  47. Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010, "Forecast Combinations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-21, May.
  48. Timmermann, Allan & Aiolfi, Marco & Rodriguez, Marius, 2010, "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities and Predictability," CEPR Discussion Papers, Centre for Economic Policy Research, number 7656, Jan.
  49. Timmermann, Allan & Aiolfi, Marco & Catão, Luís, 2010, "Common Factors in Latin America?s Business Cycles," CEPR Discussion Papers, Centre for Economic Policy Research, number 7671, Jan.
  50. Blake, David & Tonks, Ian & Timmermann, Allan & Wermers, Russ, 2010, "Decentralized Investment Management: Evidence from the Pension Fund Industry," CEPR Discussion Papers, Centre for Economic Policy Research, number 7679, Feb.
  51. Kenny, Geoff & Genre, Véronique & Meyler, Aidan & Timmermann, Allan, 2010, "Combining the forecasts in the ECB survey of professional forecasters: can anything beat the simple average?," Working Paper Series, European Central Bank, number 1277, Dec.
  52. Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2010, "Ambit processes and stochastic partial differential equations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-17, Apr.
  53. Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2010, "Modelling energy spot prices by Lévy semistationary processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-18, Apr.
  54. Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2010, "Modelling electricity forward markets by ambit fields," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-41, Aug.
  55. Almut E. D. Veraart, 2010, "How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-65, Sep.
  56. LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco, 2010, "On the forecasting accuracy of multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2010025, May.
  57. Rasmus Tangsgaard Varneskov & Valeri Voev, 2010, "The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-45, Aug.
  58. Roxana Halbleib & Valerie Voev, 2010, "Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2010-041, Dec.
  59. Peter Sandholt Jensen & Allan H. Würtz, 2010, "Estimating the effect of a variable in a high-dimensional regression model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-73, Nov.

2009

  1. Torben G. Andersen & Viktor Todorov, 2009, "Realized Volatility and Multipower Variation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-49, May.
  2. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009, "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-52, Oct.
  3. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009, "Duration-Based Volatility Estimation," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-034, Mar.
  4. Tim Bollerslev & Natalia Sizova & George Tauchen, 2009, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-05, Feb.
  5. Tim Bollerslev & Viktor Todorov, 2009, "Tails, Fears and Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-26, Jun.
  6. Charlotte Christiansen & Angelo Ranaldo & Paul Söderllind, 2009, "The Time-Varying Systematic Risk of Carry Trade Strategies," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-15, Apr.
  7. Christian M. Dahl & Emma M. Iglesias, 2009, "Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-59, Oct.
  8. Tom Engsted, 2009, "Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-17, May.
  9. Tom Engsted & Thomas Q. Pedersen, 2009, "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-36, Jul.
  10. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2009, "Detection of additive outliers in seasonal time series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-40, Sep.
  11. Michael Jansson & Morten Ørregaard Nielsen, 2009, "Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-37, Aug.
  12. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2009, "Robust Data-Driven Inference for Density-Weighted Average Derivatives," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-46, Sep.
  13. Michael Jansson & Morten Ørregaard Nielsen, 2009, "Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-55, Nov.
  14. Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2009, "A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-01, Jan.
  15. Søren Johansen & Anders Rygh Swensen, 2009, "On a numerical and graphical technique for evaluating some models involving rational expectations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-19, May.
  16. Anders Bredahl Kock, 2009, "Forecasting with Universal Approximators and a Learning Algorithm," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-18, May.
  17. Dennis Kristensen & Andrew Ang, 2009, "Testing Conditional Factor Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-09, Mar.
  18. Dennis Kristensen & Antonio Mele, 2009, "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-14, Apr.
  19. Dennis Kristensen, 2009, "Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-41, Sep.
  20. Dennis Kristensen, 2009, "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-44, Sep.
  21. Michael Creel & Dennis Kristensen, 2009, "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 792.09, Nov.
  22. Michael Creel & Dennis Kristensen, 2009, "SNM Guide," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 793.09, Nov.
  23. Michael Frömmel & Robinson Kruse, 2009, "Interest rate convergence in the EMS prior to European Monetary Union," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-23, Jun.
  24. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2009, "What do we know about real exchange rate non-linearities?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-50, May.
  25. Florian Heinen & Philipp Sibbertsen & Robinson Kruse, 2009, "Forecasting long memory time series under a break in persistence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-53, Nov.
  26. Theis Lange, 2009, "First and second order non-linear cointegration models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-04, Feb.
  27. Anders Tolver Jensen & Theis Lange, 2009, "On IGARCH and convergence of the QMLE for misspecified GARCH models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-06, Feb.
  28. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009, "Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-037, Mar.
  29. Frank S. Nielsen, 2009, "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-38, Sep.
  30. Kim Christensen & Roel Oomen & Mark Podolskij, 2009, "Realised Quantile-Based Estimation of the Integrated Variance," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-27, May.
  31. Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2009, "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-45, Sep.
  32. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009, "Multipower Variation for Brownian Semistationary Processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-21, May.
  33. Mark Podolskij & Mathias Vetter, 2009, "Understanding limit theorems for semimartingales: a short survey," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-47, Oct.
  34. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2009, "Limit theorems for functionals of higher order differences of Brownian semi-stationary processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-60, Dec.
  35. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009, "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-22, May.
  36. Takamitsu Kurita & Heino Bohn Nielsen & Anders Rahbek, 2009, "An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-28, Jul.
  37. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2009, "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 09/02, Mar.
  38. Jeroen V.K. Rombouts & Lars Stentoft, 2009, "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-07, Feb.
  39. Andrés González & Kirstin Hubrich & Timo Teräsvirta, 2009, "Forecasting inflation with gradual regime shifts and exogenous information," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-03, Jan.
  40. Pesaran, M.H. & Pick, A. & Timmermann, A., 2009, "Variable Selection and Inference for Multi-period Forecasting Problems," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0901, Jan.
  41. Timmermann, Allan & Liu, Jun, 2009, "Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications," CEPR Discussion Papers, Centre for Economic Policy Research, number 7188, Mar.
  42. Banegas, Ayelen & Gillen, Ben & Timmermann, Allan & Wermers, Russ, 2009, "The performance of European equity mutual funds," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-03.
  43. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 2009, "Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-39, Sep.
  44. Albert J. Menkveld & Asani Sarkar & Michel Van der Wel, 2009, "Are market makers uninformed and passive? Signing trades in the absence of quotes," Staff Reports, Federal Reserve Bank of New York, number 395.
  45. B. Jungbacker & S.J. Koopman & M. van der Wel, 2009, "Dynamic Factor Analysis in The Presence of Missing Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-010/4, Feb, revised 11 Mar 2011.
  46. Almut E. D. Veraart & Luitgard A. M. Veraart, 2009, "Stochastic volatility and stochastic leverage," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-20, May.
  47. Ole E. Barndorff-Nielsen & Almut E. D. Veraart, 2009, "Stochastic volatility of volatility in continuous time," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-25, Jul.
  48. LAURENT, Sebastien & ROMBOUTS, Jeroen V.K. & VIOLANTE, FRANCESCO, 2009, "Consistent ranking of multivariate volatility models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009002, Jan.
  49. SANIN, Maria Eugenia & VIOLANTE, Francesco, 2009, "Understanding volatility dynamics in the EU-ETS market: lessons from the future," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2009024, Apr.
  50. Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2009, "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," Cahiers de recherche, CIRPEE, number 0948.
  51. Ingmar Nolte & Valeri Voev, 2009, "Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-16, Apr.
  52. Valeri Voev, 2009, "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-56, Nov.
  53. Tue Gørgens & Christopher L. Skeels & Allan H. Würtz, 2009, "Efficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-51, Oct.
  54. Tue Gørgens & Allan Würtz, 2009, "Testing a parametric function against a nonparametric alternative in IV and GMM settings," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2009-54, Jan.

2008

  1. Torben G. Andersen & Luca Benzoni, 2008, "Realized volatility," Working Paper Series, Federal Reserve Bank of Chicago, number WP-08-14.
  2. Neil Shephard & Torben Andersen, 2008, "Stochastic Volatility: Origins and Overview," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2008-W04, May.
  3. Tim Bollerslev, 2008, "Glossary to ARCH (GARCH)," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-49, Sep.
  4. Barnett, Richard C. & Bhattacharya, Joydeep & Bunzel, Helle, 2008, "Choosing to Keep Up with the Joneses and Income Inequality," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 12862, Jan.
  5. Richard Barnett & Joydeep Bhattacharya & Helle Bunzel, 2008, "Choosing to keep up with the Joneses," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2008-01, Jan.
  6. Barnett, Richard C. & Bhattacharya, Joydeep & Bunzel, Helle, 2008, "Are the Joneses Making You Financially Vulnerable?," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 12909, Apr.
  7. Bunzel, Helle & Iglesias, Emma M., 2008, "Extending the Use of the Block-Block Bootstrap to AR(∞) Processes," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 12965, Jul.
  8. Charlotte Christiansen, 2008, "Mean Reversion in US and International Short Rates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-47, Sep.
  9. John A Carlson & Christian M. Dahl & Carol L. Osler, 2008, "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-01, Jan.
  10. Christian M. Dahl & Emma M. Iglesias, 2008, "The limiting properties of the QMLE in a general class of asymmetric volatility models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-38, Jul.
  11. Christian M. Dahl & Henrik Hansen & John Smidt, 2008, "The cyclical component factor model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-44, Sep.
  12. Christian M. Dahl & Yu Qin, 2008, "The limiting behavior of the estimated parameters in a misspecified random field regression model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-45, Sep.
  13. Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008, "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-46, Sep.
  14. Tom Engsted & Stig V. Møller, 2008, "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-12, Feb.
  15. Tom Engsted & Thomas Q. Pedersen, 2008, "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-27, May.
  16. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2008, "Small Bandwidth Asymptotics for Density-Weighted Average Derivatives," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-24, May.
  17. Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg, 2008, "Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-03, Jan.
  18. Søren Johansen & Bent Nielsen, 2008, "An analysis of the indicator saturation estimator as a robust regression estimator," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-09, Feb.
  19. Søren Johansen & Bent Nielsen, 2008, "An analysis of the indicator saturation estimator as a robust regression," Discussion Papers, University of Copenhagen. Department of Economics, number 08-03, Feb.
  20. Dennis Kristensen, 2008, "Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-37, Jul.
  21. Dennis Kristensen & Yongseok Shin, 2008, "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-58, Nov.
  22. Kruse, Robinson, 2008, "Rational bubbles and fractional integration," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-394, Mar.
  23. Kruse, Robinson, 2008, "A new unit root test against ESTAR based on a class of modified statistics," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-398, Apr.
  24. Frank S. Nielsen, 2008, "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-28, Jun.
  25. Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2008, "Local polynomial Whittle estimation of perturbed fractional processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-29, Jun.
  26. Thomas Q. Pedersen, 2008, "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-60, Dec.
  27. Mark Podolskij & Daniel Ziggel, 2008, "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-22, May.
  28. Mark Podolskij & Mathias Vetter, 2008, "Bipower-type estimation in a noisy diffusion setting," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-25, May.
  29. Mark Podolskij & Daniel Ziggel, 2008, "New tests for jumps: a threshold-based approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-34, Jun.
  30. Silja Kinnebrock & Mark Podolskij, 2008, "An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models," OFRC Working Papers Series, Oxford Financial Research Centre, number 2008fe25.
  31. Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008, "Poisson Autoregression," Discussion Papers, University of Copenhagen. Department of Economics, number 08-35, May, revised Dec 2008.
  32. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008, "The ACR model: a multivariate dynamic mixture autoregression," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2008-11.
  33. Michael Sørensen, 2008, "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-18, Apr.
  34. Bent Jesper Christensen & Michael Sørensen, 2008, "Optimal inference in dynamic models with conditional moment restrictions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-51, Sep.
  35. Michael Sørensen, 2008, "Efficient estimation for ergodic diffusions sampled at high frequency," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-46, Jan.
  36. Lars Stentoft, 2008, "Option Pricing using Realized Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-13, Mar.
  37. Lars Stentoft, 2008, "American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-41, Sep.
  38. Annastiina Silvennoinen & Timo Teräsvirta, 2008, "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-05, Jan.
  39. Annastiina Silvennoinen & Timo Teräsvirta, 2008, "Multivariate GARCH models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-06, Jan.
  40. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008, "Parameterizing unconditional skewness in models for financial time series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-07, Jan.
  41. Christina Amado & Timo Teräsvirta, 2008, "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-08, Jan.
  42. Anne Péguin-Feissolle & Birgit Strikholm & Timo Teräsvirta, 2008, "Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-19, Apr.
  43. Andrew J. Patton & Allan Timmermann, 2008, "The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-54, Sep.
  44. Carlos Capistrán & Allan Timmermann, 2008, "Forecast Combination With Entry and Exit of Experts," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-55, Sep.
  45. Carlos Capistrán & Allan Timmermann, 2008, "Disagreement and Biases in Inflation Expectations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-56, Sep.
  46. Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov, 2008, "Return Predictability under Equilibrium Constraints on the Equity Premium," Working Papers, Brandeis University, Department of Economics and International Business School, number 37, Oct.
  47. Menkveld, Albert J. & Sarkar, Asani & van der Wel, Michel, 2008, "Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/47.
  48. Almut Veraart, 2008, "Inference for the jump part of quadratic variation of Itô semimartingales," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-17, Mar.
  49. Almut E. D. Veraart, 2008, "Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-57, Nov.
  50. Ingmar Nolte & Valeri Voev, 2008, "Estimating High-Frequency Based (Co-) Variances: A Unified Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-31, Jun.
  51. Roxana Chiriac & Valeri Voev, 2008, "Modelling and Forecasting Multivariate Realized Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-39, Sep.
  52. Jie Zhu, 2008, "FIEGARCH-M and and International Crises: A Cross-Country Analysis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-16, Mar.
  53. Jie Zhu, 2008, "Pricing Volatility of Stock Returns with Volatile and Persistent Components," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-14, Mar.
  54. Jie Zhu, 2008, "Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-15, Mar.

2007

  1. Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007, "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-14, Aug.
  2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007, "Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-18, Aug.
  3. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007, "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-20, Aug.
  4. Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007, "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-21, Aug.
  5. Torben G. Andersen & Oleg Bondarenko, 2007, "Construction and Interpretation of Model-Free Implied Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-24, Sep.
  6. Torben G. Andersen & Luca Benzoni, 2007, "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-25, Sep.
  7. Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev, 2007, "No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications," NBER Working Papers, National Bureau of Economic Research, Inc, number 12963, Mar.
  8. Viktor Todorov & Tim Bollerslev, 2007, "Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-15, Aug.
  9. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007, "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-16, Aug.
  10. Tim Bollerslev & Hao Zhou, 2007, "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-17, Aug.
  11. Tim Bollerslev & Tzuo Hann Law & George Tauchen, 2007, "Risk, Jumps, and Diversification," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-19, Aug.
  12. Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007, "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-22, Aug.
  13. Barnett, Richard C. & Bhattacharya, Joydeep & Bunzel, Helle, 2007, "Minimum Consumption Requirements and Cycles in an Overlapping Generations Model of Money," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 12834, Jul.
  14. Bhattacharya, Joydeep & Bunzel, Helle & Qiao, Xue, 2007, "Unsafe Sex, AIDS, and Development," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 12832, Jul.
  15. Richard C. Barnett & Joydeep Bhattacharya & Helle Bunzel, 2007, "Resurrecting Equilibria Through Cycles," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2007-12, Sep.
  16. Charlotte Christiansen, 2007, "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-05, May.
  17. Charlotte Christiansen, 2007, "Decomposing European Bond and Equity Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-06, May.
  18. Charlotte Christiansen & Juanna Schröter Joensen & Jesper Rangvid, 2007, "Are Economists More Likely to Hold Stocks?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-08, May.
  19. Charlotte Christiansen & Angelo Ranaldo, 2007, "Extreme Coexceedances in New EU Member States’ Stock Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-34, Nov.
  20. Tom Engsted & Stuart Hyde & Stig V. Møller, 2007, "Habit Formation, Surplus Consumption and Return Predictability: International Evidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-31, Oct.
  21. Niels Haldrup & Frank S. Nielsen & Morten Ørregaard Nielsen, 2007, "A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-29, Oct.
  22. Eric Hillebrand & Marcelo Cunha Medeiros, 2007, "Forecasting realized volatility models:the benefits of bagging and nonlinear specifications," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 547, Aug.
  23. Mathias D. Cattaneo & Richard K. Crump & Michael Jansson, 2007, "Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-11, Jun.
  24. Michael Jansson, 2007, "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-12, Jun.
  25. Søren Johansen, 2007, "Some identification problems in the cointegrated vector autoregressive model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-32, Nov.
  26. Søren Johansen & Morten Ørregaard Nielsen, 2007, "Likelihood inference for a nonstationary fractional autoregressive model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-33, Nov.
  27. Søren Johansen, 2007, "Correlation, regression, and cointegration of nonstationary economic time series," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-35, Nov.
  28. Søren Johansen & David F. Hendry & Carlos Santos, 2007, "Selecting a Regression Saturated by Indicators," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-36, Nov.
  29. Søren Johansen & Anders Rygh Swensen, 2007, "Exact rational expectations, cointegration, and reduced rank regression," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-41, Dec.
  30. Kevin D. Hoover & Katarina Juselius & Søren Johansen, 2007, "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," Discussion Papers, University of Copenhagen. Department of Economics, number 07-35, Nov.
  31. Dennis Kristensen, 2007, "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-01, May.
  32. Dennis Kristensen, 2007, "Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-02, May.
  33. Dennis Kristensen & Anders Rahbek, 2007, "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-38, Nov.
  34. Sibbertsen, Philipp & Kruse, Robinson, 2007, "Testing for a break in persistence under long-range dependencies," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-381, Nov.
  35. Ole E. Barndorff-Nielsen & José Manuel Corcuera & Mark Podolskij, 2007, "Power variation for Gaussian processes with stationary increments," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-42, Dec.
  36. Jean Jacod & Yingying Li & Per A. Mykland & Mark Podolskij & Mathias Vetter, 2007, "Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-43, Dec.
  37. Mark Podolskij & Mathias Vetter, 2007, "Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-27, Sep.
  38. Silja Kinnebrock & Mark Podolskij, 2007, "A Note on the Central Limit Theorem for Bipower Variation of General Functions," OFRC Working Papers Series, Oxford Financial Research Centre, number 2007fe03.
  39. Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2007, "Microstructure noise in the continuous case: the pre-averaging approach," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2007,41.
  40. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2007, "Testing for co-integration in vector autoregressions with non-stationary volatility," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics, number 07/02, Aug.
  41. Michael Sørensen & Julie Lyng Forman, 2007, "The Pearson diffusions: A class of statistically tractable diffusion processes," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-28, Sep.
  42. Nakatani, Tomoaki & Teräsvirta, Timo, 2007, "Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 649, Jan, revised 04 May 2008.
  43. Teräsvirta, Timo & Zhao, Zhenfang, 2007, "Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 662, Jun, revised 01 Aug 2007.
  44. Nakatani, Tomoaki & Teräsvirta, Timo, 2007, "Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 675, Oct, revised 14 Feb 2008.
  45. Timmermann, Allan & Elliott, Graham, 2007, "Economic Forecasting," CEPR Discussion Papers, Centre for Economic Policy Research, number 6158, Mar.
  46. Timmermann, Allan & Guidolin, Massimo, 2007, "Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach," CEPR Discussion Papers, Centre for Economic Policy Research, number 6188, Mar.
  47. Timmermann, Allan & Patton, Andrew, 2007, "Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts," CEPR Discussion Papers, Centre for Economic Policy Research, number 6526, Oct.
  48. Allan Timmermann & Bruce N. Lehmann, 2007, "Performance Measurement and Evaluation," FMG Discussion Papers, Financial Markets Group, number dp604, Apr.
  49. Albert J. Menkveld & Asani Sarkar & Michel Van der Wel, 2007, "Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures," Staff Reports, Federal Reserve Bank of New York, number 307.
  50. Siem Jan Koopman & Max I.P. Mallee & Michel van der Wel, 2007, "Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-095/4, Dec.
  51. Albert J. Menkveld & Asani Sarkar & Michel van der Wel, 2007, "Macro News, Riskfree Rates, and the Intermediary," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 07-086/2, Nov.
  52. Almut Elisabeth Dorothea Veraart, 2007, "Feasible inference for realised variance in the presence of jumps," Economics Series Working Papers, University of Oxford, Department of Economics, number 2007-FE-02, Feb.
  53. Voev, Valeri, 2007, "Dynamic modeling of large dimensional covariance matrices," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 07/01.
  54. Nolte, Ingmar & Voev, Valeri, 2007, "Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 07/02.
  55. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007, "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-10, Jun.

2006

  1. Bunzel, Helle, 2006, "Habit Persistence, Money, and Overlapping Generations," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 12405, Jan.
  2. Bunzel, Helle & Iglesias, Emma M., 2006, "Testing for Breaks Using Alternating Observations," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 12694, Nov.
  3. Charlotte Christiansen & Juanna Schröter Joensen, 2006, "The Risk-Return Trade-Off in Human Capital Investment," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2006-02, Feb.
  4. Niels Haldrup & Andreu Sansó, 2006, "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2006-01, Jan.
  5. Gunnar Bårdsen & Niels Haldrup, 2006, "A Gaussian IV estimator of cointegrating relations," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2006-03, Feb.
  6. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006, "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series, CESifo, number 1766.
  7. Schnabl, Gunther & Hillebrand, Eric, 2006, "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," Working Paper Series, European Central Bank, number 650, Jun.
  8. Svend Hylleberg, 2006, "Seasonal Adjustment," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2006-04, Feb.
  9. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006, "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2006-W03, May.
  10. Neil Shephard & Ole E. Barndorff-Nielsen & Asger Lunde, 2006, "Subsampling realised kernels," Economics Series Working Papers, University of Oxford, Department of Economics, number 278, Sep.
  11. Christensen, Kim & Podolskij, Mark, 2006, "Range-Based Estimation of Quadratic Variation," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2006,37.
  12. Christensen, Kim & Podolskij, Mark & Vetter, Mathias, 2006, "Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2006,52.
  13. Timo Terasvirta & Andrés González, 2006, "Modelling autoregressive processes with a shifting mean," Borradores de Economia, Banco de la Republica de Colombia, number 420, Dec, DOI: 10.32468/be.420.
  14. Teräsvirta, Timo, 2006, "An introduction to univariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 646, Dec.
  15. Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2006, "Learning, Structural Instability and Present Value Calculations," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0602, Jan.
  16. Pesaran, M.H. & Timmermann, A., 2006, "Testing Dependence Among Serially Correlated Multi-category Variables," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0648, Jul.
  17. Voev, Valeri, 2006, "A trade-by-trade surprise measure and its relation to observed spreads on the NYSE," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 06/03.
  18. Peter Sandholt Jensen & Allan H. Würtz, 2006, "On determining the importance of a regressor with small and undersized samples," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2006-08, Jul.

2005

  1. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005, "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 11069, Jan.
  2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005, "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11134, Feb.
  3. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005, "Volatility Forecasting," NBER Working Papers, National Bureau of Economic Research, Inc, number 11188, Mar.
  4. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2005, "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 11312, May.
  5. Bunzel, Helle & Enders, Walter, 2005, "The Taylor Rule and 'Opportunistic' Monetary Policy," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 12301, Apr.
  6. Charlotte Christiansen & Juanna Shröter Joensen & Jesper Rangvid, 2005, "Do More Economists Hold Stocks?," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2005-06, Apr.
  7. Christiansen, Charlotte & Ranaldo, Angelo, 2005, "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number F-2005-05, Sep.
  8. Haldrup, Niels & Møllgaard, Peter & Nielsen, Claus Kastberg, 2005, "Sequential versus simultaneous market," Working Papers, Copenhagen Business School, Department of Economics, number 02-2005, Mar.
  9. Haldrup; Niels & Morten Oerregaard Nielsen, 2005, "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2005-18, Oct.
  10. Niels Haldrup & Peter Mollgaard & Claus Kastberg Nielsen, 2005, "Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market for Salmon," Working Papers, Centre for Competition Policy, University of East Anglia, number 05-2, Mar.
  11. Niels Haldrup & Svend Hylleberg & Gabriel Pons & Jaume Rosselló & Andreu Sansó, 2005, "Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2005-03, Mar.
  12. Niels Haldrup & Michael Jansson, 2005, "Improving Size and Power in Unit Root Testing," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2005-02, Mar.
  13. Eric Hillebrand, 2005, "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance, University Library of Munich, Germany, number 0501015, Jan.
  14. Eric Hillebrand, 2005, "Overlaying Time Scales in Financial Volatility Data," Econometrics, University Library of Munich, Germany, number 0501015, Jan.
  15. Katarina Juselius & Søren Johansen, 2005, "Extracting Information from the Data: A Popperian View on Empirical Macro," Discussion Papers, University of Copenhagen. Department of Economics, number 05-05, Apr.
  16. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005, "Testing the significance of calendar effects," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2005-02.
  17. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005, "Model confidence sets for forecasting models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2005-07.
  18. Dette, Holger & Podolskij, Mark, 2005, "Testing the parametric form of the volatility in continuous time diffusion models: an empirical process approach," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2005,50.
  19. Frédérique Bec & Anders Rahbek & Neil Shephard, 2005, "The Autoregressive Conditional Root (ACR) Model," Working Papers, Center for Research in Economics and Statistics, number 2005-26.
  20. Silvennoinen, Annastiina & Teräsvirta, Timo, 2005, "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 577, Jan, revised 01 Oct 2005.
  21. Strikholm, Birgit & Teräsvirta, Timo, 2005, "Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 578, Jan, revised 11 Feb 2005.
  22. Teräsvirta, Timo, 2005, "Univariate nonlinear time series models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 593, Mar.
  23. Teräsvirta, Timo, 2005, "Forecasting economic variables with nonlinear models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 598, May, revised 29 Dec 2005.
  24. González, Andrés & Teräsvirta, Timo, 2005, "Simulation-based finite-sample linearity test against smooth transition models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 603, Aug.
  25. Sandeep Kapur & Allan Timmermann, 2005, "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0503, Jan.
  26. Profoessor Hashem Pesaran & Allan Timmermann & Davide Pettenuzzo, 2005, "The Forecasing time series subject to multiple structure breaks," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group, number 33, Sep.
  27. Kosowski, Robert & Timmermann, Allan & Wermers, Russ & White, Hal, 2005, "Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 05-14.
  28. Peter Sandholt Jensen & Allan H. Würtz, 2005, "The Ill-Posed Problem in Growth Empirics," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, number 2005-11, Jul.
  29. Tue Gørgens & Martin Paldam & Allan H. Würtz, 2005, "Growth, Income and Regulation: a Non-Linear Approach," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, number 2005-12, Aug.

2004

  1. Jesper Lund & Torben G. Andersen & Luca Benzoni, 2004, "Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 432, Aug.
  2. Bunzel, Helle & Qiao, Xue, 2004, "Endogenous Lifetime and Economic Growth Revisited," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 12197, Oct.
  3. Helle Bunzel, 2004, "Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 219, Aug.
  4. Engsted, Tom & Tanggaard, Carsten, 2004, "Speculative bubbles in stock prices? Tests based on the price-dividend ratio," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 04-1, Mar.
  5. Niels Haldrup & Morten O. Nielsen, 2004, "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2004-2, Apr.
  6. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2004, "Testing for Additive Outliers in Seasonally Integrated Time Series," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2004-14, Dec.
  7. Eric Hillebrand & Gunther Schnabl, 2004, "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," International Finance, University Library of Munich, Germany, number 0410008, Oct.
  8. Eric Hillebrand, 2004, "Neglecting Parameter Changes in Autoregressive Models," Departmental Working Papers, Department of Economics, Louisiana State University, number 2004-04, Apr.
  9. Svend Hylleberg, 2004, "On the Exploitation of Market Power in the Nordic Electricity Markets. The Case of Elsam," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2004-5, Aug.
  10. Elliott, Graham & Jansson, Michael & Pesavento, Elena, 2004, "Optimal Power for Testing Potential Cointegrating Vectors with Known," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt2bv7n071, Jun.
  11. Michael Jansson & Marcelo J. Moreira, 2004, "Optimal Inference in Regression Models with Nearly Integrated Regressors," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2047.
  12. Kristensen, Dennis, 2004, "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24738, Jun.
  13. Kristensen, Dennis, 2004, "Estimation in two classes of semiparametric diffusion models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24739, Jun.
  14. Kristensen, Dennis, 2004, "A semiparametric single-factor model of the term structure," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24741, Jun.
  15. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2004, "Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W28, Nov.
  16. Asger Lunde & Peter Reinhard Hansen, 2004, "Realized Variance and IID Market Microstructure Noise," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 526, Aug.
  17. Ole Barndorff-Nielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard, 2004, "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W29, Nov.
  18. Vetter, Mathias & Podolskij, Mark & Dette, Holger, 2004, "Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 2004,32.
  19. Timo Terasvirta, 2004, "A Time Series Model for an Exchange Rate in a Target Zone with Applications," Econometric Society 2004 Australasian Meetings, Econometric Society, number 340, Aug.
  20. Meitz, Mika & Teräsvirta, Timo, 2004, "Evaluating models of autoregressive conditional duration," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 557, Mar, revised 13 Dec 2004.
  21. Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo, 2004, "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 561, Jul, revised 09 Nov 2004.
  22. Malmsten, Hans & Teräsvirta, Timo, 2004, "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 563, Aug, revised 03 Sep 2004.
  23. Pesaran, M.H. & Timmermann, A., 2004, "‘Real Time Econometrics’," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0432, Jun.
  24. Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2004, "‘Forecasting Time Series Subject to Multiple Structural Breaks’," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0433, Jun.
  25. Timmermann, Allan & Catão, Luís, 2004, "Country and Industry Dynamics in Stock Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 4368, Apr.
  26. Timmermann, Allan & Guidolin, Massimo, 2004, "Term Structure of Risk Under Alternative Econometric Specifications," CEPR Discussion Papers, Centre for Economic Policy Research, number 4645, Sep.
  27. Timmermann, Allan & Elliott, Graham, 2004, "Optimal Forecast Combination Under Regime Switching," CEPR Discussion Papers, Centre for Economic Policy Research, number 4649, Oct.
  28. Massimo Guidolin, University of Virginia & Allan Timmermann, 2004, "Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching," Econometric Society 2004 Australasian Meetings, Econometric Society, number 349, Aug.
  29. Allan Timmermann & Graham Elliott & Ivana Komunjer, 2004, "Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?," Econometric Society 2004 North American Summer Meetings, Econometric Society, number 601, Aug.

2003

  1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2003, "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 03-025, Feb, revised 01 Sep 2003.
  2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2003, "Realized Beta: Persistence and Predictability," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 04-018, Jan, revised 01 Mar 2004.
  3. Tim Bollerslev & Hao Zhou, 2003, "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2003-40.
  4. Bhattacharya, Joydeep & Bunzel, Helle, 2003, "Dynamics of the Planning Solution in the Discrete-Time Textbook Model of Labor Market Search and Matching," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 10253, Mar.
  5. Bunzel, Helle & Marcoul, Philippe, 2003, "Can Racially Unbiased Police Perpetuate Long-Run Discrimination?," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 10200, Mar.
  6. Bunzel, Helle, 2003, "Fixed-B Asymptotics in Single Equation Cointegration Models with Endogenous Regressors," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 10685, Aug.
  7. Bunzel, Helle & Vogelsang, Timothy J., 2003, "Powerful Trend Function Tests That Are Robust to Strong Serial Correlation with an Application to the Prebisch-Singer Hypothesis," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 10353, Apr.
  8. Bhattacharya, Joydeep & Bunzel, Helle & Haslag, Joseph, 2003, "The Non-Monotonic Relationship Between Seigniorage and Inequality," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 10252, Mar.
  9. Christiansen, Charlotte & Nielsen, Helena Skyt, 2003, "The Educational Asset Market: A Finance Perspective on Human Capital Investment," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 02-9, May.
  10. Christiansen, Charlotte, 2003, "Multivariate Term Structure Models with Level and Heteroskedasticity Effects," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 02-19, May.
  11. Christiansen, Charlotte & Engsted, Tom & Jakobsen, Svend & Tanggaard, Carsten, 2003, "An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 03-2, May.
  12. Christiansen, Charlotte & Engsted, Tom & Jakobsen, Svend & Tanggaard, Carsten, 2003, "Denmark - A chapter on the Danish Bond Market," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 03-3, May.
  13. Christiansen, Charlotte, 2003, "Volatility-Spillover E ffects in European Bond Markets," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 03-8, Oct.
  14. Engsted, Tom, 2003, "Aktiemarkedet," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 02-8, May.
  15. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2003, "A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 03-1, May.
  16. Eric Hillebrand, 2003, "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics, University Library of Munich, Germany, number 0301003, Jan.
  17. Søren Johansen & Anders Rygh Swensen, 2003, "More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms," Discussion Papers, Statistics Norway, Research Department, number 348, Apr.
  18. Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2003, "Nonparametric IV estimation of shape-invariant Engel curves," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP15/03, Oct.
  19. Peter Hansen & Asger Lunde & James M. Nason, 2003, "Choosing the Best Volatility Models:The Model Confidence Set Approach," Working Papers, Brown University, Department of Economics, number 2003-05.
  20. Asger Lunde & Esben Hoeg, 2003, "Wavelet Estimation of Integrated Volatility," Computing in Economics and Finance 2003, Society for Computational Economics, number 274, Aug.
  21. Heino Bohn Nielsen & Anders Rahbek, 2003, "Likelihood Ratio Testing for Cointegration Ranks in I(2) Models," Discussion Papers, University of Copenhagen. Department of Economics, number 03-42, Dec.
  22. Leah Kelly & Eckhard Platen & Michael Sorensen, 2003, "Estimating for Discretely Observed Diffusions Using Transform Functions," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 96, Jun.
  23. Granger, Clive W. J. & Terasvirta, Timo & Patton, Andrew J., 2003, "Common factors in conditional distributions for Bivariate time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24854, Jun.
  24. Eklund, Bruno & Teräsvirta, Timo, 2003, "Testing constancy of the error covariance matrix in vector models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 549, Nov, revised 18 Jan 2006.
  25. Pesaran, H.M. & Timmermann, A., 2003, "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0306, Jan.
  26. Pesaran, M.H. & Timmermann, A., 2003, "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0331, Jun.
  27. Timmermann, Allan & Elliott, Graham & Komunjer, Ivana, 2003, "Estimating Loss Function Parameters," CEPR Discussion Papers, Centre for Economic Policy Research, number 3821, Mar.
  28. Timmermann, Allan & Patton, Andrew, 2003, "Properties of Optimal Forecasts," CEPR Discussion Papers, Centre for Economic Policy Research, number 4037, Aug.
  29. Guidolin, Massimo & Allan Timmermann, 2003, "Economic Implications of Bull and Bear Regimes in UK Stock Returns," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 95, Jun.

2002

  1. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002, "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers, CIRANO, number 2002s-90, Dec.
  2. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002, "Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," CIRANO Working Papers, CIRANO, number 2002s-91, Dec.
  3. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002, "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers, Duke University, Department of Economics, number 02-16.
  4. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002, "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0279, Aug.
  5. Christiansen, Charlotte & Lund, Jesper, 2002, "Revisiting the shape of the yield curve: the effect of interest rate volatility," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 02-3, Mar.
  6. Christiansen, Charlotte, 2002, "Regime Switching in the Yield Curve," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 02-13, May.
  7. Engsted, Tom & Tanggaard, Carsten, 2002, "The comovement of US and UK stock markets," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 02-1, Jan.
  8. Engsted, Tom, 2002, "Misspecification versus bubbles in hyperinflation data: Comment," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 02-2, Feb.
  9. Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J, 2002, "Common Factors in Conditional Distributions," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt3bd1n1x5, Nov.
  10. He, Changli & Teräsvirta, Timo & González, Andres, 2002, "Testing parameter constancy in stationary vector autoregressive models against continuous change," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 507, Aug, revised 11 Jul 2005.
  11. Medeiros, Marcelo C. & Teräsvirta, Timo & Rech, Gianluigi, 2002, "Building neural network models for time series: A statistical approach," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 508, Sep.
  12. He, Changli & Teräsvirta, Timo, 2002, "An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 509, Sep.
  13. He, Changli & Teräsvirta, Timo, 2002, "An application of the analogy between vector ARCH and vector random coefficient autoregressive models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 516, Nov.
  14. Eliasson, Ann-Charlotte & Teräsvirta, Timo, 2002, "Error correction in DHSY," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 517, Nov.
  15. Elliott, Graham & Timmermann, Allan, 2002, "Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt15r9t2q2, Apr.
  16. Paye, Bradley S. & Timmermann, Allan, 2002, "How Stable are Financial Prediction Models? Evidence from US and International Stock Market Data," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt74v515fr, Jun.
  17. Blake, David & Timmermann, Allan, 2002, "International Asset Allocation with Time-Varying Investment Opportunities," CEPR Discussion Papers, Centre for Economic Policy Research, number 3464, Jul.
  18. Timmermann, Allan & Granger, Clive, 2002, "Efficient Market Hypothesis and Forecasting," CEPR Discussion Papers, Centre for Economic Policy Research, number 3593, Oct.
  19. Allan Timmermann & M. Hashem Pesaran, 2002, "Market Timing and Return Prediction under Model Instability," FMG Discussion Papers, Financial Markets Group, number dp412, Mar.
  20. Allan Timmermann, 2002, "(UBS Pensions Series 2) International Asset Allocation with Time-Varying Investment Opportunities," FMG Discussion Papers, Financial Markets Group, number dp424, Jul.
  21. Bruce N. Lehmann & Allan Timmermann, 2002, "(UBS Pensions Series 3) Performance Clustering and Incentives in the UK Pension Fund Industry," FMG Discussion Papers, Financial Markets Group, number dp425, Jul.
  22. Allan Timmermann, 2002, "(UBS Pensions Series 4) Returns from Active Management in International Equity Markets; Evidence from a Panel of UK Pension Funds," FMG Discussion Papers, Financial Markets Group, number dp426, Aug.
  23. N.E. Savin & Allan H. Würtz, 2002, "Testing the Semiparametric Box-Cox Model with Bootstrap," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, number 2002-08, Aug.

2001

  1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001, "Modeling and Forecasting Realized Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 8160, Mar.
  2. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001, "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 8510, Oct.
  3. Tim Bollerslev & Hao Zhou, 2001, "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2001-49.
  4. Bunzel, Helle & Kiefer, Nicholas M. & Vogelsang, Timothy, 2001, "Simple Robust Testing of Hypothesis in Non-Linear Models," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 5214, Jan.
  5. Christiansen, Charlotte, 2001, "Long Maturity Forward Rates," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 01-12, Nov.
  6. Dahl, Christian M. & Nielsen, Steen, 2001, "The Random Walk Of Stock Prices: Implications Of Recent Nonpara-Metric Tests," Working Papers, Copenhagen Business School, Department of Economics, number 07-2001, Aug.
  7. Engsted, Tom & Tanggaard, Carsten, 2001, "A New Test for Speculative Bubbles Based on Return Variance Decompositions," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 01-9, Sep.
  8. Soren JOHANSEN, 2001, "The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model," Economics Working Papers, European University Institute, number ECO2001/01.
  9. Soren JOHANSEN & Katarina JUSELIUS, 2001, "Controlling Inflation in a Cointergrated Vector Autoregressive Model with an Application to US Data," Economics Working Papers, European University Institute, number ECO2001/02.
  10. Asger Lunde & Peter Reinhard Hansen, 2001, "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers, Brown University, Department of Economics, number 2001-04.
  11. Anders Rahbek & Neil Shephard, 2001, "Autoregressive conditional root model," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2002-W7, Apr, revised 01 Feb 2002.
  12. van Dijk, D.J.C. & Strikholm, B. & Terasvirta, T., 2001, "The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2001-12, Mar.
  13. Marcelo C. Medeiros & Timo Terasvirta, 2001, "Statistical methods for modelling neural networks," Textos para discussão, Department of Economics PUC-Rio (Brazil), number 445, Sep.
  14. Allan Timmerman & Massimo Guidolin, 2001, "Option prices and implied volatility dynamics under Bayesian learning," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number P3, Jan.
  15. Timmermann, Allan, 2001, "Structural Breaks, Incomplete Information and Stock Prices," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt1sn269d7, Jan.
  16. Timmermann, Allan & Guidolin, Massimo, 2001, "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," CEPR Discussion Papers, Centre for Economic Policy Research, number 3005, Oct.
  17. White, Halbert & Timmermann, Allan & Sullivan, Ryan, 2001, "Forecast Evaluation with Shared Data Sets," CEPR Discussion Papers, Centre for Economic Policy Research, number 3060, Nov.
  18. Savin, N.E. & Wurtz, Allan H., 2001, "Semiparametric Estimation of the Box-Cox Model Preliminary and Incomplete," Working Papers, University of Iowa, Department of Economics, number 2001-01, Jan.

2000

  1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000, "The Distribution of Stock Return Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 7933, Oct.
  2. Kiefer, Nicholas M. & Bunzel, Helle & Vogelsang, Timothy & Vogelsang, Timothy & Bunzel, Helle, 2000, "Simple Robust Testing of Regression Hypotheses," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 1832, May.
  3. Christiansen, Charlotte & Strunk Hansen, Charlotte, 2000, "Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 00-1, Jan.
  4. Christiansen, Charlotte, 2000, "Credit Spreads and the Term Structure of Interest Rates," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 00-14, Jul.
  5. Engsted, Tom, 2000, "Measuring Noise in the Permanent Income Hypothesis," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 00-8, Feb.
  6. Engsted, Tom & Tanggaard, Carsten, 2000, "The Relation Between Asset Returns and Inflation at Short and Long Horizons," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 00-9, Nov.
  7. Engsted, Tom & Mammen, Enno & Tanggaard, Carsten, 2000, "Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies, number 00-10, Apr.
  8. Jansson, Michael & Haldrup, Niels Prof., 2000, "Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt5b13w0rp, Jun.
  9. Johansen, S., 2000, "A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model," Economics Working Papers, European University Institute, number eco2000/15.
  10. Asger Lunde & Allan Timmermann, 2000, "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1216, Aug.
  11. van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F., 2000, "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2000-23/A, Jun.
  12. Lundbergh, Stefan & Teräsvirta, Timo & van Dijk, Dick, 2000, "Time-Varying Smooth Transition Autoregressive Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 376, Apr.
  13. Lundbergh, Stefan & Teräsvirta, Timo, 2000, "Forecasting with smooth transition autoregressive models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 390, Jun.
  14. Massimo Guidolin & Allan Timmermann, 2000, "Implied Learning Paths from Option Prices," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0447, Aug.
  15. Allan Timmermann & Gabriel Perez-Quiros, 2000, "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," FMG Discussion Papers, Financial Markets Group, number dp360, Oct.

1999

  1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999, "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-059, Nov.
  2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999, "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-060, Oct.
  3. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999, "(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-061, Oct.
  4. Tim Bollerslev & Jonathan H. Wright, 1999, "High frequency data, frequency domain inference and volatility forecasting," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 649.
  5. Bentzen, J. & Engsted, T., 1999, "A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships," Papers, Aarhus School of Business - Department of Economics, number 99-7.
  6. Johansen, S., 1999, "A Bartlett Correction Factor for Tests on the Cointegrating Relations," Economics Working Papers, European University Institute, number eco99/10.
  7. Johansen, S., 1999, "A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors," Economics Working Papers, European University Institute, number eco99/9.
  8. Peguin-Feissolle, A. & Terasvirta, T., 1999, "A General Framework for Testing the Granger Noncausality Hypothesis," G.R.E.Q.A.M., Universite Aix-Marseille III, number 99a42.
  9. Rech, Gianluigi & Teräsvirta, Timo & Tschernig, Rolf, 1999, "A simple variable selection technique for nonlinear models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 296, Feb, revised 06 Apr 2000.
  10. He, Changli & Teräsvirta, Timo, 1999, "Higher-order dependence in the general Power ARCH process and a special case," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 315, Apr.
  11. Persson, Anna & Teräsvirta, Timo, 1999, "The Net Barter Terms Of Trade : A Smooth Transition Approach," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 335, Sep.
  12. He, Changli & Teräsvirta, Timo & Malmsten, Hans, 1999, "Fourth Moment Structure of a Family of First-Order Exponential GARCH Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 345, Nov.
  13. Stefan Lundbergh & Timo Teräsvirta, 1999, "Modelling Economic High-Frequency Time Series," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 99-009/4, Feb.
  14. Pesaran, Hashem & Timmermann, Allan, 1999, "Model Instability and Choice of Observation Window," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt8zx626k6, Sep.
  15. Allan Timmermann, 1999, "Moments of Markov Switching Models," FMG Discussion Papers, Financial Markets Group, number dp323, May.
  16. Allan Timmermann & Gabriel Perez-Quiros, 1999, "Firm Size and Cyclical Variations in Stock Returns," FMG Discussion Papers, Financial Markets Group, number dp335, Sep.

1998

  1. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998, "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers, National Bureau of Economic Research, Inc, number 6666, Jul.
  2. Allan Timmermann & Asger Lunde, 1998, "The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis," FMG Discussion Papers, Financial Markets Group, number dp302, Sep.
  3. Engle, Robert F & Lunde, Asger, 1998, "Trades and Quotes: A Bivariate Point Process," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt8bh079sq, Mar.
  4. Küchler, Uwe & Sørensen, Michael M., 1998, "A note on limit theorems for multivariate martingales," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1998,45.
  5. Granger, Clive W.J. & Teräsvirta, Timo, 1998, "A simple nonlinear time series model with misleading linear properties," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 237, Jun.
  6. Skalin, Joakim & Teräsvirta, Timo, 1998, "Modelling asymmetries and moving equilibria in unemployment rates," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 262, Sep, revised Jul 1999.
  7. Hall, Anthony D. & Skalin, Joakim & Teräsvirta, Timo, 1998, "A nonlinear time series model of El Niño," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 263, Sep.
  8. Teräsvirta, Timo & Eliasson, Ann-Charlotte, 1998, "Nonlinear error-correction and the UK demand for broad money, 1878-1993," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 265, Oct, revised 30 Nov 1998.
  9. Lundbergh, Stefan & Teräsvirta, Timo, 1998, "Modelling economic high-frequency time series with STAR-STGARCH models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 291, Dec.
  10. Lundbergh, Stefan & Teräsvirta, Timo, 1998, "Evaluating GARCH models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 292, Dec, revised 03 Oct 2001.
  11. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998, "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt2z02z6d9, Jun.
  12. White, Halbert & Timmermann, Allan & Sullivan, Ryan, 1998, "Data-Snooping, Technical Trading Rule Performance and the Bootstrap," CEPR Discussion Papers, Centre for Economic Policy Research, number 1976, Sep.

1997

  1. Torben G. Andersen & Tim Bollerslev, 1997, "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers, National Bureau of Economic Research, Inc, number 6023, Apr.
  2. Engsted, T. & Johansen, S., 1997, "Granger's Representation Theorem and Multicointegration," Economics Working Papers, European University Institute, number eco97/15.
  3. Engsted, T & Bentzen, J, 1997, "Dynamic Modelling of Energy Demand : A Guided Tour Through the Jungle of Unit Roots and Cointegration," Papers, Aarhus School of Business - Department of Economics, number 97-6.
  4. Johansen, S., 1997, "Mathematical and Statistical Modelling of Cointegration," Economics Working Papers, European University Institute, number eco97/14.
  5. Johansen, S. & Schaumburg, E., 1997, "Likelihood Analysis of Seasonal Cointegration," Economics Working Papers, European University Institute, number eco97/16.
  6. He, Changli & Teräsvirta, Timo, 1997, "Fourth Moment Structure of the GARCH (p, q) Process," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 168, Apr.
  7. He, Changli & Teräsvirta, Timo, 1997, "Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 169, Apr.
  8. He, Changli & Teräsvirta, Timo, 1997, "Properties of Moments of a Family of GARCH Processes," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 198, Sep.
  9. He, Changli & Teräsvirta, Timo, 1997, "Statistical Properties of the Asymmetric Power ARCH Process," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 199, Sep, revised 30 Sep 1997.
  10. Blake, David & Timmermann, Allan & Lehmann, Bruce N, 1997, "Performance Measurement using Multiple Asset Class Portfolio Data," CEPR Discussion Papers, Centre for Economic Policy Research, number 1618, Jun.
  11. Parks, R.W. & Savin, N.E. & Wurtz, A.H., 1997, "The Power of Hessian and Outer Product Based Wald and LM Tests," Working Papers, University of Iowa, Department of Economics, number 97-02.

1996

  1. Torben G. Andersen & Tim Bollerslev, 1996, "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 5752, Sep.
  2. Torben G. Andersen & Tim Bollerslev, 1996, "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers, National Bureau of Economic Research, Inc, number 5783, Oct.
  3. Engsted, Tom & Gonzalo, Jesús & Haldrup, Niels, 1996, "Multicointegration and present value relations," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 4540, Jan.
  4. Clara Jørgensen & Hans Christian Kongsted & Anders Rahbek, 1996, "Trend-Stationarity in the I(2) Cointegration Model," Discussion Papers, University of Copenhagen. Department of Economics, number 96-12, Jun.
  5. P. E. Kloeden & Eckhard Platen & H. Schurz & M. Sørensen, 1996, "On effects of discretization on estimators of drift parameters for diffusion processes," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1996-2, Jan.
  6. Teräsvirta, Timo, 1996, "Power Properties of Linearity Tests for Time Series," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 94, Jan.
  7. Brännäs, Kurt & Gooijer, Jan G. de & Teräsvirta, Timo, 1996, "Testing Linearity against Nonlinear Moving Average Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 95, Jan.
  8. Teräsvirta, Timo, 1996, "Two Stylized Facts and the Garch (1,1) Model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 96, Jan.
  9. Wolters, Jürgen & Teräsvirta, Timo & Lütkepohl, Helmut, 1996, "Modelling the Demand for M3 in the unified Germany," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 113, Apr.
  10. Rydén, Tobias & Teräsvirta, Timo & Åsbrink, Stefan, 1996, "Stylized Facts of Daily Return Series and the Hidden Markov Model," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 117, Jun.
  11. Skalin, Joakim & Teräsvirta, Timo, 1996, "Another Look at Swedish Business Cycles, 1861-1988," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 130, Nov.
  12. Teräsvirta, Timo, 1996, "Modelling Economic Relationships with Smooth Transition Regressions," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 131, Nov.
  13. Teräsvirta, Timo, 1996, "Smooth Transition Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 132, Nov.
  14. Kauppi, Eija & Lassila, Jukka & Teräsvirta, Timo, 1996, "Short-Term Forecasting of Industrial Production with Business Survey Data: Experience from Finland's Great Depression," Discussion Papers, The Research Institute of the Finnish Economy, number 546.
  15. Pesaran, M. H. & Timmermann, A., 1996, "A Recursive Modelling Approach to Predicting UK Stock Returns'," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9625.
  16. Savin, N.E. & Wurtz, A., 1996, "The Effect of Nuisance Parameters on the Power of LM Tests in Logit and Probit Models," Working Papers, University of Iowa, Department of Economics, number 96-05.
  17. Savin, N.E. & Wurtz, A., 1996, "Power of tests in Binary Response Models," Working Papers, University of Iowa, Department of Economics, number 96-06.

1995

  1. Torben G. Andersen & Bent E. Sorensen, 1995, "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Discussion Papers, University of Copenhagen. Department of Economics, number 95-19, Dec.
  2. C. Dahl, 1995, "Modelling U.S. Energy Demand: a Survey of Econometric Demand Elasticities," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics, number 95-02.
  3. Hylleberg, S. & Pagan, A.R., 1995, "Seasonal Integration and the Evolving Seasonals Model," Papers, Australian National University - Department of Economics, number 281.
  4. Jansen, Eilev S. & Teräsvirta, Timo, 1995, "Testing Parameter Constancy and super Exogeneity in Econometric Equations," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 53, May.
  5. Lin, Chien-Fu & Teräsvirta, Timo, 1995, "Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 54, May.
  6. Eitrheim, Øyvind & Teräsvirta, Timo, 1995, "Testing the Adequacy of Smooth Transition Autoregressive Models," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 56, May.
  7. Lütkepohl, Helmut & Teräsvirta, Timo & Wolters, Jürgen, 1995, "Investigating Stability and Linearity of a German M1 Money Demand Function," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 64, Aug.
  8. Pesaran, H. & Timmermann, A., 1995, "The Use of Recursive Model Selection Strategies in Forecasting Stock Returns," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9406.

1994

  1. Tim Bollerslev & Eric Ghysels, 1994, "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers, CIRANO, number 94s-03, Sep.
  2. Bollerslev, T. & Ghysels, E., 1994, "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9408.
  3. Søren Johansen & Anders Rygh Swensen, 1994, "Testing Rational Expectations in Vector Autoregressive Models," Discussion Papers, Statistics Norway, Research Department, number 129, Oct.
  4. Sörensen, M., 1994, "On the moments of some first passage times for exponential families of processes," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1994,48.
  5. Sörensen, M., 1994, "On Comparision of Stopping Times in Sequential Procedures for Exponential Families of Stochastic Processes," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1994,38.

1993

  1. Baillie, R.T. & Bollerslev, T., 1993, "Cointegration, Fractional Cointegration, and Exchange RAte Dynamics," Papers, Michigan State - Econometrics and Economic Theory, number 9103.
  2. Baillie, R.T. & Bollerslev, T., 1993, "The Long Memory of the Foreward Premium," Papers, Michigan State - Econometrics and Economic Theory, number 9203.

1992

  1. Tim Bollerslev & Robert J. Hodrick, 1992, "Financial Market Efficiency Tests," NBER Working Papers, National Bureau of Economic Research, Inc, number 4108, Jun.
  2. Søren Johansen & Katarina Juselius, 1992, "Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model," Discussion Papers, University of Copenhagen. Department of Economics, number 92-04, May.
  3. Henrik Hansen & Søren Johansen, 1992, "Recursive Estimation in Cointegrated VAR-Models," Discussion Papers, University of Copenhagen. Department of Economics, number 92-13, Oct.
  4. Pesaran, M.H. & Timmermann, A., 1992, "Forecasting Stock Returns," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9216.
  5. Pesaran, M.H. & Timmermann, A.G., 1992, "A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9218.

1991

  1. Baillie, R.T. & Bollerslev, T. & Redfearn, M.R., 1991, "Bear Squeezes in the Hyperinflation 1920s Foreign Exchange," Papers, Michigan State - Econometrics and Economic Theory, number 9006.
  2. Baillie, R.T. & Bollerslev, T. & Redfearn, M., 1991, "Bear Sequeese, Volatility Spillovers and Speculative Attacks inthe Hyperinflation 1920s Foreign Exchange," Papers, Tilburg - Center for Economic Research, number 9152.
  3. Baillie, R. & Bollerslev, T. & Redfearn, M.R., 1991, "Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange," Discussion Paper, Tilburg University, Center for Economic Research, number 1991-52.
  4. Johansen, S., 1991, "An I(2) Cointegration Analysis of the Purchasing Power Parity between Australia and the United States," Papers, Australian National University - Department of Economics, number 231.
  5. Johansen, S., 1991, "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers, Helsinki - Department of Economics, number 76a.
  6. Johansen, S., 1991, "A Statistical Analsysis of Cointegration for I(2) Variables," Papers, Helsinki - Department of Economics, number 77.
  7. Johansen, S., 1991, "Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data," Papers, Helsinki - Department of Economics, number 78.
  8. Rahiala, Markku & Teräsvirta, Timo, 1991, "Forecasting the Outputof Finnish Forest Industries Using Business Survey Data," Discussion Papers, The Research Institute of the Finnish Economy, number 371.

1990

  1. Baillie, R.T. & Bollerslev, R.T., 1990, "Prediction In Dynamic Models With Time Dependent Conditional Variances," Papers, Michigan State - Econometrics and Economic Theory, number 8815.
  2. Søren Johansen & Katarina Juselius, 1990, "Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK," Discussion Papers, University of Copenhagen. Department of Economics, number 90-05, Mar.
  3. Pesaran, M.H. & Timmermann, A., 1990, "A Simple, Non-Parametric Test Of Predictive Performance," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9021.
  4. Pesaran, M.H. & Timmermann, G., 1990, "The Statistical And Economic Significance Of The Predictability Of Exess Returns On Common Stocks," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9022.

1989

  1. Baillie, R.T. & Bollerslev, T., 1989, "Intra Day And Inter Market Volatility In Foreign Exchange Rates," Papers, Michigan State - Econometrics and Economic Theory, number 8811.
  2. Søren Johansen & Katarina Juselius, 1989, "The Full Information Maximum Likelihood Procedure for Inference on Cointegration - with Applications," Discussion Papers, University of Copenhagen. Department of Economics, number 89-11, Mar.
  3. Rahiala, Markku & Teräsvirta, Timo, 1989, "Labour Hoarding Over the Business Cycle: Testing the Quadratic Adjustment Cost Hypothesis," Discussion Papers, The Research Institute of the Finnish Economy, number 282, Jan.
  4. Boucelham, Jamel & Teräsvirta, Timo, 1989, "How to Use Preliminary Values in Forecasting the Monthly Index of Industrial Production?," Discussion Papers, The Research Institute of the Finnish Economy, number 284, Mar.

1988

  1. Baillie, R.T. & Bollerslev, T., 1988, "Further Results On Unit Roots And The Cointegrability Of Daily Spot And Forward Exchange Rates," Papers, Michigan State - Econometrics and Economic Theory, number 8715.
  2. Tim Bollerslev & Jeffrey M. Wooldridge, 1988, "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics, number 505, Nov.
  3. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988, "Seasonal, Integration And Cointegration," Papers, Pennsylvania State - Department of Economics, number 6-88-2.
  4. Søren Johansen & Katarina Juselius, 1988, "Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland," Discussion Papers, University of Copenhagen. Department of Economics, number 88-05, Apr.
  5. Teräsvirta, Timo, 1988, "A Review of PC-GIVE: A Statistical Package for Econometric Modelling," Discussion Papers, The Research Institute of the Finnish Economy, number 259, Apr.
  6. Luukkonen, Ritva & Teräsvirta, Timo, 1988, "Testing Linearity of Economic Time Series against Cyclical A symmetry," Discussion Papers, The Research Institute of the Finnish Economy, number 262, Jun.

1986

  1. Tim Bollerslev, 1986, "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 1986/01, Sep.

1981

  1. TERÄSVIRTA, Timo, 1981, "Some results on improving the least squares estimation of linear models by mixed estimation," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 434, Jan.

1980

  1. Teräsvirta, T., 1980, "The polynomial distributed lag revisited," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 438, Jan, DOI: 10.1007/BF01848044.

Undated

  1. Stefan Holst Bache & Christian M. Dahl & Johannes Tang, undated, "Headlights on tobacco road to low birthweight outcomes - Evidence from a battery of quantile regression estimators and a heterogeneous panelCreation-Date: 20080508," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-20.
  2. Boris Siliverstovs & Tom Engsted & Niels Haldrup, undated, "Long-run forecasting in multicointegrated systems," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2002-15.
  3. Haldrup, Niels, undated, "Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2003-9.
  4. Niels Haldrup & Peter Lildholdt, undated, "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2000-1.
  5. Niels Haldrup & Antonio Montanés & Andreu Sanso, undated, "Measurement Errors and Outliers in Seasonal Unit Root Testing," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2000-8.
  6. Niels Haldrup & Peter Lildholdt, undated, "Local Power Functions of Tests for Double Unit Roots," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2000-2.
  7. Haldrup, Niels & Nielsen, Morten Oe., undated, "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2003-10.
  8. Graham Elliott & Michael Jansson, undated, "Testing for Unit Roots with Stationary Covariates," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2000-6.
  9. Robinson Kruse, undated, "Forecasting autoregressive time series under changing persistenceCreation-Date: 20100701," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-28.
  10. Bent Jesper Christensen & Michel van der Wel, undated, "An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-14.
  11. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 0, "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-041/4, 00, revised 17 Sep 2010.
  12. Jensen, Kraen Blume & Ejrnaes, Mette & Nielsen, Helena Skyt & Würtz, Allan, undated, "Self-Employment among Immigrants: A Last Resort?," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2003-13.
  13. Goergens, Tue & Paldam, Martin & Würtz, Allan, undated, "How does Public Regulation affect Growth?," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2003-14.

Journal articles

2026

  1. Matias D. Cattaneo & Gregory F. Cox & Michael Jansson & Kenichi Nagasawa, 2026, "Continuity of the Distribution Function of the argmax of a Gaussian Process," Econometrica, Econometric Society, volume 94, issue 3, pages 941-955, May, DOI: 10.3982/ECTA23862.
  2. Kock, Anders Bredahl & Preinerstorfer, David, 2026, "Regularizing fairness in optimal policy learning with distributional targets," Journal of Econometrics, Elsevier, volume 254, issue PB, DOI: 10.1016/j.jeconom.2026.106186.
  3. Anders B. Kock & Rasmus S. Pedersen & Jesper R.-V. Sørensen, 2026, "Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions," Journal of the American Statistical Association, Taylor & Francis Journals, volume 121, issue 553, pages 289-299, January, DOI: 10.1080/01621459.2025.2516190.
  4. Escobar-Anel, Marcos & Pan, Kaize & Stentoft, Lars, 2026, "A mean reverting affine GARCH model for commodities," Energy Economics, Elsevier, volume 153, issue C, DOI: 10.1016/j.eneco.2025.109075.
  5. Nando Ehler & Marcos Escobar-Anel & Lars Stentoft & Rudi Zagst, 2026, "Behavioral portfolio decisions in a GARCH world," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 12, issue 1, pages 1-48, December, DOI: 10.1186/s40854-026-00930-z.

2025

  1. Torben G. Andersen & Kim Christensen & Ingmar Nolte, 2025, "Special Issue in Honour of Stephen J. Taylor: Guest Editors' Introduction," Journal of Time Series Analysis, Wiley Blackwell, volume 46, issue 6, pages 1029-1031, November, DOI: 10.1111/jtsa.70014.
  2. Andersen, Torben G. & Tan, Yingwen & Todorov, Viktor & Zhang, Zhiyuan, 2025, "On-line detection of changes in the shape of intraday volatility curves," Journal of Econometrics, Elsevier, volume 252, issue PA, DOI: 10.1016/j.jeconom.2025.106089.
  3. Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2025, "VIX maturity interpolation," Review of Derivatives Research, Springer, volume 28, issue 1, pages 1-40, April, DOI: 10.1007/s11147-025-09210-x.
  4. Torben G. Andersen & Viktor Todorov & Bo Zhou, 2025, "Real‐time detection of local no‐arbitrage violations," Quantitative Economics, Econometric Society, volume 16, issue 2, pages 459-495, May, DOI: 10.3982/QE2585.
  5. Torben G. Andersen & Yingwen Tan & Viktor Todorov & Zhiyuan Zhang, 2025, "Testing mean stationarity of intraday volatility curves," Quantitative Economics, Econometric Society, volume 16, issue 3, pages 1059-1091, July, DOI: 10.3982/QE2644.
  6. Cattaneo, Matias D. & Farrell, Max H. & Jansson, Michael & Masini, Ricardo P., 2025, "Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators," Journal of Econometrics, Elsevier, volume 252, issue PB, DOI: 10.1016/j.jeconom.2024.105855.
  7. Graham, Bryan & Ichimura, Hidehiko & Jansson, Michael & Khan, Shakeeb, 2025, "Introduction to the Annals Issue in Honor of James Powell," Journal of Econometrics, Elsevier, volume 252, issue PB, DOI: 10.1016/j.jeconom.2025.106051.
  8. Escobar-Anel, Marcos & Stentoft, Lars & Ye, Xize, 2025, "The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight," Econometrics and Statistics, Elsevier, volume 36, issue C, pages 1-18, DOI: 10.1016/j.ecosta.2022.12.001.
  9. Escobar-Anel, Marcos & Hou, Yangyang & Stentoft, Lars, 2025, "The shifted GARCH model with affine variance: Applications in pricing," Finance Research Letters, Elsevier, volume 71, issue C, DOI: 10.1016/j.frl.2024.106371.
  10. Escobar-Anel, Marcos & Stentoft, Lars & Ye, Xize, 2025, "Analytical fixed income pricing in discrete time: A new family of models," Global Finance Journal, Elsevier, volume 67, issue C, DOI: 10.1016/j.gfj.2025.101170.
  11. François-Michel Boire & R. Mark Reesor & Lars Stentoft, 2025, "Bias Correction in the Least-Squares Monte Carlo Algorithm," Computational Economics, Springer;Society for Computational Economics, volume 65, issue 6, pages 3161-3205, June, DOI: 10.1007/s10614-024-10663-9.
  12. Pascal Letourneau & Lars Stentoft, 2025, "Efficient Pricing and Model Calibration With Large Panels of Options," Journal of Financial Econometrics, Oxford University Press, volume 23, issue 5, pages 1-019..
  13. Changli He & Jian Kang & Annastiina Silvennoinen & Timo Teräsvirta, 2025, "The Effect of the North Atlantic Oscillation on Monthly Precipitation in Selected European Locations: A Non‐Linear Time Series Approach," Environmetrics, John Wiley & Sons, Ltd., volume 36, issue 2, March, DOI: 10.1002/env.2896.

2024

  1. Torben G. Andersen & Tao Su & Viktor Todorov & Zhiyuan Zhang, 2024, "Intraday Periodic Volatility Curves," Journal of the American Statistical Association, Taylor & Francis Journals, volume 119, issue 546, pages 1181-1191, April, DOI: 10.1080/01621459.2023.2177546.
  2. Tim Bollerslev & Jia Li & Yuexuan Ren, 2024, "Optimal Inference for Spot Regressions," American Economic Review, American Economic Association, volume 114, issue 3, pages 678-708, March, DOI: 10.1257/aer.20221338.
  3. Bollerslev, Tim & Li, Jia & Li, Qiyuan, 2024, "Optimal nonparametric range-based volatility estimation," Journal of Econometrics, Elsevier, volume 238, issue 1, DOI: 10.1016/j.jeconom.2023.105548.
  4. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2024, "Predicting Bond Return Predictability," Management Science, INFORMS, volume 70, issue 2, pages 931-951, February, DOI: 10.1287/mnsc.2023.4713.
  5. Tom Engsted & Jesper W. Schneider, 2024, "Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective," Foundations and Trends(R) in Econometrics, now publishers, volume 13, issue 1, pages 1-66, February, DOI: 10.1561/0800000048.
  6. Brien, Samuel & Jansson, Michael & Nielsen, Morten Ørregaard, 2024, "Nearly Efficient Likelihood Ratio Tests Of A Unit Root In An Autoregressive Model Of Arbitrary Order," Econometric Theory, Cambridge University Press, volume 40, issue 5, pages 1159-1183, October.
  7. Cattaneo, Matias D. & Jansson, Michael & Ma, Xinwei, 2024, "Local regression distribution estimators," Journal of Econometrics, Elsevier, volume 240, issue 2, DOI: 10.1016/j.jeconom.2021.01.006.
  8. Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2024, "Demand and Welfare Analysis in Discrete Choice Models with Social Interactions," The Review of Economic Studies, Review of Economic Studies Ltd, volume 91, issue 2, pages 748-784.
  9. Kock, Anders Bredahl & Preinerstorfer, David & Veliyev, Bezirgen, 2024, "Functional Sequential Treatment Allocation With Covariates," Econometric Theory, Cambridge University Press, volume 40, issue 6, pages 1211-1252, December.
  10. Kock, Anders Bredahl & Preinerstorfer, David, 2024, "A remark on moment-dependent phase transitions in high-dimensional Gaussian approximations," Statistics & Probability Letters, Elsevier, volume 211, issue C, DOI: 10.1016/j.spl.2024.110149.
  11. Max-Sebastian Dovì & Anders Bredahl Kock & Sophocles Mavroeidis, 2024, "A Ridge-Regularized Jackknifed Anderson-Rubin Test," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 42, issue 3, pages 1083-1094, July, DOI: 10.1080/07350015.2023.2290739.
  12. Kristensen, Dennis & Lee, Young Jun & Mele, Antonio, 2024, "Closed-form approximations of moments and densities of continuous–time Markov models," Journal of Economic Dynamics and Control, Elsevier, volume 168, issue C, DOI: 10.1016/j.jedc.2024.104948.
  13. Stig Vinther Møller & Thomas Pedersen & Erik Christian Montes Schütte & Allan Timmermann, 2024, "Search and Predictability of Prices in the Housing Market," Management Science, INFORMS, volume 70, issue 1, pages 415-438, January, DOI: 10.1287/mnsc.2023.4672.
  14. Reesor, R. Mark & Stentoft, Lars & Zhu, Xiaotian, 2024, "A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options," Finance Research Letters, Elsevier, volume 64, issue C, DOI: 10.1016/j.frl.2024.105379.
  15. Escobar-Anel, Marcos & Stentoft, Lars & Ye, Xize, 2024, "Not all VIXs are (Informationally) equal: Evidence from affine GARCH option pricing models," Finance Research Letters, Elsevier, volume 69, issue PA, DOI: 10.1016/j.frl.2024.106053.
  16. He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2024, "Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model," Journal of Econometrics, Elsevier, volume 239, issue 1, DOI: 10.1016/j.jeconom.2023.105494.
  17. Silvennoinen, Annastiina & Teräsvirta, Timo, 2024, "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," Econometrics and Statistics, Elsevier, volume 32, issue C, pages 57-72, DOI: 10.1016/j.ecosta.2021.07.008.
  18. Lucchese, Lorenzo & Pakkanen, Mikko S. & Veraart, Almut E.D., 2024, "The short-term predictability of returns in order book markets: A deep learning perspective," International Journal of Forecasting, Elsevier, volume 40, issue 4, pages 1587-1621, DOI: 10.1016/j.ijforecast.2024.02.001.
  19. Leonte, Dan & Veraart, Almut E.D., 2024, "Simulation methods and error analysis for trawl processes and ambit fields," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 215, issue C, pages 518-542, DOI: 10.1016/j.matcom.2023.07.018.
  20. Schaffer, Markus & Vera-Valdés, J. Eduardo & Marszal-Pomianowska, Anna, 2024, "Exploring smart heat meter data: A co-clustering driven approach to analyse the energy use of single-family houses," Applied Energy, Elsevier, volume 371, issue C, DOI: 10.1016/j.apenergy.2024.123586.
  21. Schaffer, Markus & Widén, Joakim & Vera-Valdés, J. Eduardo & Marszal-Pomianowska, Anna & Larsen, Tine Steen, 2024, "Disaggregation of total energy use into space heating and domestic hot water: A city-scale suited approach," Energy, Elsevier, volume 291, issue C, DOI: 10.1016/j.energy.2024.130351.

2023

  1. Torben Andersen & Kim Christensen & Ingmar Nolte, 2023, "Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor," Journal of Time Series Analysis, Wiley Blackwell, volume 44, issue 4, pages 336-336, July, DOI: 10.1111/jtsa.12693.
  2. Andersen, Torben G. & Riva, Raul & Thyrsgaard, Martin & Todorov, Viktor, 2023, "Intraday cross-sectional distributions of systematic risk," Journal of Econometrics, Elsevier, volume 235, issue 2, pages 1394-1418, DOI: 10.1016/j.jeconom.2022.11.001.
  3. Andersen, Torben G. & Li, Yingying & Todorov, Viktor & Zhou, Bo, 2023, "Volatility measurement with pockets of extreme return persistence," Journal of Econometrics, Elsevier, volume 237, issue 2, DOI: 10.1016/j.jeconom.2020.11.005.
  4. Bollerslev, Tim, 2023, "Reprint of: Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics, Elsevier, volume 234, issue S, pages 25-37, DOI: 10.1016/j.jeconom.2023.02.001.
  5. Bollerslev, Tim & Todorov, Viktor, 2023, "The jump leverage risk premium," Journal of Financial Economics, Elsevier, volume 150, issue 3, DOI: 10.1016/j.jfineco.2023.103723.
  6. Borup, Daniel & Christensen, Bent Jesper & Mühlbach, Nicolaj Søndergaard & Nielsen, Mikkel Slot, 2023, "Targeting predictors in random forest regression," International Journal of Forecasting, Elsevier, volume 39, issue 2, pages 841-868, DOI: 10.1016/j.ijforecast.2022.02.010.
  7. Borup, Daniel & Rapach, David E. & Schütte, Erik Christian Montes, 2023, "Mixed-frequency machine learning: Nowcasting and backcasting weekly initial claims with daily internet search volume data," International Journal of Forecasting, Elsevier, volume 39, issue 3, pages 1122-1144, DOI: 10.1016/j.ijforecast.2022.05.005.
  8. Daniel Borup & Jorge Wolfgang Hansen & Benjamin Dybro Liengaard & Erik Christian Montes Schütte, 2023, "Quantifying investor narratives and their role during COVID‐19," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 38, issue 4, pages 512-532, June, DOI: 10.1002/jae.2964.
  9. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2023, "The effect of uncertainty on stock market volatility and correlation," Journal of Banking & Finance, Elsevier, volume 154, issue C, DOI: 10.1016/j.jbankfin.2023.106929.
  10. Christiansen, Charlotte & Jansson, Thomas & Kallestrup-Lamb, Malene & Noren, Vicke, 2023, "Households' investments in socially responsible mutual funds," The Quarterly Review of Economics and Finance, Elsevier, volume 87, issue C, pages 46-67, DOI: 10.1016/j.qref.2022.11.005.
  11. Dahl, Christian M. & Johansen, Torben S.D. & Sørensen, Emil N. & Wittrock, Simon, 2023, "HANA: A handwritten name database for offline handwritten text recognition," Explorations in Economic History, Elsevier, volume 87, issue C, DOI: 10.1016/j.eeh.2022.101473.
  12. Michael Christensen & Christian M. Dahl & Thorbjørn Knudsen & Massimo Warglien, 2023, "Context and Aggregation: An Experimental Study of Bias and Discrimination in Organizational Decisions," Organization Science, INFORMS, volume 34, issue 6, pages 2163-2181, November, DOI: 10.1287/orsc.2021.1502.
  13. Christian M. Dahl & Torben S. D. Johansen & Emil N. Sørensen & Christian E. Westermann & Simon Wittrock, 2023, "Applications of machine learning in tabular document digitisation," Historical Methods: A Journal of Quantitative and Interdisciplinary History, Taylor & Francis Journals, volume 56, issue 1, pages 34-48, January, DOI: 10.1080/01615440.2023.2164879.
  14. Hylleberg, Svend, 2023, "Produktivitetskrisen i den økonomiske videnskab på Aarhus Universitet fra 1946 til 1980," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, volume 2023, issue 1, pages 1-21.
  15. Kock, Anders Bredahl & Preinerstorfer, David & Veliyev, Bezirgen, 2023, "Treatment recommendation with distributional targets," Journal of Econometrics, Elsevier, volume 234, issue 2, pages 624-646, DOI: 10.1016/j.jeconom.2022.08.003.
  16. Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2023, "Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing," International Review of Financial Analysis, Elsevier, volume 87, issue C, DOI: 10.1016/j.irfa.2023.102622.
  17. Dillon Huddleston & Fred Liu & Lars Stentoft, 2023, "Intraday Market Predictability: A Machine Learning Approach," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 2, pages 485-527.
  18. Pascal Letourneau & Lars Stentoft, 2023, "Simulated Greeks for American options," Quantitative Finance, Taylor & Francis Journals, volume 23, issue 4, pages 653-676, April, DOI: 10.1080/14697688.2022.2159869.
  19. He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2023, "Long monthly European temperature series and the North Atlantic Oscillation," Energy Economics, Elsevier, volume 126, issue C, DOI: 10.1016/j.eneco.2023.107003.
  20. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2023, "Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks," Econometrics, MDPI, volume 11, issue 1, pages 1-37, February.
  21. Bennedsen, Mikkel & Lunde, Asger & Shephard, Neil & Veraart, Almut E.D., 2023, "Inference and forecasting for continuous-time integer-valued trawl processes," Journal of Econometrics, Elsevier, volume 236, issue 2, DOI: 10.1016/j.jeconom.2023.105476.
  22. Li, Yuan & Pakkanen, Mikko S. & Veraart, Almut E.D., 2023, "Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes," Stochastic Processes and their Applications, Elsevier, volume 155, issue C, pages 202-231, DOI: 10.1016/j.spa.2022.10.001.
  23. Andrea Fronzetti Colladon & Stefano Grassi & Francesco Ravazzolo & Francesco Violante, 2023, "Forecasting financial markets with semantic network analysis in the COVID‐19 crisis," Journal of Forecasting, John Wiley & Sons, Ltd., volume 42, issue 5, pages 1187-1204, August, DOI: 10.1002/for.2936.

2022

  1. Andersen, Torben G. & Varneskov, Rasmus T., 2022, "Consistent Local Spectrum Inference For Predictive Return Regressions," Econometric Theory, Cambridge University Press, volume 38, issue 6, pages 1253-1307, December.
  2. Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2022, "Local mispricing and microstructural noise: A parametric perspective," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 510-534, DOI: 10.1016/j.jeconom.2021.06.006.
  3. Andersen, Torben G. & Varneskov, Rasmus T., 2022, "Testing for parameter instability and structural change in persistent predictive regressions," Journal of Econometrics, Elsevier, volume 231, issue 2, pages 361-386, DOI: 10.1016/j.jeconom.2021.05.011.
  4. Bollerslev, Tim & Patton, Andrew J. & Zhang, Haozhe, 2022, "Equity clusters through the lens of realized semicorrelations," Economics Letters, Elsevier, volume 211, issue C, DOI: 10.1016/j.econlet.2021.110245.
  5. Zhang, Congshan & Li, Jia & Bollerslev, Tim, 2022, "Occupation density estimation for noisy high-frequency data," Journal of Econometrics, Elsevier, volume 227, issue 1, pages 189-211, DOI: 10.1016/j.jeconom.2020.05.013.
  6. Bollerslev, Tim & Medeiros, Marcelo C. & Patton, Andrew J. & Quaedvlieg, Rogier, 2022, "From zero to hero: Realized partial (co)variances," Journal of Econometrics, Elsevier, volume 231, issue 2, pages 348-360, DOI: 10.1016/j.jeconom.2021.04.013.
  7. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2022, "Realized semibetas: Disentangling “good” and “bad” downside risks," Journal of Financial Economics, Elsevier, volume 144, issue 1, pages 227-246, DOI: 10.1016/j.jfineco.2021.05.056.
  8. Tim Bollerslev, 2022, "Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal
    [Vulnerable Growth]    ," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 2, pages 219-252.
  9. Borup, Daniel & Schütte, Erik Christian Montes, 2022, "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, volume 59, issue PB, DOI: 10.1016/j.finmar.2021.100620.
  10. Daniel Borup & Erik Christian Montes Schütte, 2022, "In Search of a Job: Forecasting Employment Growth Using Google Trends," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 40, issue 1, pages 186-200, January, DOI: 10.1080/07350015.2020.1791133.
  11. Christian Møller Dahl & Casper Worm Hansen & Peter Sandholt Jensen, 2022, "The 1918 epidemic and a V‐shaped recession: evidence from historical tax records," Scandinavian Journal of Economics, Wiley Blackwell, volume 124, issue 1, pages 139-163, January, DOI: 10.1111/sjoe.12456.
  12. Christian M Dahl & Emma M Iglesias, 2022, "The Tail Behavior due to the Presence of the Risk Premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean Models
    [Stock Returns and Volatility]    ," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 1, pages 139-159.
  13. Cattaneo, Matias D. & Jansson, Michael, 2022, "Average Density Estimators: Efficiency And Bootstrap Consistency," Econometric Theory, Cambridge University Press, volume 38, issue 6, pages 1140-1174, December.
  14. Anders Bredahl Kock & David Preinerstorfer & Bezirgen Veliyev, 2022, "Functional Sequential Treatment Allocation," Journal of the American Statistical Association, Taylor & Francis Journals, volume 117, issue 539, pages 1311-1323, September, DOI: 10.1080/01621459.2020.1851236.
  15. Hurn Stan & Johnson Nicholas & Silvennoinen Annastiina & Teräsvirta Timo, 2022, "Transition from the Taylor rule to the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 5, pages 635-647, December, DOI: 10.1515/snde-2019-0102.
  16. Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022, "A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model," Econometrics, MDPI, volume 10, issue 3, pages 1-41, August.
  17. Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2022, "Comprehensively testing linearity hypothesis using the smooth transition autoregressive model," Econometric Reviews, Taylor & Francis Journals, volume 41, issue 8, pages 966-984, September, DOI: 10.1080/07474938.2022.2091713.
  18. Valentin Courgeau & Almut E.D. Veraart, 2022, "Asymptotic theory for the inference of the latent trawl model for extreme values," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 49, issue 4, pages 1448-1495, December, DOI: 10.1111/sjos.12563.
  19. Benth, Fred Espen & Schroers, Dennis & Veraart, Almut E.D., 2022, "A weak law of large numbers for realised covariation in a Hilbert space setting," Stochastic Processes and their Applications, Elsevier, volume 145, issue C, pages 241-268, DOI: 10.1016/j.spa.2021.12.011.
  20. Axel Gandy & Kaushik Jana & Almut E. D. Veraart, 2022, "Scoring predictions at extreme quantiles," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 106, issue 4, pages 527-544, December, DOI: 10.1007/s10182-021-00421-9.
  21. Valentin Courgeau & Almut E. D. Veraart, 2022, "Likelihood theory for the graph Ornstein-Uhlenbeck process," Statistical Inference for Stochastic Processes, Springer, volume 25, issue 2, pages 227-260, July, DOI: 10.1007/s11203-021-09257-1.
  22. Vera-Valdés, J. Eduardo, 2022, "The persistence of financial volatility after COVID-19," Finance Research Letters, Elsevier, volume 44, issue C, DOI: 10.1016/j.frl.2021.102056.
  23. Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés & Katarzyna Łasak & Ricardo Ramírez-Vargas, 2022, "Spurious multivariate regressions under fractionally integrated processes," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, volume 51, issue 7, pages 2034-2056, April, DOI: 10.1080/03610926.2020.1758945.

2021

  1. Andersen, Torben G. & Todorov, Viktor & Ubukata, Masato, 2021, "Tail risk and return predictability for the Japanese equity market," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 344-363, DOI: 10.1016/j.jeconom.2020.07.005.
  2. Andersen, Torben G. & Varneskov, Rasmus T., 2021, "Consistent inference for predictive regressions in persistent economic systems," Journal of Econometrics, Elsevier, volume 224, issue 1, pages 215-244, DOI: 10.1016/j.jeconom.2020.04.051.
  3. Torben Andersen & Ilya Archakov & Leon Grund & Nikolaus Hautsch & Yifan Li & Sergey Nasekin & Ingmar Nolte & Manh Cuong Pham & Stephen Taylor & Viktor Todorov, 2021, "A Descriptive Study of High-Frequency Trade and Quote Option Data
    [Stealth Trading in Options Markets]    ," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 1, pages 128-177.
  4. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2021, "Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk," Quantitative Economics, Econometric Society, volume 12, issue 2, pages 647-682, May, DOI: 10.3982/QE1570.
  5. Tim Bollerslev & Jia Li & Leonardo Salim Saker Chaves, 2021, "Generalized Jump Regressions for Local Moments," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 39, issue 4, pages 1015-1025, October, DOI: 10.1080/07350015.2020.1753526.
  6. Tim Bollerslev & Jia Li & Zhipeng Liao, 2021, "Fixed‐k inference for volatility," Quantitative Economics, Econometric Society, volume 12, issue 4, pages 1053-1084, November, DOI: 10.3982/QE1749.
  7. Bertelsen, Kristoffer Pons & Borup, Daniel & Jakobsen, Johan Stax, 2021, "Stock market volatility and public information flow: A non-linear perspective," Economics Letters, Elsevier, volume 204, issue C, DOI: 10.1016/j.econlet.2021.109905.
  8. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021, "Long- and short-run components of factor betas: Implications for stock pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 74, issue C, DOI: 10.1016/j.intfin.2021.101412.
  9. Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva, 2021, "Quantile Risk–Return Trade-Off," JRFM, MDPI, volume 14, issue 6, pages 1-14, June.
  10. Borowiecki, Karol Jan & Dahl, Christian Møller, 2021, "What makes an artist? The evolution and clustering of creative activity in the US since 1850," Regional Science and Urban Economics, Elsevier, volume 86, issue C, DOI: 10.1016/j.regsciurbeco.2020.103614.
  11. Christian M. Dahl & Emma M. Iglesias, 2021, "Asymptotic normality of the MLE in the level-effect ARCH model," Statistical Papers, Springer, volume 62, issue 1, pages 117-135, February, DOI: 10.1007/s00362-019-01086-y.
  12. Martin M Andreasen & Tom Engsted & Stig V Møller & Magnus Sander & Stijn Van Nieuwerburgh, 2021, "The Yield Spread and Bond Return Predictability in Expansions and Recessions," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 6, pages 2773-2812.
  13. Hillebrand, Eric & Lukas, Manuel & Wei, Wei, 2021, "Bagging weak predictors," International Journal of Forecasting, Elsevier, volume 37, issue 1, pages 237-254, DOI: 10.1016/j.ijforecast.2020.05.002.
  14. Bennedsen, Mikkel & Hillebrand, Eric & Koopman, Siem Jan, 2021, "Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors," Energy Economics, Elsevier, volume 96, issue C, DOI: 10.1016/j.eneco.2021.105118.
  15. Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis, 2021, "Diffusion copulas: Identification and estimation," Journal of Econometrics, Elsevier, volume 221, issue 2, pages 616-643, DOI: 10.1016/j.jeconom.2020.06.004.
  16. Kristensen, Dennis & Mogensen, Patrick K. & Moon, Jong Myun & Schjerning, Bertel, 2021, "Solving dynamic discrete choice models using smoothing and sieve methods," Journal of Econometrics, Elsevier, volume 223, issue 2, pages 328-360, DOI: 10.1016/j.jeconom.2020.02.007.
  17. Mogens Fosgerau & Dennis Kristensen, 2021, "Identification of a class of index models: A topological approach," The Econometrics Journal, Royal Economic Society, volume 24, issue 1, pages 121-133.
  18. Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021, "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, volume 224, issue 1, pages 161-180, DOI: 10.1016/j.jeconom.2021.01.005.
  19. Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2021, "Option pricing with conditional GARCH models," European Journal of Operational Research, Elsevier, volume 289, issue 1, pages 350-363, DOI: 10.1016/j.ejor.2020.07.002.
  20. François-Michel Boire & R. Mark Reesor & Lars Stentoft, 2021, "Efficient Variance Reduction for American Call Options Using Symmetry Arguments," JRFM, MDPI, volume 14, issue 11, pages 1-21, October.
  21. Francois-Michel Boire & R. Mark Reesor & Lars Stentoft, 2021, "American Option Pricing with Importance Sampling and Shifted Regressions," JRFM, MDPI, volume 14, issue 8, pages 1-21, July.
  22. Fred Liu & Lars Stentoft, 2021, "Regulatory Capital and Incentives for Risk Model Choice under Basel 3
    [Procyclical Leverage and Value-at-Risk]    ," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 1, pages 53-96.
  23. Pascal François & Lars Stentoft, 2021, "Smile‐implied hedging with volatility risk," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 41, issue 8, pages 1220-1240, August, DOI: 10.1002/fut.22191.
  24. He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2021, "Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model," Energy Economics, Elsevier, volume 97, issue C, DOI: 10.1016/j.eneco.2021.105171.
  25. Rowińska, Paulina A. & Veraart, Almut E.D. & Gruet, Pierre, 2021, "A multi-factor approach to modelling the impact of wind energy on electricity spot prices," Energy Economics, Elsevier, volume 104, issue C, DOI: 10.1016/j.eneco.2021.105640.
  26. J. Eduardo Vera-Valdés, 2021, "Temperature Anomalies, Long Memory, and Aggregation," Econometrics, MDPI, volume 9, issue 1, pages 1-22, March.
  27. C. Vladimir Rodríguez-Caballero & J. Eduardo Vera-Valdés, 2021, "Air Pollution and Mobility, What Carries COVID-19?," Econometrics, MDPI, volume 9, issue 4, pages 1-17, October.
  28. J. Eduardo Vera-Valdés, 2021, "Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation," Econometrics, MDPI, volume 9, issue 4, pages 1-18, October.
  29. J. Eduardo Vera-Valdés, 2021, "The political risk factors of COVID-19," International Review of Applied Economics, Taylor & Francis Journals, volume 35, issue 2, pages 269-287, March, DOI: 10.1080/02692171.2020.1866973.

2020

  1. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2020, "The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 38, issue 3, pages 662-678, July, DOI: 10.1080/07350015.2018.1564318.
  2. Bollerslev, Tim & Li, Sophia Zhengzi & Zhao, Bingzhi, 2020, "Good Volatility, Bad Volatility, and the Cross Section of Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 55, issue 3, pages 751-781, May.
  3. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2020, "Multivariate leverage effects and realized semicovariance GARCH models," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 411-430, DOI: 10.1016/j.jeconom.2019.12.011.
  4. Tim Bollerslev & Jia Li & Andrew J. Patton & Rogier Quaedvlieg, 2020, "Realized Semicovariances," Econometrica, Econometric Society, volume 88, issue 4, pages 1515-1551, July, DOI: 10.3982/ECTA17056.
  5. Christiansen, Charlotte & Grønborg, Niels S. & Nielsen, Ole L., 2020, "Mutual fund selection for realistically short samples," Journal of Empirical Finance, Elsevier, volume 55, issue C, pages 218-240, DOI: 10.1016/j.jempfin.2019.12.001.
  6. Christensen, Kim & Christiansen, Charlotte & Posselt, Anders M., 2020, "The economic value of VIX ETPs," Journal of Empirical Finance, Elsevier, volume 58, issue C, pages 121-138, DOI: 10.1016/j.jempfin.2020.05.009.
  7. Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2020, "Flight-to-safety and the risk-return trade-off: European evidence," Finance Research Letters, Elsevier, volume 35, issue C, DOI: 10.1016/j.frl.2019.09.009.
  8. Eric Hillebrand & Søren Johansen & Torben Schmith, 2020, "Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature," Econometrics, MDPI, volume 8, issue 4, pages 1-19, November.
  9. Matias D. Cattaneo & Michael Jansson & Xinwei Ma, 2020, "Simple Local Polynomial Density Estimators," Journal of the American Statistical Association, Taylor & Francis Journals, volume 115, issue 531, pages 1449-1455, July, DOI: 10.1080/01621459.2019.1635480.
  10. Matias D. Cattaneo & Michael Jansson & Kenichi Nagasawa, 2020, "Bootstrap‐Based Inference for Cube Root Asymptotics," Econometrica, Econometric Society, volume 88, issue 5, pages 2203-2219, September, DOI: 10.3982/ECTA17950.
  11. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2020, "Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 38, issue 1, pages 55-67, January, DOI: 10.1080/07350015.2018.1448830.
  12. Pedersen, Thomas Quistgaard & Schütte, Erik Christian Montes, 2020, "Testing for explosive bubbles in the presence of autocorrelated innovations," Journal of Empirical Finance, Elsevier, volume 58, issue C, pages 207-225, DOI: 10.1016/j.jempfin.2020.06.002.
  13. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020, "Dynamics of variance risk premia: A new model for disentangling the price of risk," Journal of Econometrics, Elsevier, volume 217, issue 2, pages 312-334, DOI: 10.1016/j.jeconom.2019.12.006.
  14. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020, "Variance swap payoffs, risk premia and extreme market conditions," Econometrics and Statistics, Elsevier, volume 13, issue C, pages 106-124, DOI: 10.1016/j.ecosta.2019.05.003.
  15. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020, "Pricing individual stock options using both stock and market index information," Journal of Banking & Finance, Elsevier, volume 111, issue C, DOI: 10.1016/j.jbankfin.2019.105727.
  16. Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2020, "Affine multivariate GARCH models," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105895.
  17. Lars Stentoft, 2020, "Computational Finance," JRFM, MDPI, volume 13, issue 7, pages 1-4, July.
  18. Holt, Matthew T. & Teräsvirta, Timo, 2020, "Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis," Journal of Econometrics, Elsevier, volume 214, issue 1, pages 198-215, DOI: 10.1016/j.jeconom.2019.05.011.
  19. C. Vladimir Rodríguez-Caballero & J. Eduardo Vera-Valdés, 2020, "Long-Lasting Economic Effects of Pandemics:Evidence on Growth and Unemployment," Econometrics, MDPI, volume 8, issue 3, pages 1-16, September.
  20. J. Eduardo Vera‐Valdés, 2020, "On long memory origins and forecast horizons," Journal of Forecasting, John Wiley & Sons, Ltd., volume 39, issue 5, pages 811-826, August, DOI: 10.1002/for.2651.

2019

  1. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T., 2019, "Inference For Option Panels In Pure-Jump Settings," Econometric Theory, Cambridge University Press, volume 35, issue 5, pages 901-942, October.
  2. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T., 2019, "Unified inference for nonlinear factor models from panels with fixed and large time span," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 4-25, DOI: 10.1016/j.jeconom.2019.04.018.
  3. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2019, "Time-Varying Periodicity in Intraday Volatility," Journal of the American Statistical Association, Taylor & Francis Journals, volume 114, issue 528, pages 1695-1707, October, DOI: 10.1080/01621459.2018.1512864.
  4. Bollerslev, Tim & Meddahi, Nour & Nyawa, Serge, 2019, "High-dimensional multivariate realized volatility estimation," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 116-136, DOI: 10.1016/j.jeconom.2019.04.023.
  5. Borup, Daniel, 2019, "Asset pricing model uncertainty," Journal of Empirical Finance, Elsevier, volume 54, issue C, pages 166-189, DOI: 10.1016/j.jempfin.2019.07.005.
  6. Daniel Borup & Johan S. Jakobsen, 2019, "Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model," Quantitative Finance, Taylor & Francis Journals, volume 19, issue 11, pages 1839-1855, November, DOI: 10.1080/14697688.2019.1614653.
  7. Aslanidis, Nektarios & Christiansen, Charlotte & Cipollini, Andrea, 2019, "Predicting bond betas using macro-finance variables," Finance Research Letters, Elsevier, volume 29, issue C, pages 193-199, DOI: 10.1016/j.frl.2018.07.007.
  8. Christiansen, Charlotte & Eriksen, Jonas N. & Møller, Stig V., 2019, "Negative house price co-movements and US recessions," Regional Science and Urban Economics, Elsevier, volume 77, issue C, pages 382-394, DOI: 10.1016/j.regsciurbeco.2019.06.007.
  9. Nektarios Aslanidis & Charlotte Christiansen & Neophytos Lambertides & Christos S. Savva, 2019, "Idiosyncratic volatility puzzle: influence of macro-finance factors," Review of Quantitative Finance and Accounting, Springer, volume 52, issue 2, pages 381-401, February, DOI: 10.1007/s11156-018-0713-x.
  10. Dahl, Christian M. & Effraimidis, Georgios & Pedersen, Mikkel H., 2019, "Nonparametric wind power forecasting under fixed and random censoring," Energy Economics, Elsevier, volume 84, issue C, DOI: 10.1016/j.eneco.2019.104520.
  11. Niels Haldrup & Carsten P. T. Rosenskjold, 2019, "A Parametric Factor Model of the Term Structure of Mortality," Econometrics, MDPI, volume 7, issue 1, pages 1-22, March.
  12. Mikkelsen, Jakob Guldbæk & Hillebrand, Eric & Urga, Giovanni, 2019, "Consistent estimation of time-varying loadings in high-dimensional factor models," Journal of Econometrics, Elsevier, volume 208, issue 2, pages 535-562, DOI: 10.1016/j.jeconom.2018.09.020.
  13. Matias D Cattaneo & Michael Jansson & Xinwei Ma, 2019, "Two-Step Estimation and Inference with Possibly Many Included Covariates," The Review of Economic Studies, Review of Economic Studies Ltd, volume 86, issue 3, pages 1095-1122.
  14. Søren Johansen & Morten Ørregaard Nielsen, 2019, "Nonstationary Cointegration in the Fractionally Cointegrated VAR Model," Journal of Time Series Analysis, Wiley Blackwell, volume 40, issue 4, pages 519-543, July, DOI: 10.1111/jtsa.12438.
  15. Johansen, Søren & Nielsen, Bent, 2019, "Boundedness Of M-Estimators For Linear Regression In Time Series," Econometric Theory, Cambridge University Press, volume 35, issue 3, pages 653-683, June.
  16. Søren Johansen, 2019, "Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models," Econometrics, MDPI, volume 7, issue 1, pages 1-10, January.
  17. Kock, Anders Bredahl & Tang, Haihan, 2019, "Uniform Inference In High-Dimensional Dynamic Panel Data Models With Approximately Sparse Fixed Effects," Econometric Theory, Cambridge University Press, volume 35, issue 2, pages 295-359, April.
  18. Anders Bredahl Kock & David Preinerstorfer, 2019, "Power in High‐Dimensional Testing Problems," Econometrica, Econometric Society, volume 87, issue 3, pages 1055-1069, May, DOI: 10.3982/ECTA15844.
  19. Robinson Kruse & Christoph Wegener, 2019, "Explosive behaviour and long memory with an application to European bond yield spreads," Scottish Journal of Political Economy, Scottish Economic Society, volume 66, issue 1, pages 139-153, February, DOI: 10.1111/sjpe.12179.
  20. Wegener, Christoph & Kruse, Robinson & Basse, Tobias, 2019, "The walking debt crisis," Journal of Economic Behavior & Organization, Elsevier, volume 157, issue C, pages 382-402, DOI: 10.1016/j.jebo.2017.10.008.
  21. Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019, "Testing Garch-X Type Models," Econometric Theory, Cambridge University Press, volume 35, issue 5, pages 1012-1047, October.
  22. Jakobsen, Nina Munkholt & Sørensen, Michael, 2019, "Estimating functions for jump–diffusions," Stochastic Processes and their Applications, Elsevier, volume 129, issue 9, pages 3282-3318, DOI: 10.1016/j.spa.2018.09.006.
  23. Lars Stentoft, 2019, "Efficient Numerical Pricing of American Call Options Using Symmetry Arguments," JRFM, MDPI, volume 12, issue 2, pages 1-26, April.
  24. Pascal Létourneau & Lars Stentoft, 2019, "Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method," JRFM, MDPI, volume 12, issue 4, pages 1-21, December.
  25. He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2019, "The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016," Econometrics and Statistics, Elsevier, volume 12, issue C, pages 1-24, DOI: 10.1016/j.ecosta.2019.05.005.
  26. Christensen, Bent Jesper & van der Wel, Michel, 2019, "An asset pricing approach to testing general term structure models," Journal of Financial Economics, Elsevier, volume 134, issue 1, pages 165-191, DOI: 10.1016/j.jfineco.2019.03.010.
  27. Veraart, Almut E.D., 2019, "Modeling, simulation and inference for multivariate time series of counts using trawl processes," Journal of Multivariate Analysis, Elsevier, volume 169, issue C, pages 110-129, DOI: 10.1016/j.jmva.2018.08.012.
  28. Heinrich, Claudio & Pakkanen, Mikko S. & Veraart, Almut E.D., 2019, "Hybrid simulation scheme for volatility modulated moving average fields," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 166, issue C, pages 224-244, DOI: 10.1016/j.matcom.2019.04.006.
  29. Riccardo Passeggeri & Almut E. D. Veraart, 2019, "Mixing Properties of Multivariate Infinitely Divisible Random Fields," Journal of Theoretical Probability, Springer, volume 32, issue 4, pages 1845-1879, December, DOI: 10.1007/s10959-018-0864-7.
  30. Daniela Osterrieder & Daniel Ventosa-Santaulària & J Eduardo Vera-Valdés, 2019, "The VIX, the Variance Premium, and Expected Returns," Journal of Financial Econometrics, Oxford University Press, volume 17, issue 4, pages 517-558.
  31. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019, "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, volume 99, issue C, pages 1-20, DOI: 10.1016/j.jbankfin.2018.11.012.
  32. Tue Gørgens & Allan H. Würtz, 2019, "Threshold Regression with Endogeneity for Short Panels," Econometrics, MDPI, volume 7, issue 2, pages 1-8, May.

2018

  1. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2018, "Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions," Journal of Econometrics, Elsevier, volume 207, issue 1, pages 71-91, DOI: 10.1016/j.jeconom.2018.05.004.
  2. Tim Bollerslev & Jia Li & Yuan Xue, 2018, "Volume, Volatility, and Public News Announcements," The Review of Economic Studies, Review of Economic Studies Ltd, volume 85, issue 4, pages 2005-2041.
  3. Tim Bollerslev & Benjamin Hood & John Huss & Lasse Heje Pedersen, 2018, "Risk Everywhere: Modeling and Managing Volatility," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 7, pages 2729-2773.
  4. Eric Hillebrand & Huiyu Huang & Tae-Hwy Lee & Canlin Li, 2018, "Using the Entire Yield Curve in Forecasting Output and Inflation," Econometrics, MDPI, volume 6, issue 3, pages 1-27, August.
  5. Jansson, Michael & Taylor, Robert, 2018, "Special Issue Of Econometric Theory In Honor Of Professor Richard J. Smith: Guest Editors’ Introduction," Econometric Theory, Cambridge University Press, volume 34, issue 2, pages 247-252, April.
  6. Cattaneo, Matias D. & Jansson, Michael & Newey, Whitney K., 2018, "Alternative Asymptotics And The Partially Linear Model With Many Regressors," Econometric Theory, Cambridge University Press, volume 34, issue 2, pages 277-301, April.
  7. Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2018, "Inference in Linear Regression Models with Many Covariates and Heteroscedasticity," Journal of the American Statistical Association, Taylor & Francis Journals, volume 113, issue 523, pages 1350-1361, July, DOI: 10.1080/01621459.2017.1328360.
  8. Matias D. Cattaneo & Michael Jansson & Xinwei Ma, 2018, "Manipulation testing based on density discontinuity," Stata Journal, StataCorp LLC, volume 18, issue 1, pages 234-261, March.
  9. Matias D. Cattaneo & Michael Jansson, 2018, "Kernel†Based Semiparametric Estimators: Small Bandwidth Asymptotics and Bootstrap Consistency," Econometrica, Econometric Society, volume 86, issue 3, pages 955-995, May, DOI: 10.3982/ECTA12701.
  10. Søren Johansen & Morten Ørregaard Nielsen, 2018, "Testing the CVAR in the Fractional CVAR Model," Journal of Time Series Analysis, Wiley Blackwell, volume 39, issue 6, pages 836-849, November, DOI: 10.1111/jtsa.12300.
  11. Johansen, Søren & Nielsen, Morten Ørregaard, 2018, "The cointegrated vector autoregressive model with general deterministic terms," Journal of Econometrics, Elsevier, volume 202, issue 2, pages 214-229, DOI: 10.1016/j.jeconom.2017.10.003.
  12. Caner, Mehmet & Kock, Anders Bredahl, 2018, "Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso," Journal of Econometrics, Elsevier, volume 203, issue 1, pages 143-168, DOI: 10.1016/j.jeconom.2017.11.005.
  13. Kruse, Robinson & Kaufmann, Hendrik & Wegener, Christoph, 2018, "Bias-corrected estimation for speculative bubbles in stock prices," Economic Modelling, Elsevier, volume 73, issue C, pages 354-364, DOI: 10.1016/j.econmod.2018.04.014.
  14. Giuseppe Cavaliere & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018, "The Fixed Volatility Bootstrap for a Class of Arch(q) Models," Journal of Time Series Analysis, Wiley Blackwell, volume 39, issue 6, pages 920-941, November, DOI: 10.1111/jtsa.12421.
  15. Cavaliere, Giuseppe & De Angelis, Luca & Rahbek, Anders & Robert Taylor, A.M., 2018, "Determining The Cointegration Rank In Heteroskedastic Var Models Of Unknown Order," Econometric Theory, Cambridge University Press, volume 34, issue 2, pages 349-382, April.
  16. Jean Jacod & Michael Sørensen, 2018, "A review of asymptotic theory of estimating functions," Statistical Inference for Stochastic Processes, Springer, volume 21, issue 2, pages 415-434, July, DOI: 10.1007/s11203-018-9178-8.
  17. Galyna Grynkiv & Lars Stentoft, 2018, "Stationary Threshold Vector Autoregressive Models," JRFM, MDPI, volume 11, issue 3, pages 1-23, August.
  18. Nibbering, Didier & Paap, Richard & van der Wel, Michel, 2018, "What do professional forecasters actually predict?," International Journal of Forecasting, Elsevier, volume 34, issue 2, pages 288-311, DOI: 10.1016/j.ijforecast.2017.12.004.

2017

  1. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2017, "Short-Term Market Risks Implied by Weekly Options," Journal of Finance, American Finance Association, volume 72, issue 3, pages 1335-1386, June.
  2. Mauro Bernardi & Leopoldo Catania & Lea Petrella, 2017, "Are news important to predict the Value-at-Risk?," The European Journal of Finance, Taylor & Francis Journals, volume 23, issue 6, pages 535-572, May, DOI: 10.1080/1351847X.2015.1106959.
  3. Leopoldo Catania & Anna Gloria Billé, 2017, "Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 6, pages 1178-1196, September.
  4. Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2017, "Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 1, pages 140-158, January.
  5. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2017, "Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 35, issue 2, pages 250-264, April, DOI: 10.1080/07350015.2015.1052461.
  6. Haldrup, Niels & Vera Valdés, J. Eduardo, 2017, "Long memory, fractional integration, and cross-sectional aggregation," Journal of Econometrics, Elsevier, volume 199, issue 1, pages 1-11, DOI: 10.1016/j.jeconom.2017.03.001.
  7. Tommaso Proietti & Eric Hillebrand, 2017, "Seasonal changes in central England temperatures," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 180, issue 3, pages 769-791, June.
  8. Massimo Franchi & Søren Johansen, 2017, "Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles," Econometrics, MDPI, volume 5, issue 2, pages 1-20, June.
  9. Søren Johansen & Morten Nyboe Tabor, 2017, "Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models," Econometrics, MDPI, volume 5, issue 3, pages 1-15, August.
  10. Kanaya, Shin, 2017, "Uniform Convergence Rates Of Kernel-Based Nonparametric Estimators For Continuous Time Diffusion Processes: A Damping Function Approach," Econometric Theory, Cambridge University Press, volume 33, issue 4, pages 874-914, August.
  11. Kanaya, Shin, 2017, "Convergence Rates Of Sums Of Α-Mixing Triangular Arrays: With An Application To Nonparametric Drift Function Estimation Of Continuous-Time Processes," Econometric Theory, Cambridge University Press, volume 33, issue 5, pages 1121-1153, October.
  12. Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2017, "Are University Admissions Academically Fair?," The Review of Economics and Statistics, MIT Press, volume 99, issue 3, pages 449-464, July.
  13. Kristensen, Dennis & Salanié, Bernard, 2017, "Higher-order properties of approximate estimators," Journal of Econometrics, Elsevier, volume 198, issue 2, pages 189-208, DOI: 10.1016/j.jeconom.2016.10.008.
  14. Kruse Robinson & Ventosa-Santaulària Daniel & Noriega Antonio E., 2017, "Changes in persistence, spurious regressions and the Fisher hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 21, issue 3, pages 1-28, June, DOI: 10.1515/snde-2015-0062.
  15. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2017, "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Journal of Time Series Analysis, Wiley Blackwell, volume 38, issue 4, pages 513-534, July.
  16. M. Martin Boyer & Lars Stentoft, 2017, "Yes We Can (Price Derivatives on Survivor Indices)," Risk Management and Insurance Review, American Risk and Insurance Association, volume 20, issue 1, pages 37-62, March, DOI: 10.1111/rmir.12073.
  17. Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017, "Modelling and Forecasting WIG20 Daily Returns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 9, issue 3, pages 173-200, September.
  18. Cristina Amado & Timo Teräsvirta, 2017, "Specification and testing of multiplicative time-varying GARCH models with applications," Econometric Reviews, Taylor & Francis Journals, volume 36, issue 4, pages 421-446, April, DOI: 10.1080/07474938.2014.977064.
  19. Paul Catani & Timo Teräsvirta & Meiqun Yin, 2017, "A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model," Econometric Reviews, Taylor & Francis Journals, volume 36, issue 6-9, pages 599-621, October, DOI: 10.1080/07474938.2017.1307311.
  20. Ozturk, Sait R. & van der Wel, Michel & van Dijk, Dick, 2017, "Intraday price discovery in fragmented markets," Journal of Financial Markets, Elsevier, volume 32, issue C, pages 28-48, DOI: 10.1016/j.finmar.2016.10.001.
  21. Michele Nguyen & Almut E. D. Veraart, 2017, "Spatio-temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 44, issue 1, pages 46-80, March.
  22. Sauri, Orimar & Veraart, Almut E.D., 2017, "On the class of distributions of subordinated Lévy processes and bases," Stochastic Processes and their Applications, Elsevier, volume 127, issue 2, pages 475-496, DOI: 10.1016/j.spa.2016.06.015.
  23. Hafner, Christian M. & Laurent, Sebastien & Violante, Francesco, 2017, "Weak Diffusion Limits Of Dynamic Conditional Correlation Models," Econometric Theory, Cambridge University Press, volume 33, issue 3, pages 691-716, June.

2016

  1. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016, "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 1-18, DOI: 10.1016/j.jeconom.2015.10.007.
  2. Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor, 2016, "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns," Journal of Financial Economics, Elsevier, volume 120, issue 3, pages 464-490, DOI: 10.1016/j.jfineco.2016.02.001.
  3. Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2016, "Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 6, pages 1005-1025, September.
  4. Mauro Bernardi & Leopoldo Catania, 2016, "Comparison of Value-at-Risk models using the MCS approach," Computational Statistics, Springer, volume 31, issue 2, pages 579-608, June, DOI: 10.1007/s00180-016-0646-6.
  5. Laurent Callot & Niels Haldrup & Malene Kallestrup-Lamb, 2016, "Deterministic and stochastic trends in the Lee–Carter mortality model," Applied Economics Letters, Taylor & Francis Journals, volume 23, issue 7, pages 486-493, May, DOI: 10.1080/13504851.2015.1083075.
  6. Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2016, "Risk-return trade-off for European stock markets," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 84-103, DOI: 10.1016/j.irfa.2016.03.018.
  7. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016, "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 3, pages 617-642.
  8. Tom Engsted, 2016, "Fama On Bubbles," Journal of Economic Surveys, Wiley Blackwell, volume 30, issue 2, pages 370-376, April.
  9. Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016, "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 40, issue C, pages 14-25, DOI: 10.1016/j.intfin.2015.07.006.
  10. Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016, "Nonlinear forecasting with many predictors using kernel ridge regression," International Journal of Forecasting, Elsevier, volume 32, issue 3, pages 736-753, DOI: 10.1016/j.ijforecast.2015.11.017.
  11. Ergemen, Yunus Emre & Haldrup, Niels & Rodríguez-Caballero, Carlos Vladimir, 2016, "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," Energy Economics, Elsevier, volume 60, issue C, pages 79-96, DOI: 10.1016/j.eneco.2016.09.008.
  12. Eric Hillebrand & Marcelo C. Medeiros, 2016, "Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 1, pages 23-41, January, DOI: 10.1080/07350015.2014.985828.
  13. Søren Johansen & Bent Nielsen, 2016, "Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 43, issue 2, pages 321-348, June.
  14. Søren Johansen & Bent Nielsen, 2016, "Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 43, issue 2, pages 374-381, June.
  15. Johansen, Søren & Nielsen, Morten Ørregaard, 2016, "The Role Of Initial Values In Conditional Sum-Of-Squares Estimation Of Nonstationary Fractional Time Series Models," Econometric Theory, Cambridge University Press, volume 32, issue 5, pages 1095-1139, October.
  16. Kanaya, Shin & Kristensen, Dennis, 2016, "Estimation Of Stochastic Volatility Models By Nonparametric Filtering," Econometric Theory, Cambridge University Press, volume 32, issue 4, pages 861-916, August.
  17. Kock, Anders Bredahl, 2016, "Consistent And Conservative Model Selection With The Adaptive Lasso In Stationary And Nonstationary Autoregressions," Econometric Theory, Cambridge University Press, volume 32, issue 1, pages 243-259, February.
  18. Kock, Anders Bredahl, 2016, "Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models," Journal of Econometrics, Elsevier, volume 195, issue 1, pages 71-85, DOI: 10.1016/j.jeconom.2016.06.001.
  19. Mehmet Caner & Anders Bredahl Kock, 2016, "Oracle Inequalities for Convex Loss Functions with Nonlinear Targets," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 8-10, pages 1377-1411, December, DOI: 10.1080/07474938.2015.1092797.
  20. Malene Kallestrup-Lamb & Anders Bredahl Kock & Johannes Tang Kristensen, 2016, "Lassoing the Determinants of Retirement," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 8-10, pages 1522-1561, December, DOI: 10.1080/07474938.2015.1092803.
  21. Anders Bredahl Kock & Timo Teräsvirta, 2016, "Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 8-10, pages 1753-1779, December, DOI: 10.1080/07474938.2015.1035163.
  22. Creel, Michael & Kristensen, Dennis, 2016, "On selection of statistics for approximate Bayesian computing (or the method of simulated moments)," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 99-114, DOI: 10.1016/j.csda.2015.05.005.
  23. Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016, "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," Journal of Empirical Finance, Elsevier, volume 38, issue PB, pages 640-663, DOI: 10.1016/j.jempfin.2016.02.007.
  24. Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016, "Nonstationary GARCH with t-distributed innovations," Economics Letters, Elsevier, volume 138, issue C, pages 19-21, DOI: 10.1016/j.econlet.2015.11.016.
  25. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016, "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 64-85, DOI: 10.1016/j.jeconom.2015.07.005.
  26. Mogens Bladt & Samuel Finch & Michael Sørensen, 2016, "Simulation of multivariate diffusion bridges," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 78, issue 2, pages 343-369, March.
  27. Silvennoinen Annastiina & Teräsvirta Timo, 2016, "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 20, issue 4, pages 347-364, September, DOI: 10.1515/snde-2015-0033.
  28. A. Stan Hurn & Annastiina Silvennoinen & Timo Teräsvirta, 2016, "A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 4, pages 707-733, June.
  29. Dick van Dijk & Robin L. Lumsdaine & Michel van der Wel, 2016, "Market Set‐up in Advance of Federal Reserve Policy Rate Decisions," Economic Journal, Royal Economic Society, volume 0, issue 592, pages 618-653, May.
  30. Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016, "Estimating dynamic equilibrium models using mixed frequency macro and financial data," Journal of Econometrics, Elsevier, volume 194, issue 1, pages 116-137, DOI: 10.1016/j.jeconom.2016.04.005.
  31. Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés & Alejandra I. Martínez-Olmos, 2016, "A comment on ‘resolving spurious regressions and serially correlated errors’," Empirical Economics, Springer, volume 51, issue 3, pages 1289-1298, November, DOI: 10.1007/s00181-015-1035-7.
  32. Roxana Halbleib & Valeri Voev, 2016, "Forecasting Covariance Matrices: A Mixed Approach," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 2, pages 383-417.
  33. Wei Wei & Asger Lunde, 2016, "Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 2, pages 278-283.

2015

  1. Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George, 2015, "The fine structure of equity-index option dynamics," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 532-546, DOI: 10.1016/j.jeconom.2015.02.037.
  2. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor, 2015, "The risk premia embedded in index options," Journal of Financial Economics, Elsevier, volume 117, issue 3, pages 558-584, DOI: 10.1016/j.jfineco.2015.06.005.
  3. Torben G. Andersen & Oleg Bondarenko, 2015, "Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence," Review of Finance, European Finance Association, volume 19, issue 1, pages 1-54.
  4. Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2015, "Exploring Return Dynamics via Corridor Implied Volatility," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 10, pages 2902-2945.
  5. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015, "Parametric Inference and Dynamic State Recovery From Option Panels," Econometrica, Econometric Society, volume 83, issue 3, pages 1081-1145, May.
  6. Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015, "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 458-471, DOI: 10.1016/j.jeconom.2015.02.031.
  7. Bollerslev, Tim & Todorov, Viktor & Xu, Lai, 2015, "Tail risk premia and return predictability," Journal of Financial Economics, Elsevier, volume 118, issue 1, pages 113-134, DOI: 10.1016/j.jfineco.2015.02.010.
  8. Kock, Anders Bredahl & Callot, Laurent, 2015, "Oracle inequalities for high dimensional vector autoregressions," Journal of Econometrics, Elsevier, volume 186, issue 2, pages 325-344, DOI: 10.1016/j.jeconom.2015.02.013.
  9. Charlotte Christiansen & Juanna Schröter Joensen & Jesper Rangvid, 2015, "Understanding The Effects Of Marriage And Divorce On Financial Investments: The Role Of Background Risk Sharing," Economic Inquiry, Western Economic Association International, volume 53, issue 1, pages 431-447, January, DOI: 10.1111/ecin.12113.
  10. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2015, "Effects of macroeconomic uncertainty on the stock and bond markets," Finance Research Letters, Elsevier, volume 13, issue C, pages 10-16, DOI: 10.1016/j.frl.2015.03.008.
  11. Engsted, Tom & Møller, Stig V., 2015, "Cross-sectional consumption-based asset pricing: A reappraisal," Economics Letters, Elsevier, volume 132, issue C, pages 101-104, DOI: 10.1016/j.econlet.2015.04.031.
  12. Engsted, Tom & Pedersen, Thomas Q., 2015, "Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries," Journal of International Money and Finance, Elsevier, volume 53, issue C, pages 257-275, DOI: 10.1016/j.jimonfin.2015.02.001.
  13. Petrevski, Goran & Exterkate, Peter & Tevdovski, Dragan & Bogoev, Jane, 2015, "The transmission of foreign shocks to South Eastern European economies: A Bayesian VAR approach," Economic Systems, Elsevier, volume 39, issue 4, pages 632-643, DOI: 10.1016/j.ecosys.2015.04.003.
  14. Mayank GUPTA, 2015, "Revisiting Neoclassical Economic Growth: A Survey in the Literature," Journal of Economics and Political Economy, KSP Journals, volume 2, issue 1, pages 118-136, March.
  15. Boswijk, H. Peter & Jansson, Michael & Nielsen, Morten Ørregaard, 2015, "Improved likelihood ratio tests for cointegration rank in the VAR model," Journal of Econometrics, Elsevier, volume 184, issue 1, pages 97-110, DOI: 10.1016/j.jeconom.2014.08.007.
  16. Hendry, David F. & Johansen, Søren, 2015, "Model Discovery And Trygve Haavelmo’S Legacy," Econometric Theory, Cambridge University Press, volume 31, issue 1, pages 93-114, February.
  17. Gao, Jiti & Kanaya, Shin & Li, Degui & Tjøstheim, Dag, 2015, "Uniform Consistency For Nonparametric Estimators In Null Recurrent Time Series," Econometric Theory, Cambridge University Press, volume 31, issue 5, pages 911-952, October.
  18. Chiappori, Pierre-André & Komunjer, Ivana & Kristensen, Dennis, 2015, "Nonparametric identification and estimation of transformation models," Journal of Econometrics, Elsevier, volume 188, issue 1, pages 22-39, DOI: 10.1016/j.jeconom.2015.01.001.
  19. Creel, Michael & Kristensen, Dennis, 2015, "ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models," Journal of Empirical Finance, Elsevier, volume 31, issue C, pages 85-108, DOI: 10.1016/j.jempfin.2015.01.002.
  20. Kruse, Robinson, 2015, "A modified test against spurious long memory," Economics Letters, Elsevier, volume 135, issue C, pages 34-38, DOI: 10.1016/j.econlet.2015.07.019.
  21. Frömmel, Michael & Kruse, Robinson, 2015, "Interest rate convergence in the EMS prior to European Monetary Union," Journal of Policy Modeling, Elsevier, volume 37, issue 6, pages 990-1004, DOI: 10.1016/j.jpolmod.2015.08.002.
  22. Thomas Q. Pedersen, 2015, "Predictable Return Distributions," Journal of Forecasting, John Wiley & Sons, Ltd., volume 34, issue 2, pages 114-132, March.
  23. Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Michael Wolf & Dan Wunderli, 2015, "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, volume 36, issue 3, pages 352-376, May.
  24. Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2015, "Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models," Econometrica, Econometric Society, volume 83, issue , pages 813-831, March.
  25. Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A. M. Robert Taylor, 2015, "A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 77, issue 1, pages 106-128, February.
  26. Rombouts, Jeroen V.K. & Stentoft, Lars, 2015, "Option pricing with asymmetric heteroskedastic normal mixture models," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 635-650, DOI: 10.1016/j.ijforecast.2014.09.002.
  27. Martin Boyer & Christian Dorion & Lars Stentoft, 2015, "Les modèles factoriels et la gestion du risque de longévité," L'Actualité Economique, Société Canadienne de Science Economique, volume 91, issue 4, pages 531-565.
  28. Annastiina Silvennoinen & Timo Ter�svirta, 2015, "Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach," Econometric Reviews, Taylor & Francis Journals, volume 34, issue 1-2, pages 174-197, February, DOI: 10.1080/07474938.2014.945336.
  29. Ragnhild Noven & Almut Veraart & Axel Gandy, 2015, "A Lévy-driven rainfall model with applications to futures pricing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 99, issue 4, pages 403-432, October, DOI: 10.1007/s10182-015-0246-8.
  30. Eugenia Sanin, María & Violante, Francesco & Mansanet-Bataller, María, 2015, "Understanding volatility dynamics in the EU-ETS market," Energy Policy, Elsevier, volume 82, issue C, pages 321-331, DOI: 10.1016/j.enpol.2015.02.024.

2014

  1. Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2014, "A Robust Neighborhood Truncation Approach To Estimation Of Integrated Quarticity," Econometric Theory, Cambridge University Press, volume 30, issue 1, pages 3-59, February.
  2. Andersen, Torben G. & Bondarenko, Oleg, 2014, "VPIN and the flash crash," Journal of Financial Markets, Elsevier, volume 17, issue C, pages 1-46, DOI: 10.1016/j.finmar.2013.05.005.
  3. Andersen, Torben G. & Bondarenko, Oleg, 2014, "Reflecting on the VPIN dispute," Journal of Financial Markets, Elsevier, volume 17, issue C, pages 53-64, DOI: 10.1016/j.finmar.2013.08.002.
  4. Bollerslev, Tim & Marrone, James & Xu, Lai & Zhou, Hao, 2014, "Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 49, issue 3, pages 633-661, June.
  5. Bollerslev, Tim & Todorov, Viktor, 2014, "Time-varying jump tails," Journal of Econometrics, Elsevier, volume 183, issue 2, pages 168-180, DOI: 10.1016/j.jeconom.2014.05.007.
  6. Aslanidis, Nektarios & Christiansen, Charlotte, 2014, "Quantiles of the realized stock–bond correlation and links to the macroeconomy," Journal of Empirical Finance, Elsevier, volume 28, issue C, pages 321-331, DOI: 10.1016/j.jempfin.2014.03.007.
  7. Christiansen, Charlotte, 2014, "Classifying returns as extreme: European stock and bond markets," International Review of Financial Analysis, Elsevier, volume 34, issue C, pages 1-4, DOI: 10.1016/j.irfa.2014.05.004.
  8. Christiansen, Charlotte, 2014, "Integration of European bond markets," Journal of Banking & Finance, Elsevier, volume 42, issue C, pages 191-198, DOI: 10.1016/j.jbankfin.2014.01.022.
  9. Christiansen, Charlotte & Eriksen, Jonas Nygaard & Møller, Stig Vinther, 2014, "Forecasting US recessions: The role of sentiment," Journal of Banking & Finance, Elsevier, volume 49, issue C, pages 459-468, DOI: 10.1016/j.jbankfin.2014.06.017.
  10. Croonenbroeck, Carsten & Dahl, Christian Møller, 2014, "Accurate medium-term wind power forecasting in a censored classification framework," Energy, Elsevier, volume 73, issue C, pages 221-232, DOI: 10.1016/j.energy.2014.06.013.
  11. Matt Dziubinski & Stefano Grassi, 2014, "Heterogeneous Computing in Economics: A Simplified Approach," Computational Economics, Springer;Society for Computational Economics, volume 43, issue 4, pages 485-495, April, DOI: 10.1007/s10614-013-9362-2.
  12. Engsted, Tom & Pedersen, Thomas Q., 2014, "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," Journal of Macroeconomics, Elsevier, volume 42, issue C, pages 91-103, DOI: 10.1016/j.jmacro.2014.07.005.
  13. Tom Engsted & Thomas Q. Pedersen, 2014, "Bias-Correction in Vector Autoregressive Models: A Simulation Study," Econometrics, MDPI, volume 2, issue 1, pages 1-27, March.
  14. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2014, "Small Bandwidth Asymptotics For Density-Weighted Average Derivatives," Econometric Theory, Cambridge University Press, volume 30, issue 1, pages 176-200, February.
  15. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2014, "Bootstrapping Density-Weighted Average Derivatives," Econometric Theory, Cambridge University Press, volume 30, issue 6, pages 1135-1164, December.
  16. Johansen, Søren & Juselius, Katarina, 2014, "An asymptotic invariance property of the common trends under linear transformations of the data," Journal of Econometrics, Elsevier, volume 178, issue P2, pages 310-315, DOI: 10.1016/j.jeconom.2013.08.029.
  17. Kock, Anders Bredahl & Teräsvirta, Timo, 2014, "Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009," International Journal of Forecasting, Elsevier, volume 30, issue 3, pages 616-631, DOI: 10.1016/j.ijforecast.2013.01.003.
  18. Blundell, Richard & Kristensen, Dennis & Matzkin, Rosa, 2014, "Bounding quantile demand functions using revealed preference inequalities," Journal of Econometrics, Elsevier, volume 179, issue 2, pages 112-127, DOI: 10.1016/j.jeconom.2014.01.005.
  19. Heejoon Han & Dennis Kristensen, 2014, "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 32, issue 3, pages 416-429, July, DOI: 10.1080/07350015.2014.897954.
  20. Kristensen Johannes Tang, 2014, "Factor-based forecasting in the presence of outliers: Are factors better selected and estimated by the median than by the mean?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 18, issue 3, pages 309-338, May, DOI: 10.1515/snde-2012-0049.
  21. Rasmus S. Pedersen & Anders Rahbek, 2014, "Multivariate variance targeting in the BEKK–GARCH model," Econometrics Journal, Royal Economic Society, volume 17, issue 1, pages 24-55, February.
  22. Nielsen, Heino Bohn & Rahbek, Anders, 2014, "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 144-167, DOI: 10.1016/j.jempfin.2014.03.008.
  23. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2014, "Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models," Econometric Reviews, Taylor & Francis Journals, volume 33, issue 5-6, pages 606-650, August, DOI: 10.1080/07474938.2013.825175.
  24. M. Martin Boyer & Joanna Mejza & Lars Stentoft, 2014, "Measuring Longevity Risk: An Application to the Royal Canadian Mounted Police Pension Plan," Risk Management and Insurance Review, American Risk and Insurance Association, volume 17, issue 1, pages 37-59, March, DOI: 10.1111/rmir.12018.
  25. Rombouts, Jeroen V.K. & Stentoft, Lars, 2014, "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, volume 76, issue C, pages 588-605, DOI: 10.1016/j.csda.2013.06.023.
  26. Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014, "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, volume 30, issue 1, pages 78-98, DOI: 10.1016/j.ijforecast.2013.07.006.
  27. Pascal L�tourneau & Lars Stentoft, 2014, "Refining the least squares Monte Carlo method by imposing structure," Quantitative Finance, Taylor & Francis Journals, volume 14, issue 3, pages 495-507, March, DOI: 10.1080/14697688.2013.787543.
  28. Amado, Cristina & Teräsvirta, Timo, 2014, "Modelling changes in the unconditional variance of long stock return series," Journal of Empirical Finance, Elsevier, volume 25, issue C, pages 15-35, DOI: 10.1016/j.jempfin.2013.09.003.
  29. Cristina Amado & Timo Teräsvirta, 2014, "Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 32, issue 1, pages 69-87, January, DOI: 10.1080/07350015.2013.847376.
  30. Opschoor, Anne & Taylor, Nick & van der Wel, Michel & van Dijk, Dick, 2014, "Order flow and volatility: An empirical investigation," Journal of Empirical Finance, Elsevier, volume 28, issue C, pages 185-201, DOI: 10.1016/j.jempfin.2014.07.002.
  31. Opschoor, Anne & van Dijk, Dick & van der Wel, Michel, 2014, "Predicting volatility and correlations with Financial Conditions Indexes," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 435-447, DOI: 10.1016/j.jempfin.2014.10.003.
  32. Ole E. Barndorff-Nielsen & Asger Lunde & Neil Shephard & Almut E.D. Veraart, 2014, "Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 41, issue 3, pages 693-724, September.
  33. Barndorff-Nielsen, Ole E. & Benth, Fred Espen & Pedersen, Jan & Veraart, Almut E.D., 2014, "On stochastic integration for volatility modulated Lévy-driven Volterra processes," Stochastic Processes and their Applications, Elsevier, volume 124, issue 1, pages 812-847, DOI: 10.1016/j.spa.2013.09.007.
  34. Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2014, "Realized Beta Garch: A Multivariate Garch Model With Realized Measures Of Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 29, issue 5, pages 774-799, August.

2013

  1. Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi, 2013, "Jump tails, extreme dependencies, and the distribution of stock returns," Journal of Econometrics, Elsevier, volume 172, issue 2, pages 307-324, DOI: 10.1016/j.jeconom.2012.08.014.
  2. Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George, 2013, "Risk and return: Long-run relations, fractional cointegration, and return predictability," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 409-424, DOI: 10.1016/j.jfineco.2013.01.002.
  3. Richard Barnett & Joydeep Bhattacharya & Helle Bunzel, 2013, "Deviant generations, Ricardian equivalence, and growth cycles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 52, issue 1, pages 367-396, January, DOI: 10.1007/s00199-011-0645-3.
  4. Christiansen, Charlotte, 2013, "Predicting severe simultaneous recessions using yield spreads as leading indicators," Journal of International Money and Finance, Elsevier, volume 32, issue C, pages 1032-1043, DOI: 10.1016/j.jimonfin.2012.08.005.
  5. Stefan Bache & Christian Dahl & Johannes Kristensen, 2013, "Headlights on tobacco road to low birthweight outcomes," Empirical Economics, Springer, volume 44, issue 3, pages 1593-1633, June, DOI: 10.1007/s00181-012-0570-8.
  6. Christian M. Dahl & Daniel le Maire & Jakob R. Munch, 2013, "Wage Dispersion and Decentralization of Wage Bargaining," Journal of Labor Economics, University of Chicago Press, volume 31, issue 3, pages 501-533, DOI: 10.1086/669339.
  7. Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen, 2013, "Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model," Journal of Forecasting, John Wiley & Sons, Ltd., volume 32, issue 3, pages 193-214, April.
  8. Hillebrand Eric & Medeiros Marcelo C. & Xu Junyue, 2013, "Asymptotic Theory for Regressions with Smoothly Changing Parameters," Journal of Time Series Econometrics, De Gruyter, volume 5, issue 2, pages 133-162, April, DOI: 10.1515/jtse-2012-0024.
  9. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2013, "Generalized Jackknife Estimators of Weighted Average Derivatives," Journal of the American Statistical Association, Taylor & Francis Journals, volume 108, issue 504, pages 1243-1256, December, DOI: 10.1080/01621459.2012.745810.
  10. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2013, "Rejoinder," Journal of the American Statistical Association, Taylor & Francis Journals, volume 108, issue 504, pages 1265-1268, December, DOI: 10.1080/01621459.2013.856717.
  11. Johansen, Søren & Lange, Theis, 2013, "Least squares estimation in a simple random coefficient autoregressive model," Journal of Econometrics, Elsevier, volume 177, issue 2, pages 285-288, DOI: 10.1016/j.jeconom.2013.04.013.
  12. Søren Johansen & Bent Nielsen, 2013, "Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator," Econometrics, MDPI, volume 1, issue 1, pages 1-18, May.
  13. Kock, Anders Bredahl, 2013, "Oracle Efficient Variable Selection In Random And Fixed Effects Panel Data Models," Econometric Theory, Cambridge University Press, volume 29, issue 1, pages 115-152, February.
  14. Anders Bredahl Kock & Timo Teräsvirta, 2013, "Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques," Finnish Economic Papers, Finnish Economic Association, volume 26, issue 1, pages 13-24, Spring.
  15. Richard Blundell & Dennis Kristensen & Rosa L. Matzkin, 2013, "Control Functions and Simultaneous Equations Methods," American Economic Review, American Economic Association, volume 103, issue 3, pages 563-569, May, DOI: 10.1257/aer.103.3.563.
  16. Kristensen, Dennis & Rahbek, Anders, 2013, "Testing And Inference In Nonlinear Cointegrating Vector Error Correction Models," Econometric Theory, Cambridge University Press, volume 29, issue 6, pages 1238-1288, December.
  17. Matei Demetrescu & Robinson Kruse, 2013, "The power of unit root tests against nonlinear local alternatives," Journal of Time Series Analysis, Wiley Blackwell, volume 34, issue 1, pages 40-61, January, DOI: j.1467-9892.2012.00812.x.
  18. Jörg Breitung & Robinson Kruse, 2013, "When bubbles burst: econometric tests based on structural breaks," Statistical Papers, Springer, volume 54, issue 4, pages 911-930, November, DOI: 10.1007/s00362-012-0497-3.
  19. Philip Bertram & Robinson Kruse & Philipp Sibbertsen, 2013, "Fractional integration versus level shifts: the case of realized asset correlations," Statistical Papers, Springer, volume 54, issue 4, pages 977-991, November, DOI: 10.1007/s00362-013-0513-2.
  20. Boyer, M. Martin & Stentoft, Lars, 2013, "If we can simulate it, we can insure it: An application to longevity risk management," Insurance: Mathematics and Economics, Elsevier, volume 52, issue 1, pages 35-45, DOI: 10.1016/j.insmatheco.2012.10.003.
  21. Amado, Cristina & Teräsvirta, Timo, 2013, "Modelling volatility by variance decomposition," Journal of Econometrics, Elsevier, volume 175, issue 2, pages 142-153, DOI: 10.1016/j.jeconom.2013.03.006.
  22. Koopman, Siem Jan & van der Wel, Michel, 2013, "Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model," International Journal of Forecasting, Elsevier, volume 29, issue 4, pages 676-694, DOI: 10.1016/j.ijforecast.2012.12.004.
  23. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013, "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5073-5087, DOI: 10.1016/j.jbankfin.2013.09.010.
  24. Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco, 2013, "On loss functions and ranking forecasting performances of multivariate volatility models," Journal of Econometrics, Elsevier, volume 173, issue 1, pages 1-10, DOI: 10.1016/j.jeconom.2012.08.004.
  25. Varneskov, Rasmus & Voev, Valeri, 2013, "The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 83-95, DOI: 10.1016/j.jempfin.2012.11.002.

2012

  1. Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2012, "Jump-robust volatility estimation using nearest neighbor truncation," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 75-93, DOI: 10.1016/j.jeconom.2012.01.011.
  2. Aslanidis, Nektarios & Christiansen, Charlotte, 2012, "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 454-464, DOI: 10.1016/j.jempfin.2012.04.005.
  3. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012, "A comprehensive look at financial volatility prediction by economic variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 956-977, September.
  4. Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012, "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, volume 167, issue 2, pages 458-472, DOI: 10.1016/j.jeconom.2011.09.028.
  5. Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012, "The Log-Linear Return Approximation, Bubbles, and Predictability," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 3, pages 643-665, June.
  6. Engsted, Tom & Pedersen, Thomas Q., 2012, "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, volume 19, issue 2, pages 241-253, DOI: 10.1016/j.jempfin.2012.01.003.
  7. Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012, "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1255-1265, DOI: 10.1016/j.jbankfin.2011.11.004.
  8. Tom Engsted & Bent Nielsen, 2012, "Testing for rational bubbles in a coexplosive vector autoregression," Econometrics Journal, Royal Economic Society, volume 15, issue 2, pages 226-254, June.
  9. Mihaela Craioveanu & Eric Hillebrand, 2012, "Level changes in volatility models," Annals of Finance, Springer, volume 8, issue 2, pages 277-308, May, DOI: 10.1007/s10436-010-0163-5.
  10. Michael Jansson & Morten Ørregaard Nielsen, 2012, "Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, volume 80, issue 5, pages 2321-2332, September, DOI: ECTA10306.
  11. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2012, "Optimal inference for instrumental variables regression with non-Gaussian errors," Journal of Econometrics, Elsevier, volume 167, issue 1, pages 1-15, DOI: 10.1016/j.jeconom.2011.04.004.
  12. Johansen, Søren & Ørregaard Nielsen, Morten, 2012, "A Necessary Moment Condition For The Fractional Functional Central Limit Theorem," Econometric Theory, Cambridge University Press, volume 28, issue 3, pages 671-679, June.
  13. Søren Johansen & Morten Ørregaard Nielsen, 2012, "Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model," Econometrica, Econometric Society, volume 80, issue 6, pages 2667-2732, November, DOI: ECTA9299.
  14. Søren Johansen, 2012, "The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration," Contemporary Economics, Vizja University, volume 6, issue 2, June.
  15. Kanaya, Shin & Otsu, Taisuke, 2012, "Large deviations of realized volatility," Stochastic Processes and their Applications, Elsevier, volume 122, issue 2, pages 546-581, DOI: 10.1016/j.spa.2011.09.002.
  16. Kristensen, Dennis & Shin, Yongseok, 2012, "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, volume 167, issue 1, pages 76-94, DOI: 10.1016/j.jeconom.2011.09.042.
  17. Ang, Andrew & Kristensen, Dennis, 2012, "Testing conditional factor models," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 132-156, DOI: 10.1016/j.jfineco.2012.04.008.
  18. Dennis Kristensen, 2012, "Non‐parametric detection and estimation of structural change," Econometrics Journal, Royal Economic Society, volume 15, issue 3, pages 420-461, October, DOI: j.1368-423X.2012.00378.x.
  19. Michael Creel & Dennis Kristensen, 2012, "Estimation of dynamic latent variable models using simulated non‐parametric moments," Econometrics Journal, Royal Economic Society, volume 15, issue 3, pages 490-515, October, DOI: j.1368-423X.2012.00387.x.
  20. Kruse, Robinson & Sibbertsen, Philipp, 2012, "Long memory and changing persistence," Economics Letters, Elsevier, volume 114, issue 3, pages 268-272, DOI: 10.1016/j.econlet.2011.10.026.
  21. Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012, "On tests for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, volume 117, issue 1, pages 268-271, DOI: 10.1016/j.econlet.2012.05.025.
  22. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2012, "What do we know about real exchange rate nonlinearities?," Empirical Economics, Springer, volume 43, issue 2, pages 457-474, October, DOI: 10.1007/s00181-010-0431-2.
  23. Michael Frömmel & Robinson Kruse, 2012, "Testing for a rational bubble under long memory," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 11, pages 1723-1732, November, DOI: 10.1080/14697688.2011.578151.
  24. Mark Podolskij & Mathieu Rosenbaum, 2012, "Testing the local volatility assumption: a statistical approach," Annals of Finance, Springer, volume 8, issue 1, pages 31-48, February, DOI: 10.1007/s10436-011-0180-z.
  25. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2012, "Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models," Econometrica, Econometric Society, volume 80, issue 4, pages 1721-1740, July, DOI: ECTA9099.
  26. Menkveld, Albert J. & Sarkar, Asani & Wel, Michel van der, 2012, "Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 4, pages 821-849, August.
  27. Almut Veraart & Luitgard Veraart, 2012, "Stochastic volatility and stochastic leverage," Annals of Finance, Springer, volume 8, issue 2, pages 205-233, May, DOI: 10.1007/s10436-010-0157-3.
  28. Ole E. Barndorff-Nielsen & Almut E. D. Veraart, 2012, "Stochastic Volatility of Volatility and Variance Risk Premia," Journal of Financial Econometrics, Oxford University Press, volume 11, issue 1, pages 1-46, December.
  29. Berenice Martínez‐Rivera & Daniel Ventosa‐Santaulària & J. Eduardo Vera‐Valdés, 2012, "Spurious Forecasts?," Journal of Forecasting, John Wiley & Sons, Ltd., volume 31, issue 3, pages 245-259, April.
  30. Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012, "On the forecasting accuracy of multivariate GARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 6, pages 934-955, September.
  31. Peter S. Jensen & Allan H. Würtz, 2012, "Estimating the effect of a variable in a high‐dimensional linear model," Econometrics Journal, Royal Economic Society, volume 15, issue 2, pages 325-357, June.
  32. Tue Gørgens & Allan Würtz, 2012, "Testing a parametric function against a non‐parametric alternative in IV and GMM settings," Econometrics Journal, Royal Economic Society, volume 15, issue 3, pages 462-489, October, DOI: j.1368-423X.2012.00382.x.

2011

  1. Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011, "A reduced form framework for modeling volatility of speculative prices based on realized variation measures," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 176-189, January.
  2. Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour, 2011, "Realized volatility forecasting and market microstructure noise," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 220-234, January.
  3. Tim Bollerslev & Viktor Todorov, 2011, "Tails, Fears, and Risk Premia," Journal of Finance, American Finance Association, volume 66, issue 6, pages 2165-2211, December, DOI: j.1540-6261.2011.01695.x.
  4. Bollerslev Tim & Christensen Bent Jesper & Haldrup Niels & Lunde Asger, 2011, "Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 1, pages 1-8, February, DOI: 10.2202/1941-1928.1098.
  5. Tim Bollerslev & Viktor Todorov, 2011, "Estimation of Jump Tails," Econometrica, Econometric Society, volume 79, issue 6, pages 1727-1783, November, DOI: ECTA9240.
  6. Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011, "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 235-245, January.
  7. Tim Bollerslev & Natalia Sizova & George Tauchen, 2011, "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Review of Finance, European Finance Association, volume 16, issue 1, pages 31-80.
  8. Christiansen, Charlotte & Ranaldo, Angelo & Söderlind, Paul, 2011, "The Time-Varying Systematic Risk of Carry Trade Strategies," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 46, issue 4, pages 1107-1125, August.
  9. Charlotte, Christiansen, 2011, "Intertemporal risk-return trade-off in foreign exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 21, issue 4, pages 535-549, October.
  10. Dahl Christian M & Iglesias Emma, 2011, "Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 1, pages 1-32, February, DOI: 10.2202/1941-1928.1093.
  11. Christian Dahl & Hans Kongsted & Anders Sørensen, 2011, "ICT and productivity growth in the 1990s: panel data evidence on Europe," Empirical Economics, Springer, volume 40, issue 1, pages 141-164, February, DOI: 10.1007/s00181-010-0421-4.
  12. Haldrup Niels & Montañes Antonio & Sansó Andreu, 2011, "Detection of Additive Outliers in Seasonal Time Series," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 2, pages 1-20, April, DOI: 10.2202/1941-1928.1043.
  13. Jansson Michael & Nielsen Morten Ørregaard, 2011, "Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 1, pages 1-21, February, DOI: 10.2202/1941-1928.1096.
  14. Johansen Søren & Swensen Anders R, 2011, "On a Graphical Technique for Evaluating Some Rational Expectations Models," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 1, pages 1-29, February, DOI: 10.2202/1941-1928.1089.
  15. Kock Anders Bredahl, 2011, "Forecasting with Universal Approximators and a Learning Algorithm," Journal of Time Series Econometrics, De Gruyter, volume 3, issue 3, pages 1-32, October, DOI: 10.2202/1941-1928.1084.
  16. Kristensen, Dennis, 2011, "Semi-nonparametric estimation and misspecification testing of diffusion models," Journal of Econometrics, Elsevier, volume 164, issue 2, pages 382-403, October.
  17. Kristensen, Dennis & Mele, Antonio, 2011, "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, volume 102, issue 2, pages 390-415, DOI: 10.1016/j.jfineco.2011.05.007.
  18. Kruse, Robinson, 2011, "On European monetary integration and the persistence of real effective exchange rates," Finance Research Letters, Elsevier, volume 8, issue 1, pages 45-50, March.
  19. Robinson Kruse, 2011, "A new unit root test against ESTAR based on a class of modified statistics," Statistical Papers, Springer, volume 52, issue 1, pages 71-85, February, DOI: 10.1007/s00362-009-0204-1.
  20. Theis Lange & Anders Rahbek & Søren Tolver Jensen, 2011, "Estimation and Asymptotic Inference in the AR-ARCH Model," Econometric Reviews, Taylor & Francis Journals, volume 30, issue 2, pages 129-153, DOI: 10.1080/07474938.2011.534031.
  21. Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011, "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Journal of Econometrics, Elsevier, volume 162, issue 2, pages 149-169, June.
  22. Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011, "Subsampling realised kernels," Journal of Econometrics, Elsevier, volume 160, issue 1, pages 204-219, January.
  23. Peter R. Hansen & Asger Lunde & James M. Nason, 2011, "The Model Confidence Set," Econometrica, Econometric Society, volume 79, issue 2, pages 453-497, March.
  24. Nourdin, Ivan & Peccati, Giovanni & Podolskij, Mark, 2011, "Quantitative Breuer-Major theorems," Stochastic Processes and their Applications, Elsevier, volume 121, issue 4, pages 793-812, April.
  25. Takamitsu Kurita & Heino Bohn Nielsen & Anders Rahbek, 2011, "An I(2) cointegration model with piecewise linear trends," Econometrics Journal, Royal Economic Society, volume 14, issue 2, pages 131-155, July.
  26. Stentoft, Lars, 2011, "American option pricing with discrete and continuous time models: An empirical comparison," Journal of Empirical Finance, Elsevier, volume 18, issue 5, pages 880-902, DOI: 10.1016/j.jempfin.2011.09.004.
  27. Rombouts, Jeroen V.K. & Stentoft, Lars, 2011, "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, volume 35, issue 9, pages 2267-2281, September.
  28. Timo Terasvirta & Zhenfang Zhao, 2011, "Stylized facts of return series, robust estimates and three popular models of volatility," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 1-2, pages 67-94, DOI: 10.1080/09603107.2011.523195.
  29. Patton, Andrew J. & Timmermann, Allan, 2011, "Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 3, pages 397-410.
  30. Aiolfi, Marco & Catão, Luis A.V. & Timmermann, Allan, 2011, "Common factors in Latin America's business cycles," Journal of Development Economics, Elsevier, volume 95, issue 2, pages 212-228, July.
  31. Issler, João Victor & Linton, Oliver & Timmermann, Allan, 2011, "Annals issue on forecasting--Guest editors' introduction," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 1-3, September.
  32. Pesaran, M. Hashem & Pick, Andreas & Timmermann, Allan, 2011, "Variable selection, estimation and inference for multi-period forecasting problems," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 173-187, September.
  33. Pettenuzzo, Davide & Timmermann, Allan, 2011, "Predictability of stock returns and asset allocation under structural breaks," Journal of Econometrics, Elsevier, volume 164, issue 1, pages 60-78, September.
  34. Jungbacker, B. & Koopman, S.J. & van der Wel, M., 2011, "Maximum likelihood estimation for dynamic factor models with missing data," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 8, pages 1358-1368, August.
  35. Almut E. D. Veraart, 2011, "Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures," Econometrics Journal, Royal Economic Society, volume 14, issue 2, pages 204-240, July.
  36. Almut Veraart, 2011, "How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 95, issue 3, pages 253-291, September, DOI: 10.1007/s10182-011-0158-1.
  37. Halbleib Roxana & Voev Valeri, 2011, "Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 231, issue 1, pages 134-152, February, DOI: 10.1515/jbnst-2011-0109.
  38. Roxana Chiriac & Valeri Voev, 2011, "Modelling and forecasting multivariate realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 6, pages 922-947, September.
  39. Valeri Voev, 2011, "Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 4, pages 685-716.
  40. Ingmar Nolte & Valeri Voev, 2011, "Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 94-108, April, DOI: 10.1080/10473289.2011.637876.

2010

  1. Torben G. Andersen & Luca Benzoni, 2010, "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, volume 65, issue 2, pages 603-653, April, DOI: 10.1111/j.1540-6261.2009.01546.x.
  2. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2010, "Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 25, issue 2, pages 233-261, DOI: 10.1002/jae.1105.
  3. Todorov, Viktor & Bollerslev, Tim, 2010, "Jumps and betas: A new framework for disentangling and estimating systematic risks," Journal of Econometrics, Elsevier, volume 157, issue 2, pages 220-235, August.
  4. Barnett, Richard C. & Bhattacharya, Joydeep & Bunzel, Helle, 2010, "Resurrecting equilibria through cycles in an overlapping generations model of money," Journal of Macroeconomics, Elsevier, volume 32, issue 2, pages 515-526, June.
  5. Helle Bunzel & Walter Enders, 2010, "The Taylor Rule and "Opportunistic" Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, volume 42, issue 5, pages 931-949, August.
  6. Richard Barnett & Joydeep Bhattacharya & Helle Bunzel, 2010, "Choosing to keep up with the Joneses and income inequality," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 45, issue 3, pages 469-496, December, DOI: 10.1007/s00199-009-0494-5.
  7. Christiansen, Charlotte, 2010, "Mean reversion in US and international short rates," The North American Journal of Economics and Finance, Elsevier, volume 21, issue 3, pages 286-296, December.
  8. Charlotte Christiansen, 2010, "Decomposing European bond and equity volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 15, issue 2, pages 105-122, DOI: 10.1002/ijfe.385.
  9. Engsted, Tom & Pedersen, Thomas Q., 2010, "The dividend-price ratio does predict dividend growth: International evidence," Journal of Empirical Finance, Elsevier, volume 17, issue 4, pages 585-605, September.
  10. Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010, "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, volume 29, issue 7, pages 1237-1255, November.
  11. Tom Engsted & Stig V. Møller, 2010, "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 15, issue 3, pages 213-227, DOI: 10.1002/ijfe.389.
  12. Niels Haldrup, 2010, "Separation in Cointegrated Systems," Journal of Financial Econometrics, Oxford University Press, volume 8, issue 2, pages 177-180, spring.
  13. Haldrup, Niels & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2010, "A vector autoregressive model for electricity prices subject to long memory and regime switching," Energy Economics, Elsevier, volume 32, issue 5, pages 1044-1058, September.
  14. Eric Hillebrand & Marcelo Medeiros, 2010, "The Benefits of Bagging for Forecast Models of Realized Volatility," Econometric Reviews, Taylor & Francis Journals, volume 29, issue 5-6, pages 571-593, DOI: 10.1080/07474938.2010.481554.
  15. Svend Hylleberg, 2010, "Clive Granger and HEGY," Journal of Financial Econometrics, Oxford University Press, volume 8, issue 2, pages 181-183, spring.
  16. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2010, "Robust Data-Driven Inference for Density-Weighted Average Derivatives," Journal of the American Statistical Association, American Statistical Association, volume 105, issue 491, pages 1070-1083.
  17. Johansen, Søren & Juselius, Katarina & Frydman, Roman & Goldberg, Michael, 2010, "Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate," Journal of Econometrics, Elsevier, volume 158, issue 1, pages 117-129, September.
  18. Johansen, Søren & Nielsen, Morten Ørregaard, 2010, "Likelihood inference for a nonstationary fractional autoregressive model," Journal of Econometrics, Elsevier, volume 158, issue 1, pages 51-66, September.
  19. Johansen, Søren, 2010, "Some identification problems in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, volume 158, issue 2, pages 262-273, October.
  20. Kristensen, Dennis, 2010, "Nonparametric Filtering Of The Realized Spot Volatility: A Kernel-Based Approach," Econometric Theory, Cambridge University Press, volume 26, issue 1, pages 60-93, February.
  21. Kristensen, Dennis, 2010, "Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models," Journal of Econometrics, Elsevier, volume 156, issue 2, pages 239-259, June.
  22. Kristensen, Dennis & Rahbek, Anders, 2010, "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, volume 158, issue 1, pages 78-94, September.
  23. Jensen Anders Tolver & Lange Theis, 2010, "On Convergence of the QMLE for Misspecified GARCH Models," Journal of Time Series Econometrics, De Gruyter, volume 2, issue 1, pages 1-31, June, DOI: 10.2202/1941-1928.1034.
  24. M. Podolskij & D. Ziggel, 2010, "New tests for jumps in semimartingale models," Statistical Inference for Stochastic Processes, Springer, volume 13, issue 1, pages 15-41, April, DOI: 10.1007/s11203-009-9037-8.
  25. Christensen, Kim & Kinnebrock, Silja & Podolskij, Mark, 2010, "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 116-133, November.
  26. Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010, "Realised quantile-based estimation of the integrated variance," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 74-98, November.
  27. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010, "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, volume 158, issue 1, pages 7-24, September.
  28. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010, "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, volume 26, issue 6, pages 1719-1760, December.
  29. Uwe Küchler & Michael Sørensen, 2010, "A simple estimator for discrete-time samples from affine stochastic delay differential equations," Statistical Inference for Stochastic Processes, Springer, volume 13, issue 2, pages 125-132, June, DOI: 10.1007/s11203-010-9042-y.
  30. Timo Teräsvirta, 2010, "Working With Clive Granger: Two Short Memories," Journal of Financial Econometrics, Oxford University Press, volume 8, issue 2, pages 191-192, spring.
  31. Timo Terasvirta, 2010, "Sir Clive William John Granger, 1934-2009," New Zealand Economic Papers, Taylor & Francis Journals, volume 44, issue 2, pages 121-127, DOI: 10.1080/00779954.2010.493193.
  32. Patton, Andrew J. & Timmermann, Allan, 2010, "Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts," Journal of Financial Economics, Elsevier, volume 98, issue 3, pages 605-625, December.
  33. Patton, Andrew J. & Timmermann, Allan, 2010, "Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion," Journal of Monetary Economics, Elsevier, volume 57, issue 7, pages 803-820, October.
  34. Marco Aiolfi & Marius Rodriguez & Allan Timmermann, 2010, "Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability," Journal of Financial Econometrics, Oxford University Press, volume 8, issue 3, pages 305-334, Summer.
  35. Koopman, Siem Jan & Mallee, Max I. P. & Van der Wel, Michel, 2010, "Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters," Journal of Business & Economic Statistics, American Statistical Association, volume 28, issue 3, pages 329-343.
  36. Veraart, Almut E.D., 2010, "Inference For The Jump Part Of Quadratic Variation Of Itô Semimartingales," Econometric Theory, Cambridge University Press, volume 26, issue 2, pages 331-368, April.

2009

  1. Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George, 2009, "A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects," Journal of Econometrics, Elsevier, volume 150, issue 2, pages 151-166, June.
  2. Tim Bollerslev & George Tauchen & Hao Zhou, 2009, "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 11, pages 4463-4492, November.
  3. Christiansen, Charlotte & Ranaldo, Angelo, 2009, "Extreme coexceedances in new EU member states' stock markets," Journal of Banking & Finance, Elsevier, volume 33, issue 6, pages 1048-1057, June.
  4. Dahl, Christian M. & Iglesias, Emma M., 2009, "Volatility spill-overs in commodity spot prices: New empirical results," Economic Modelling, Elsevier, volume 26, issue 3, pages 601-607, May.
  5. Dahl, Christian M. & Hansen, Henrik & Smidt, John, 2009, "The cyclical component factor model," International Journal of Forecasting, Elsevier, volume 25, issue 1, pages 119-127.
  6. Tom Engsted, 2009, "Statistical vs. economic significance in economics and econometrics: further comments on McCloskey and Ziliak," Journal of Economic Methodology, Taylor & Francis Journals, volume 16, issue 4, pages 393-408, DOI: 10.1080/13501780903337339.
  7. Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009, "Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 3, pages 490-505, July.
  8. Chioda, Laura & Jansson, Michael, 2009, "Optimal Invariant Inference When The Number Of Instruments Is Large," Econometric Theory, Cambridge University Press, volume 25, issue 3, pages 793-805, June.
  9. Chernozhukov, Victor & Hansen, Christian & Jansson, Michael, 2009, "Admissible Invariant Similar Tests For Instrumental Variables Regression," Econometric Theory, Cambridge University Press, volume 25, issue 3, pages 806-818, June.
  10. Chernozhukov, Victor & Hansen, Christian & Jansson, Michael, 2009, "Finite sample inference for quantile regression models," Journal of Econometrics, Elsevier, volume 152, issue 2, pages 93-103, October.
  11. Søren Johansen, 2009, "Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes," Econometric Reviews, Taylor & Francis Journals, volume 28, issue 1-3, pages 121-145, DOI: 10.1080/07474930802387977.
  12. Dennis Kristensen, 2009, "On stationarity and ergodicity of the bilinear model with applications to GARCH models," Journal of Time Series Analysis, Wiley Blackwell, volume 30, issue 1, pages 125-144, January, DOI: 10.1111/j.1467-9892.2008.00603.x.
  13. Kristensen Dennis & Rahbek Anders, 2009, "Asymptotics of the QMLE for Non-Linear ARCH Models," Journal of Time Series Econometrics, De Gruyter, volume 1, issue 1, pages 1-38, April, DOI: 10.2202/1941-1928.1001.
  14. Kristensen, Dennis, 2009, "Uniform Convergence Rates Of Kernel Estimators With Heterogeneous Dependent Data," Econometric Theory, Cambridge University Press, volume 25, issue 5, pages 1433-1445, October.
  15. Dennis Kristensen, 2009, "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, issue 7, pages 53-83, September.
  16. Philipp Sibbertsen & Robinson Kruse, 2009, "Testing for a break in persistence under long‐range dependencies," Journal of Time Series Analysis, Wiley Blackwell, volume 30, issue 3, pages 263-285, May, DOI: 10.1111/j.1467-9892.2009.00611.x.
  17. O. E. Barndorff-Nielsen & P. Reinhard Hansen & A. Lunde & N. Shephard, 2009, "Realized kernels in practice: trades and quotes," Econometrics Journal, Royal Economic Society, volume 12, issue 3, pages 1-32, November.
  18. Asger Lunde & Allan Zebedee, 2009, "Intraday volatility responses to monetary policy events," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 23, issue 4, pages 383-399, December, DOI: 10.1007/s11408-009-0114-1.
  19. Kim Christensen & Mark Podolskij & Mathias Vetter, 2009, "Bias-correcting the realized range-based variance in the presence of market microstructure noise," Finance and Stochastics, Springer, volume 13, issue 2, pages 239-268, April, DOI: 10.1007/s00780-009-0089-9.
  20. Podolskij, Mark & Vetter, Mathias, 2009, "Bipower-type estimation in a noisy diffusion setting," Stochastic Processes and their Applications, Elsevier, volume 119, issue 9, pages 2803-2831, September.
  21. Barndorff-Nielsen, Ole E. & Corcuera, José Manuel & Podolskij, Mark, 2009, "Power variation for Gaussian processes with stationary increments," Stochastic Processes and their Applications, Elsevier, volume 119, issue 6, pages 1845-1865, June.
  22. Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2009, "Microstructure noise in the continuous case: The pre-averaging approach," Stochastic Processes and their Applications, Elsevier, volume 119, issue 7, pages 2249-2276, July.
  23. Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009, "Poisson Autoregression," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 488, pages 1430-1439.
  24. Gloter, Arnaud & Sørensen, Michael, 2009, "Estimation for stochastic differential equations with a small diffusion coefficient," Stochastic Processes and their Applications, Elsevier, volume 119, issue 3, pages 679-699, March.
  25. Mogens Bladt & Michael SØrensen, 2009, "Efficient estimation of transition rates between credit ratings from observations at discrete time points," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 2, pages 147-160, DOI: 10.1080/14697680802624948.
  26. Tomoaki Nakatani & Timo Terasvirta, 2009, "Testing for volatility interactions in the Constant Conditional Correlation GARCH model," Econometrics Journal, Royal Economic Society, volume 12, issue 1, pages 147-163, March.
  27. Annastiina Silvennoinen & Timo Teräsvirta, 2009, "Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," Journal of Financial Econometrics, Oxford University Press, volume 7, issue 4, pages 373-411, Fall.
  28. Changli He & Timo Terasvirta & Andres Gonzalez, 2009, "Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change," Econometric Reviews, Taylor & Francis Journals, volume 28, issue 1-3, pages 225-245, DOI: 10.1080/07474930802388041.
  29. Pesaran, M. Hashem & Timmermann, Allan, 2009, "Testing Dependence Among Serially Correlated Multicategory Variables," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 485, pages 325-337.
  30. Capistrán, Carlos & Timmermann, Allan, 2009, "Forecast Combination With Entry and Exit of Experts," Journal of Business & Economic Statistics, American Statistical Association, volume 27, issue 4, pages 428-440.
  31. Guidolin, Massimo & Timmermann, Allan, 2009, "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, volume 150, issue 2, pages 297-311, June.
  32. Carlos Capistr¡N & Allan Timmermann, 2009, "Disagreement and Biases in Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, volume 41, issue 2-3, pages 365-396, March.
  33. Kræn Blume & Mette Ejrnæs & Helena Nielsen & Allan Würtz, 2009, "Labor market transitions of immigrants with emphasis on marginalization and self-employment," Journal of Population Economics, Springer;European Society for Population Economics, volume 22, issue 4, pages 881-908, October, DOI: 10.1007/s00148-008-0191-x.

2008

  1. Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George, 2008, "Risk, jumps, and diversification," Journal of Econometrics, Elsevier, volume 144, issue 1, pages 234-256, May.
  2. Bunzel, Helle & Marcoul, Philippe, 2008, "Can racially unbiased police perpetuate long-run discrimination?," Journal of Economic Behavior & Organization, Elsevier, volume 68, issue 1, pages 36-47, October.
  3. Christiansen, Charlotte, 2008, "Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates," International Review of Financial Analysis, Elsevier, volume 17, issue 5, pages 925-948, December.
  4. Charlotte Christiansen & Juanna Schröter Joensen & Jesper Rangvid, 2008, "Are Economists More Likely to Hold Stocks?," Review of Finance, European Finance Association, volume 12, issue 3, pages 465-496.
  5. Abrevaya, Jason & Dahl, Christian M, 2008, "The Effects of Birth Inputs on Birthweight," Journal of Business & Economic Statistics, American Statistical Association, volume 26, pages 379-397.
  6. Haldrup, Niels & Sansó, Andreu, 2008, "A note on the Vogelsang test for additive outliers," Statistics & Probability Letters, Elsevier, volume 78, issue 3, pages 296-300, February.
  7. Niels Haldrup & Peter Møllgaard & Claus Kastberg Nielsen, 2008, "Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market For Salmon," Journal of Competition Law and Economics, Oxford University Press, volume 4, issue 3, pages 893-913.
  8. Eric Hillebrand & Faik Koray, 2008, "Interest rate volatility and home mortgage loans," Applied Economics, Taylor & Francis Journals, volume 40, issue 18, pages 2381-2385, DOI: 10.1080/00036840600949538.
  9. Eric Hillebrand & Gunther Schnabl, 2008, "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," International Economics and Economic Policy, Springer, volume 5, issue 4, pages 389-401, December, DOI: 10.1007/s10368-008-0121-0.
  10. Don M. Chance & Eric Hillebrand & Jimmy E. Hilliard, 2008, "Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue," Management Science, INFORMS, volume 54, issue 5, pages 1015-1028, May, DOI: 10.1287/mnsc.1070.0826.
  11. Michael Jansson, 2008, "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, volume 76, issue 5, pages 1103-1142, September.
  12. Kevin D. Hoover & Soren Johansen & Katarina Juselius, 2008, "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," American Economic Review, American Economic Association, volume 98, issue 2, pages 251-255, May, DOI: 10.1257/aer.98.2.251.
  13. Johansen, SØren, 2008, "A Representation Theory For A Class Of Vector Autoregressive Models For Fractional Processes," Econometric Theory, Cambridge University Press, volume 24, issue 3, pages 651-676, June.
  14. Carlos Santos & David Hendry & Soren Johansen, 2008, "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, volume 23, issue 2, pages 317-335, April, DOI: 10.1007/s00180-007-0054-z.
  15. Kristensen, Dennis, 2008, "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, volume 144, issue 2, pages 392-408, June.
  16. Allan Zebedee & Eric Bentzen & Peter Hansen & Asger Lunde, 2008, "The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 22, issue 1, pages 3-20, March, DOI: 10.1007/s11408-007-0068-0.
  17. Peter Hansen & Jeremy Large & Asger Lunde, 2008, "Moving Average-Based Estimators of Integrated Variance," Econometric Reviews, Taylor & Francis Journals, volume 27, issue 1-3, pages 79-111, DOI: 10.1080/07474930701853640.
  18. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008, "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, volume 76, issue 6, pages 1481-1536, November.
  19. Dette, Holger & Podolskij, Mark, 2008, "Testing the parametric form of the volatility in continuous time diffusion models--a stochastic process approach," Journal of Econometrics, Elsevier, volume 143, issue 1, pages 56-73, March.
  20. Kinnebrock, Silja & Podolskij, Mark, 2008, "A note on the central limit theorem for bipower variation of general functions," Stochastic Processes and their Applications, Elsevier, volume 118, issue 6, pages 1056-1070, June.
  21. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008, "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 70, issue 5, pages 583-618, October, DOI: 10.1111/j.1468-0084.2008.00512.x.
  22. Frédérique Bec & Anders Rahbek & Mélika Ben Salem, 2008, "Purchasing power parity: A nonlinear multivariate perspective," Economics Bulletin, AccessEcon, volume 6, issue 39, pages 1-6.
  23. Julie Lyng Forman & Michael Sørensen, 2008, "The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 35, issue 3, pages 438-465, September, DOI: 10.1111/j.1467-9469.2007.00592.x.
  24. Lars Stentoft, 2008, "American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 4, pages 540-582, Fall.
  25. González Andrés & Teräsvirta Timo, 2008, "Modelling Autoregressive Processes with a Shifting Mean," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 12, issue 1, pages 1-28, March, DOI: 10.2202/1558-3708.1459.
  26. Nakatani, Tomoaki & Teräsvirta, Timo, 2008, "Positivity constraints on the conditional variances in the family of conditional correlation GARCH models," Finance Research Letters, Elsevier, volume 5, issue 2, pages 88-95, June.
  27. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008, "Parameterizing Unconditional Skewness in Models for Financial Time Series," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 2, pages 208-230, Spring.
  28. Graham Elliott & Allan Timmermann, 2008, "Economic Forecasting," Journal of Economic Literature, American Economic Association, volume 46, issue 1, pages 3-56, March, DOI: 10.1257/jel.46.1.3.
  29. Timmermann, Allan, 2008, "Elusive return predictability," International Journal of Forecasting, Elsevier, volume 24, issue 1, pages 1-18.
  30. Timmermann, Allan, 2008, "Reply to the discussion of Elusive Return Predictability," International Journal of Forecasting, Elsevier, volume 24, issue 1, pages 29-30.
  31. Massimo Guidolin & Allan Timmermann, 2008, "Size and Value Anomalies under Regime Shifts," Journal of Financial Econometrics, Oxford University Press, volume 6, issue 1, pages 1-48, Winter.
  32. Massimo Guidolin & Allan Timmermann, 2008, "International asset allocation under regime switching, skew, and kurtosis preferences," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 2, pages 889-935, April.
  33. Graham Elliott & Ivana Komunjer & Allan Timmermann, 2008, "Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?," Journal of the European Economic Association, MIT Press, volume 6, issue 1, pages 122-157, March.
  34. Daniel Ventosa-Santaulària & José Eduardo Vera-Valdés, 2008, "Granger-Causality in the presence of structural breaks," Economics Bulletin, AccessEcon, volume 3, issue 61, pages 1-14.

2007

  1. Andersen, Torben G., 2007, "Editorial Announcement," Journal of Business & Economic Statistics, American Statistical Association, volume 25, pages 1-1, January.
  2. Andersen, Torben G. & Lewbel, Arthur & Ng, Serena, 2007, "Editors' Report 2006," Journal of Business & Economic Statistics, American Statistical Association, volume 25, pages 503-503, October.
  3. Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 2007, "No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications," Journal of Econometrics, Elsevier, volume 138, issue 1, pages 125-180, May.
  4. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007, "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, volume 73, issue 2, pages 251-277, November.
  5. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007, "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, volume 89, issue 4, pages 701-720, November.
  6. Lin Peng & Wei Xiong & Tim Bollerslev, 2007, "Investor Attention and Time‐varying Comovements," European Financial Management, European Financial Management Association, volume 13, issue 3, pages 394-422, June, DOI: 10.1111/j.1468-036X.2007.00366.x.
  7. Charlotte Christiansen, 2007, "Volatility‐Spillover Effects in European Bond Markets," European Financial Management, European Financial Management Association, volume 13, issue 5, pages 923-948, November, DOI: 10.1111/j.1468-036X.2007.00403.x.
  8. Christiansen, Charlotte & Joensen, Juanna Schroter & Nielsen, Helena Skyt, 2007, "The risk-return trade-off in human capital investment," Labour Economics, Elsevier, volume 14, issue 6, pages 971-986, December.
  9. Charlotte Christiansen & Angelo Ranaldo, 2007, "Realized bond—stock correlation: Macroeconomic announcement effects," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 27, issue 5, pages 439-469, May.
  10. Engsted, Tom & Tanggaard, Carsten, 2007, "The comovement of US and German bond markets," International Review of Financial Analysis, Elsevier, volume 16, issue 2, pages 172-182.
  11. Haldrup, Niels & Hylleberg, Svend & Pons, Gabriel & Sanso, Andreu, 2007, "Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data," Journal of Business & Economic Statistics, American Statistical Association, volume 25, pages 21-32, January.
  12. Haldrup, Niels & Nielsen, Morten Orregaard, 2007, "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 6, pages 3100-3114, March.
  13. Chernozhukov, Victor & Hansen, Christian & Jansson, Michael, 2007, "Inference approaches for instrumental variable quantile regression," Economics Letters, Elsevier, volume 95, issue 2, pages 272-277, May.
  14. Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2007, "Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves," Econometrica, Econometric Society, volume 75, issue 6, pages 1613-1669, November.
  15. Valeri Voev & Asger Lunde, 2007, "Integrated Covariance Estimation using High-frequency Data in the Presence of Noise," Journal of Financial Econometrics, Oxford University Press, volume 5, issue 1, pages 68-104.
  16. Christensen, Kim & Podolskij, Mark, 2007, "Realized range-based estimation of integrated variance," Journal of Econometrics, Elsevier, volume 141, issue 2, pages 323-349, December.
  17. Jensen, Søren Tolver & Rahbek, Anders, 2007, "On The Law Of Large Numbers For (Geometrically) Ergodic Markov Chains," Econometric Theory, Cambridge University Press, volume 23, issue 4, pages 761-766, August.
  18. Nielsen, Heino Bohn & Rahbek, Anders, 2007, "The Likelihood Ratio Test For Cointegration Ranks In The I(2) Model," Econometric Theory, Cambridge University Press, volume 23, issue 4, pages 615-637, August.
  19. Kristian Stegenborg Larsen & Michael Sørensen, 2007, "Diffusion Models For Exchange Rates In A Target Zone," Mathematical Finance, Wiley Blackwell, volume 17, issue 2, pages 285-306, April, DOI: 10.1111/j.1467-9965.2006.00304.x.
  20. Eklund, Bruno & Terasvirta, Timo, 2007, "Testing constancy of the error covariance matrix in vector models," Journal of Econometrics, Elsevier, volume 140, issue 2, pages 753-780, October.
  21. Patton, Andrew J. & Timmermann, Allan, 2007, "Testing Forecast Optimality Under Unknown Loss," Journal of the American Statistical Association, American Statistical Association, volume 102, pages 1172-1184, December.
  22. Guidolin, Massimo & Timmermann, Allan, 2007, "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 11, pages 3503-3544, November.
  23. Guidolin, Massimo & Timmermann, Allan, 2007, "Properties of equilibrium asset prices under alternative learning schemes," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 1, pages 161-217, January.
  24. Pesaran, M. Hashem & Timmermann, Allan, 2007, "Selection of estimation window in the presence of breaks," Journal of Econometrics, Elsevier, volume 137, issue 1, pages 134-161, March.
  25. Patton, Andrew J. & Timmermann, Allan, 2007, "Properties of optimal forecasts under asymmetric loss and nonlinearity," Journal of Econometrics, Elsevier, volume 140, issue 2, pages 884-918, October.
  26. Allan Timmermann, 2007, "An Evaluation of the World Economic Outlook Forecasts," IMF Staff Papers, Palgrave Macmillan, volume 54, issue 1, pages 1-33, May.
  27. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2007, "Learning, Structural Instability, and Present Value Calculations," Econometric Reviews, Taylor & Francis Journals, volume 26, issue 2-4, pages 253-288, DOI: 10.1080/07474930701220352.
  28. Henrik Christoffersen & Martin Paldam & Allan Würtz, 2007, "Public versus private production and economies of scale," Public Choice, Springer, volume 130, issue 3, pages 311-328, March, DOI: 10.1007/s11127-006-9086-0.

2006

  1. Andersen, Torben G. & Bollerslev, Tim & Frederiksen, Per Houmann & Nielsen, Morten Orregaard, 2006, "Comment," Journal of Business & Economic Statistics, American Statistical Association, volume 24, pages 173-179, April.
  2. Bollerslev, Tim & Zhou, Hao, 2006, "Volatility puzzles: a simple framework for gauging return-volatility regressions," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 123-150.
  3. Tim Bollerslev & Julia Litvinova & George Tauchen, 2006, "Leverage and Volatility Feedback Effects in High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, volume 4, issue 3, pages 353-384.
  4. Bunzel, Helle, 2006, "Habit persistence, money, and overlapping generations," Journal of Economic Dynamics and Control, Elsevier, volume 30, issue 12, pages 2425-2445, December.
  5. Bunzel, Helle, 2006, "FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS," Econometric Theory, Cambridge University Press, volume 22, issue 4, pages 743-755, August.
  6. Dahl, Christian M. & Levine, Michael, 2006, "Nonparametric estimation of volatility models with serially dependent innovations," Statistics & Probability Letters, Elsevier, volume 76, issue 18, pages 2007-2016, December.
  7. Engsted, Tom, 2006, "Explosive bubbles in the cointegrated VAR model," Finance Research Letters, Elsevier, volume 3, issue 2, pages 154-162, June.
  8. Haldrup, Niels & Nielsen, Morten Orregaard, 2006, "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, volume 135, issue 1-2, pages 349-376.
  9. Haldrup Niels & Nielsen Morten Ø., 2006, "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 10, issue 3, pages 1-24, September, DOI: 10.2202/1558-3708.1367.
  10. Svend Hylleberg, 2006, "Book Review," Scandinavian Journal of Economics, Wiley Blackwell, volume 108, issue 2, pages 357-359, July, DOI: 10.1111/j.1467-9442.2006.00454.x.
  11. Michael Jansson & Marcelo J. Moreira, 2006, "Optimal Inference in Regression Models with Nearly Integrated Regressors," Econometrica, Econometric Society, volume 74, issue 3, pages 681-714, May.
  12. Johansen, Soren, 2006, "Statistical analysis of hypotheses on the cointegrating relations in the I(2) model," Journal of Econometrics, Elsevier, volume 132, issue 1, pages 81-115, May.
  13. Kristensen, Dennis & Linton, Oliver, 2006, "A Closed-Form Estimator For The Garch(1,1) Model," Econometric Theory, Cambridge University Press, volume 22, issue 2, pages 323-337, April.
  14. Hansen, Peter Reinhard & Lunde, Asger, 2006, "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 97-121.
  15. Hansen, Peter R. & Lunde, Asger, 2006, "Rejoinder," Journal of Business & Economic Statistics, American Statistical Association, volume 24, pages 208-218, April.
  16. Hansen, Peter R. & Lunde, Asger, 2006, "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, volume 24, pages 127-161, April.
  17. Holger Dette & Mark Podolskij & Mathias Vetter, 2006, "Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 33, issue 2, pages 259-278, June, DOI: 10.1111/j.1467-9469.2006.00479.x.
  18. Meitz, Mika & Terasvirta, Timo, 2006, "Evaluating Models of Autoregressive Conditional Duration," Journal of Business & Economic Statistics, American Statistical Association, volume 24, pages 104-124, January.
  19. Andrés González & Timo Teräsvirta, 2006, "Simulation‐based Finite Sample Linearity Test against Smooth Transition Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 68, issue s1, pages 797-812, December, DOI: 10.1111/j.1468-0084.2006.00457.x.
  20. Birgit Strikholm & Timo Teräsvirta, 2006, "A sequential procedure for determining the number of regimes in a threshold autoregressive model," Econometrics Journal, Royal Economic Society, volume 9, issue 3, pages 472-491, November.
  21. Lundbergh, Stefan & Terasvirta, Timo, 2006, "A time series model for an exchange rate in a target zone with applications," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 579-609.
  22. Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006, "Common factors in conditional distributions for bivariate time series," Journal of Econometrics, Elsevier, volume 132, issue 1, pages 43-57, May.
  23. Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech, 2006, "Building neural network models for time series: a statistical approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 1, pages 49-75, DOI: 10.1002/for.974.
  24. Robert Kosowski & Allan Timmermann & Russ Wermers & Hal White, 2006, "Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis," Journal of Finance, American Finance Association, volume 61, issue 6, pages 2551-2595, December, DOI: 10.1111/j.1540-6261.2006.01015.x.
  25. Guidolin, Massimo & Timmermann, Allan, 2006, "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 285-308.
  26. Aiolfi, Marco & Timmermann, Allan, 2006, "Persistence in forecasting performance and conditional combination strategies," Journal of Econometrics, Elsevier, volume 135, issue 1-2, pages 31-53.
  27. Paye, Bradley S. & Timmermann, Allan, 2006, "Instability of return prediction models," Journal of Empirical Finance, Elsevier, volume 13, issue 3, pages 274-315, June.
  28. Allan Timmermann & Massimo Guidolin, 2006, "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 21, issue 1, pages 1-22, DOI: 10.1002/jae.824.

2005

  1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005, "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, volume 95, issue 2, pages 398-404, May.
  2. Andersen, Torben G., 2005, "Editor's Report 2004," Journal of Business & Economic Statistics, American Statistical Association, volume 23, pages 495-495, October.
  3. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2005, "Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities," Econometrica, Econometric Society, volume 73, issue 1, pages 279-296, January.
  4. Tobias Adrian & Joshua V. Rosenberg, 2005, "Stock returns and volatility: pricing the long-run and short-run components of market risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  5. Joydeep Bhattacharya & Helle Bunzel & Joseph Haslag, 2005, "The non-monotonic relationship between seigniorage and inequality," Canadian Journal of Economics, Canadian Economics Association, volume 38, issue 2, pages 500-519, May, DOI: 10.1111/j.0008-4085.2005.00290.x.
  6. Bunzel, Helle & Vogelsang, Timothy J., 2005, "Powerful Trend Function Tests That Are Robust to Strong Serial Correlation, With an Application to the Prebisch-Singer Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, volume 23, pages 381-394, October.
  7. Helle Bunzel & Xue Qiao, 2005, "Endogenous lifetime and economic growth revisited," Economics Bulletin, AccessEcon, volume 15, issue 8, pages 1-8.
  8. Christiansen, Charlotte, 2005, "Multivariate term structure models with level and heteroskedasticity effects," Journal of Banking & Finance, Elsevier, volume 29, issue 5, pages 1037-1057, May.
  9. Charlotte Christiansen, 2005, "Variance-in-mean effects of the long forward-rate slope," Applied Financial Economics, Taylor & Francis Journals, volume 15, issue 11, pages 753-755, DOI: 10.1080/09603100500166152.
  10. Dahl, Christian & Hansen, Henrik & Smidt, John, 2005, "Makroøkonomiske forudsigelser baseret på diffusionsindeks," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, volume 2005, issue 1, pages 125-152.
  11. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2005, "A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability," Research in International Business and Finance, Elsevier, volume 19, issue 1, pages 53-70, March.
  12. Niels Haldrup & Peter Lildholdt, 2005, "Local power functions of tests for double unit roots," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 59, issue 2, pages 159-179, May, DOI: 10.1111/j.1467-9574.2005.00285.x.
  13. Haldrup, Niels & Montanes, Antonio & Sanso, Andreu, 2005, "Measurement errors and outliers in seasonal unit root testing," Journal of Econometrics, Elsevier, volume 127, issue 1, pages 103-128, July.
  14. Hillebrand, Eric, 2005, "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, volume 129, issue 1-2, pages 121-138.
  15. Graham Elliott & Michael Jansson & Elena Pesavento, 2005, "Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity," Journal of Business & Economic Statistics, American Statistical Association, volume 23, pages 34-48, January.
  16. Jansson, Michael, 2005, "Point optimal tests of the null hypothesis of cointegration," Journal of Econometrics, Elsevier, volume 124, issue 1, pages 187-201, January.
  17. Søren Johansen, 2005, "Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 67, issue 1, pages 93-104, February, DOI: 10.1111/j.1468-0084.2005.00111.x.
  18. Johansen, Søren & Lütkepohl, Helmut, 2005, "A Note On Testing Restrictions For The Cointegration Parameters Of A Var With I(2) Variables," Econometric Theory, Cambridge University Press, volume 21, issue 3, pages 653-658, June.
  19. Kristensen, Dennis & Rahbek, Anders, 2005, "ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS," Econometric Theory, Cambridge University Press, volume 21, issue 5, pages 946-961, October.
  20. Asger Lunde & Peter R. Hansen, 2005, "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 20, issue 7, pages 873-889, DOI: 10.1002/jae.800.
  21. Asger Lunde & Allan Timmermann, 2005, "Completion time structures of stock price movements," Annals of Finance, Springer, volume 1, issue 3, pages 293-326, August, DOI: 10.1007/s10436-005-0012-0.
  22. Peter Reinhard Hansen & Asger Lunde, 2005, "A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, volume 3, issue 4, pages 525-554.
  23. Mogens Bladt & Michael Sørensen, 2005, "Statistical inference for discretely observed Markov jump processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 67, issue 3, pages 395-410, June, DOI: 10.1111/j.1467-9868.2005.00508.x.
  24. Mathieu Kessler & Michael Sørensen, 2005, "On Time-Reversibility and Estimating Functions for Markov Processes," Statistical Inference for Stochastic Processes, Springer, volume 8, issue 1, pages 95-107, January, DOI: 10.1023/B:SISP.0000049125.31288.fa.
  25. Stentoft, Lars, 2005, "Pricing American options when the underlying asset follows GARCH processes," Journal of Empirical Finance, Elsevier, volume 12, issue 4, pages 576-611, September.
  26. Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005, "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," International Journal of Forecasting, Elsevier, volume 21, issue 4, pages 755-774.
  27. Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005, "Reply," International Journal of Forecasting, Elsevier, volume 21, issue 4, pages 781-783.
  28. Pesaran, Hashem & Timmermann, Allan, 2005, "Real-Time Econometrics," Econometric Theory, Cambridge University Press, volume 21, issue 1, pages 212-231, February.
  29. Massimo Guidolin & Allan Timmermann, 2005, "Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns," Economic Journal, Royal Economic Society, volume 115, issue 500, pages 111-143, January.
  30. Sandeep Kapur & Allan Timmermann, 2005, "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Economic Journal, Royal Economic Society, volume 115, issue 506, pages 1077-1102, October.
  31. Pesaran, M. Hashem & Timmermann, Allan, 2005, "Small sample properties of forecasts from autoregressive models under structural breaks," Journal of Econometrics, Elsevier, volume 129, issue 1-2, pages 183-217.
  32. Graham Elliott & Allan Timmermann, 2005, "Optimal Forecast Combination Under Regime Switching ," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 46, issue 4, pages 1081-1102, November.
  33. Allan Timmermann & David Blake, 2005, "International Asset Allocation with Time-Varying Investment Opportunities," The Journal of Business, University of Chicago Press, volume 78, issue 1, pages 71-98, January, DOI: 10.1086/426520.

2004

  1. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004, "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 45, issue 4, pages 1079-1110, November.
  2. Torben G. Andersen, 2004, "Discussion," Journal of Financial Econometrics, Oxford University Press, volume 2, issue 1, pages 37-48.
  3. Charlotte Christiansen, 2004, "Regime switching in the yield curve," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 24, issue 4, pages 315-336, April.
  4. Dahl, Christian M. & Hylleberg, Svend, 2004, "Flexible regression models and relative forecast performance," International Journal of Forecasting, Elsevier, volume 20, issue 2, pages 201-217.
  5. Christian M. Dahl & Lin Xia, 2004, "Quantification of Qualitative Survey Data and Test of Consistent Expectations: A New Likelihood Approach," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, volume 2004, issue 1, pages 71-92, DOI: 10.1787/jbcma-v2004-art5-en.
  6. Tom Engsted & Carsten Tanggaard, 2004, "The Comovement of US and UK Stock Markets," European Financial Management, European Financial Management Association, volume 10, issue 4, pages 593-607, December, DOI: 10.1111/j.1354-7798.2004.00267.x.
  7. Tom Engsted & Niels Haldrup & Boriss Siliverstovs, 2004, "Long-run forecasting in multicointegrated systems," Journal of Forecasting, John Wiley & Sons, Ltd., volume 23, issue 5, pages 315-335, DOI: 10.1002/for.925.
  8. Jansson, Michael, 2004, "Stationarity Testing With Covariates," Econometric Theory, Cambridge University Press, volume 20, issue 1, pages 56-94, February.
  9. Jansson, Michael, 2004, "03.6.2. Unbiasedness of the OLS Estimator with Random Regressors—Solution," Econometric Theory, Cambridge University Press, volume 20, issue 6, pages 1263-1264, December.
  10. Michael Jansson, 2004, "The Error in Rejection Probability of Simple Autocorrelation Robust Tests," Econometrica, Econometric Society, volume 72, issue 3, pages 937-946, May.
  11. Johansen S., 2004, "Comment," Journal of Business & Economic Statistics, American Statistical Association, volume 22, pages 169-172, April.
  12. Søren Johansen & Anders Rygh Swensen, 2004, "More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term," Econometrics Journal, Royal Economic Society, volume 7, issue 2, pages 389-397, December.
  13. Kristensen, Dennis & Linton, Oliver, 2004, "03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution," Econometric Theory, Cambridge University Press, volume 20, issue 5, pages 990-993, October.
  14. Andrew Jeffrey, 2004, "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Journal of Financial Econometrics, Oxford University Press, volume 2, issue 2, pages 251-289.
  15. Lunde A. & Timmermann A., 2004, "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Journal of Business & Economic Statistics, American Statistical Association, volume 22, pages 253-273, July.
  16. Frédérique Bec & Anders Rahbek, 2004, "Vector equilibrium correction models with non-linear discontinuous adjustments," Econometrics Journal, Royal Economic Society, volume 7, issue 2, pages 628-651, December.
  17. Jensen, Søren Tolver & Rahbek, Anders, 2004, "Asymptotic Inference For Nonstationary Garch," Econometric Theory, Cambridge University Press, volume 20, issue 6, pages 1203-1226, December.
  18. Søren Tolver Jensen & Anders Rahbek, 2004, "Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case," Econometrica, Econometric Society, volume 72, issue 2, pages 641-646, March.
  19. M. Kessler & A. Rahbek, 2004, "Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions," Statistical Inference for Stochastic Processes, Springer, volume 7, issue 2, pages 137-151, May, DOI: 10.1023/B:SISP.0000026044.28647.56.
  20. Susanne Ditlevsen & Michael Sørensen, 2004, "Inference for Observations of Integrated Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 31, issue 3, pages 417-429, September, DOI: 10.1111/j.1467-9469.2004.02_023.x.
  21. Lars Stentoft, 2004, "Convergence of the Least Squares Monte Carlo Approach to American Option Valuation," Management Science, INFORMS, volume 50, issue 9, pages 1193-1203, September, DOI: 10.1287/mnsc.1030.0155.
  22. Lars Stentoft, 2004, "Assessing the Least Squares Monte-Carlo Approach to American Option Valuation," Review of Derivatives Research, Springer, volume 7, issue 2, pages 129-168, August.
  23. He, Changli & Teräsvirta, Timo, 2004, "An Extended Constant Conditional Correlation Garch Model And Its Fourth-Moment Structure," Econometric Theory, Cambridge University Press, volume 20, issue 5, pages 904-926, October.
  24. Elliott, Graham & Timmermann, Allan, 2004, "Optimal forecast combinations under general loss functions and forecast error distributions," Journal of Econometrics, Elsevier, volume 122, issue 1, pages 47-79, September.
  25. Timmermann, Allan & Granger, Clive W. J., 2004, "Efficient market hypothesis and forecasting," International Journal of Forecasting, Elsevier, volume 20, issue 1, pages 15-27.
  26. Pesaran, M. Hashem & Timmermann, Allan, 2004, "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, volume 20, issue 3, pages 411-425.

2003

  1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003, "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, volume 93, issue 1, pages 38-62, March, DOI: 10.1257/000282803321455151.
  2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003, "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, volume 71, issue 2, pages 579-625, March.
  3. Bollerslev, Tim & Zhang, Benjamin Y. B., 2003, "Measuring and modeling systematic risk in factor pricing models using high-frequency data," Journal of Empirical Finance, Elsevier, volume 10, issue 5, pages 533-558, December.
  4. Joydeep Bhattacharya & Helle Bunzel, 2003, "Dynamics of the planning solution in the discrete-time textbook model of labor market search and matching," Economics Bulletin, AccessEcon, volume 5, issue 19, pages 1-10.
  5. Christiansen, Charlotte, 2003, "Testing the expectations hypothesis using long-maturity forward rates," Economics Letters, Elsevier, volume 78, issue 2, pages 175-180, February.
  6. Dahl Christian M. & Gonzalez-Rivera Gloria, 2003, "Identifying Nonlinear Components by Random Fields in the US GNP Growth. Implications for the Shape of the Business Cycle," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 1, pages 1-35, April, DOI: 10.2202/1558-3708.1123.
  7. Dahl, Christian M. & Gonzalez-Rivera, Gloria, 2003, "Testing for neglected nonlinearity in regression models based on the theory of random fields," Journal of Econometrics, Elsevier, volume 114, issue 1, pages 141-164, May.
  8. Engsted, Tom, 2003, "Misspecification versus bubbles in hyperinflation data: comment," Journal of International Money and Finance, Elsevier, volume 22, issue 4, pages 441-451, August.
  9. Niels Haldrup & David F. Hendry & Herman K. van Dijk, 2003, "Guest Editors’ Introduction: Model Selection and Evaluation in Econometrics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 681-688, December, DOI: 10.1046/j.0305-9049.2003.00090.x.
  10. Oller, Lars-Erik, 2003, "Nonlinear Econometric Modeling in Time Series: Proceedings of the Eleventh International Symposium in Economic Theory,: Edited by W.A. Barnett, D.F. Hendry, S. Hylleberg, T. Terasvirta, D. Tjostheim, and A.W. Wurtz, Cambridge University Press, 2000. ," International Journal of Forecasting, Elsevier, volume 19, issue 4, pages 756-758.
  11. Jansson, Michael, 2003, "03.6.2. Unbiasedness of the OLS Estimator with Random Regressors," Econometric Theory, Cambridge University Press, volume 19, issue 6, pages 1195-1195, December.
  12. Elliott, Graham & Jansson, Michael, 2003, "Testing for unit roots with stationary covariates," Journal of Econometrics, Elsevier, volume 115, issue 1, pages 75-89, July.
  13. Søren Johansen, 2003, "The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model," Journal of Time Series Analysis, Wiley Blackwell, volume 24, issue 6, pages 663-678, November, DOI: 10.1111/j.1467-9892.2003.00328.x.
  14. Kristensen, Dennis & Linton, Oliver, 2003, "03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation," Econometric Theory, Cambridge University Press, volume 19, issue 5, pages 879-880, October.
  15. Robert F. Engle & Asger Lunde, 2003, "Trades and Quotes: A Bivariate Point Process," Journal of Financial Econometrics, Oxford University Press, volume 1, issue 2, pages 159-188.
  16. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003, "Choosing the Best Volatility Models: The Model Confidence Set Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 65, issue s1, pages 839-861, December, DOI: 10.1046/j.0305-9049.2003.00086.x.
  17. Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick, 2003, "Time-Varying Smooth Transition Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, volume 21, issue 1, pages 104-121, January.
  18. Dick van Dijk 1 & Birgit Strikholm & Timo Teräsvirta, 2003, "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," Econometrics Journal, Royal Economic Society, volume 6, issue 1, pages 79-98, June.
  19. Anna Persson & Timo Teräsvirta, 2003, "The net barter terms of trade: A smooth transition approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 8, issue 1, pages 81-97, DOI: 10.1002/ijfe.198.
  20. Massimo Guidolin & Allan Timmermann, 2003, "Recursive Modeling of Nonlinear Dynamics in UK Stock Returns," Manchester School, University of Manchester, volume 71, issue 4, pages 381-395, July, DOI: 10.1111/1467-9957.00352.
  21. Guidolin, Massimo & Timmermann, Allan, 2003, "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 5, pages 717-769, March.
  22. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2003, "Forecast evaluation with shared data sets," International Journal of Forecasting, Elsevier, volume 19, issue 2, pages 217-227.

2002

  1. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002, "An Empirical Investigation of Continuous‐Time Equity Return Models," Journal of Finance, American Finance Association, volume 57, issue 3, pages 1239-1284, June, DOI: 10.1111/1540-6261.00460.
  2. Baillie, Richard T & Bollerslev, Tim, 2002, "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, volume 20, issue 1, pages 60-68, January.
  3. Bollerslev, Tim & Zhou, Hao, 2002, "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Journal of Econometrics, Elsevier, volume 109, issue 1, pages 33-65, July.
  4. Lars Forsberg & Tim Bollerslev, 2002, "Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 5, pages 535-548, DOI: 10.1002/jae.685.
  5. Christiansen, Charlotte, 2002, "Credit spreads and the term structure of interest rates," International Review of Financial Analysis, Elsevier, volume 11, issue 3, pages 279-295.
  6. Christian M. Dahl, 2002, "An investigation of tests for linearity and the accuracy of likelihood based inference using random fields," Econometrics Journal, Royal Economic Society, volume 5, issue 2, pages 263-284, June.
  7. Tom Engsted, 2002, "Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, volume 16, issue 3, pages 301-355, July, DOI: 10.1111/1467-6419.00171.
  8. Engsted, Tom & Tanggaard, Carsten, 2002, "The relation between asset returns and inflation at short and long horizons," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 12, issue 2, pages 101-118, April.
  9. Engsted, Tom, 2002, "Measuring noise in the Permanent Income Hypothesis," Journal of Macroeconomics, Elsevier, volume 24, issue 3, pages 353-370, September.
  10. Jansson, Michael & Haldrup, Niels, 2002, "Regression Theory For Nearly Cointegrated Time Series," Econometric Theory, Cambridge University Press, volume 18, issue 6, pages 1309-1335, December.
  11. Niels Haldrup & Peter Lildholdt, 2002, "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Journal of Time Series Analysis, Wiley Blackwell, volume 23, issue 2, pages 155-171, March, DOI: 10.1111/1467-9892.00260.
  12. Jansson, Michael, 2002, "Consistent Covariance Matrix Estimation For Linear Processes," Econometric Theory, Cambridge University Press, volume 18, issue 6, pages 1449-1459, December.
  13. L. J. Tranvik & M. Jansson, 2002, "Terrestrial export of organic carbon," Nature, Nature, volume 415, issue 6874, pages 861-862, February, DOI: 10.1038/415861b.
  14. Søren Johansen, 2002, "Discussion," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 29, issue 2, pages 213-216, June, DOI: 10.1111/1467-9469.t01-1-00280.
  15. Soren Johansen, 2002, "A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model," Econometrica, Econometric Society, volume 70, issue 5, pages 1929-1961, September.
  16. Johansen, Soren, 2002, "A small sample correction for tests of hypotheses on the cointegrating vectors," Journal of Econometrics, Elsevier, volume 111, issue 2, pages 195-221, December.
  17. Henrik Hansen & Anders Rahbek, 2002, "Approximate Conditional Unit Root Inference," Journal of Time Series Analysis, Wiley Blackwell, volume 23, issue 1, pages 1-28, January, DOI: 10.1111/1467-9892.01505.
  18. He, Changli & Teräsvirta, Timo & Malmsten, Hans, 2002, "Moment Structure Of A Family Of First-Order Exponential Garch Models," Econometric Theory, Cambridge University Press, volume 18, issue 4, pages 868-885, August.
  19. Skalin, Joakim & Teräsvirta, Timo, 2002, "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, volume 6, issue 2, pages 202-241, April.
  20. Davidson, James & Terasvirta, Timo, 2002, "Long memory and nonlinear time series," Journal of Econometrics, Elsevier, volume 110, issue 2, pages 105-112, October.
  21. Lundbergh, Stefan & Terasvirta, Timo, 2002, "Evaluating GARCH models," Journal of Econometrics, Elsevier, volume 110, issue 2, pages 417-435, October.
  22. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002, "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, volume 21, issue 1, pages 1-47, DOI: 10.1081/ETC-120008723.
  23. Pesaran, M. Hashem & Timmermann, Allan, 2002, "Market timing and return prediction under model instability," Journal of Empirical Finance, Elsevier, volume 9, issue 5, pages 495-510, December.

2001

  1. Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001, "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, volume 96, pages 42-55, March.
  2. Torben G. Andersen & Tim Bollerslev & Ashish Das, 2001, "Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns," Journal of Finance, American Finance Association, volume 56, issue 1, pages 305-327, February, DOI: 10.1111/0022-1082.00326.
  3. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001, "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, volume 61, issue 1, pages 43-76, July.
  4. Bollerslev, Tim, 2001, "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, volume 100, issue 1, pages 41-51, January.
  5. Tim Bollerslev & Jonathan H. Wright, 2001, "High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting," The Review of Economics and Statistics, MIT Press, volume 83, issue 4, pages 596-602, November.
  6. Bunzel H. & Kiefer N. M. & Vogelsang T. J., 2001, "Simple Robust Testing of Hypotheses in Nonlinear Models," Journal of the American Statistical Association, American Statistical Association, volume 96, pages 1088-1096, September.
  7. Dahl Christian M. & Hansen Niels L., 2001, "The Formation of Inflation Expectations under Changing Inflation Regimes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 4, issue 4, pages 1-31, January, DOI: 10.2202/1558-3708.1064.
  8. Engsted, Tom & Tanggaard, Carsten, 2001, "The Danish stock and bond markets: comovement, return predictability and variance decomposition," Journal of Empirical Finance, Elsevier, volume 8, issue 3, pages 243-271, July.
  9. Bentzen, Jan & Engsted, Tom, 2001, "A revival of the autoregressive distributed lag model in estimating energy demand relationships," Energy, Elsevier, volume 26, issue 1, pages 45-55, DOI: 10.1016/S0360-5442(00)00052-9.
  10. Engsted, Tom, 2001, "»Afkast og risiko ved aktieinvesteringer på kort og langt sigt«," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, volume 2001, issue 1, pages 316-319.
  11. Engsted, Tom, 2001, "Replik til Nielsen og Risager," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, volume 2001, issue 1, pages 321-322.
  12. Morten B. Jensen & Asger Lunde, 2001, "The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model," Econometrics Journal, Royal Economic Society, volume 4, issue 2, pages 1-10.
  13. Mathieu Kessler & Anders Rahbek, 2001, "Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 28, issue 3, pages 455-470, September, DOI: 10.1111/1467-9469.00248.
  14. Bo Martin Bibby & Michael Sørensen, 2001, "Simplified Estimating Functions for Diffusion Models with a High‐dimensional Parameter," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, volume 28, issue 1, pages 99-112, March, DOI: 10.1111/1467-9469.00226.
  15. Franses, Philip Hans & Teräsvirta, Timo, 2001, "Introduction To The Special Issue: Nonlinear Modeling Of Multivariate Macroeconomic Relations," Macroeconomic Dynamics, Cambridge University Press, volume 5, issue 4, pages 461-465, September.
  16. Timo Teräsvirta & Ann-Charlotte Eliasson, 2001, "Non-linear error correction and the UK demand for broad money, 1878-1993," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 3, pages 277-288.
  17. Timmermann, Allan, 2001, "Structural Breaks, Incomplete Information, and Stock Prices," Journal of Business & Economic Statistics, American Statistical Association, volume 19, issue 3, pages 299-314, July.
  18. Perez-Quiros, Gabriel & Timmermann, Allan, 2001, "Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities," Journal of Econometrics, Elsevier, volume 103, issue 1-2, pages 259-306, July.
  19. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001, "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, volume 105, issue 1, pages 249-286, November.

2000

  1. Andersen, Torben G, 2000, "Some Reflections on Analysis of High-Frequency Data," Journal of Business & Economic Statistics, American Statistical Association, volume 18, issue 2, pages 146-153, April.
  2. Andersen, Torben G., 2000, "Simulation-Based Econometric Methods," Econometric Theory, Cambridge University Press, volume 16, issue 1, pages 131-138, February.
  3. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000, "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 10, issue 2, pages 107-130, June.
  4. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2000, "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," Multinational Finance Journal, Multinational Finance Journal, volume 4, issue 3-4, pages 159-179, September.
  5. Bollerslev, Tim & Wright, Jonathan H., 2000, "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, volume 98, issue 1, pages 81-106, September.
  6. Baillie, Richard T. & Bollerslev, Tim, 2000, "The forward premium anomaly is not as bad as you think," Journal of International Money and Finance, Elsevier, volume 19, issue 4, pages 471-488, August.
  7. Nicholas M. Kiefer & Timothy J. Vogelsang & Helle Bunzel, 2000, "Simple Robust Testing of Regression Hypotheses," Econometrica, Econometric Society, volume 68, issue 3, pages 695-714, May.
  8. Tom Engsted & Ken Nyholm, 2000, "Regime shifts in the Danish term structure of interest rates," Empirical Economics, Springer, volume 25, issue 1, pages 1-13.
  9. Andersen, Torben M & Hylleberg, Svend, 2000, "Sources of Persistence in Employment Adjustment--Denmark 1974-93," Oxford Economic Papers, Oxford University Press, volume 52, issue 1, pages 72-95, January.
  10. Johansen, Søren, 2000, "A Bartlett Correction Factor For Tests On The Cointegrating Relations," Econometric Theory, Cambridge University Press, volume 16, issue 5, pages 740-778, October.
  11. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000, "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, volume 3, issue 2, pages 216-249.
  12. Johansen, Soren, 2000, "Modelling of cointegration in the vector autoregressive model," Economic Modelling, Elsevier, volume 17, issue 3, pages 359-373, August.
  13. Bent Nielsen & Anders Rahbek, 2000, "Similarity Issues in Cointegration Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 62, issue 1, pages 5-22, February, DOI: 10.1111/1468-0084.00157.
  14. Michael Sørensen, 2000, "Prediction-based estimating functions," Econometrics Journal, Royal Economic Society, volume 3, issue 2, pages 123-147.
  15. Pesaran, M Hashem & Timmermann, Allan, 2000, "A Recursive Modelling Approach to Predicting UK Stock Returns," Economic Journal, Royal Economic Society, volume 110, issue 460, pages 159-191, January.
  16. Timmermann, Allan, 2000, "Moments of Markov switching models," Journal of Econometrics, Elsevier, volume 96, issue 1, pages 75-111, May.

1999

  1. Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E., 1999, "Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study," Journal of Econometrics, Elsevier, volume 91, issue 1, pages 61-87, July.
  2. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999, "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, volume 6, issue 5, pages 457-477, December.
  3. Bollerslev, Tim & Jubinski, Dan, 1999, "Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies," Journal of Business & Economic Statistics, American Statistical Association, volume 17, issue 1, pages 9-21, January.
  4. Bollerslev, Tim & Ole Mikkelsen, Hans, 1999, "Long-term equity anticipation securities and stock market volatility dynamics," Journal of Econometrics, Elsevier, volume 92, issue 1, pages 75-99, September.
  5. Tom Engsted & Niels Haldrup, 1999, "Multicointegration in Stock‐Flow Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 61, issue 2, pages 237-254, May, DOI: 10.1111/1468-0084.00127.
  6. Engsted, Tom & Haldrup, Niels, 1999, "Estimating the LQAC Model with I(2) Variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 14, issue 2, pages 155-170, March-Apr.
  7. Henrik Hansen & Søren Johansen, 1999, "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, volume 2, issue 2, pages 306-333.
  8. Johansen, Soren & Swensen, Anders Rygh, 1999, "Testing exact rational expectations in cointegrated vector autoregressive models," Journal of Econometrics, Elsevier, volume 93, issue 1, pages 73-91, November.
  9. Lunde, Asger & Timmermann, Allan & Blake, David, 1999, "The hazards of mutual fund underperformance: A Cox regression analysis," Journal of Empirical Finance, Elsevier, volume 6, issue 2, pages 121-152, April.
  10. Anders Rahbek & Rocco Mosconi, 1999, "Cointegration rank inference with stationary regressors in VAR models," Econometrics Journal, Royal Economic Society, volume 2, issue 1, pages 76-91.
  11. Rahbek, Anders & Christian Kongsted, Hans & Jorgensen, Clara, 1999, "Trend stationarity in the I(2) cointegration model," Journal of Econometrics, Elsevier, volume 90, issue 2, pages 265-289, June.
  12. Paruolo, Paolo & Rahbek, Anders, 1999, "Weak exogeneity in I(2) VAR systems," Journal of Econometrics, Elsevier, volume 93, issue 2, pages 281-308, December.
  13. Changli He & Timo Terasvirta, 1999, "Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints," Journal of Time Series Analysis, Wiley Blackwell, volume 20, issue 1, pages 23-30, January, DOI: 10.1111/1467-9892.00123.
  14. He, Changli & Teräsvirta, Timo, 1999, "FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS," Econometric Theory, Cambridge University Press, volume 15, issue 6, pages 824-846, December.
  15. Granger, Clive W. J. & Terasvirta, Timo, 1999, "A simple nonlinear time series model with misleading linear properties," Economics Letters, Elsevier, volume 62, issue 2, pages 161-165, February.
  16. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1999, "Testing parameter constancy in linear models against stochastic stationary parameters," Journal of Econometrics, Elsevier, volume 90, issue 2, pages 193-213, June.
  17. He, Changli & Terasvirta, Timo, 1999, "Properties of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, volume 92, issue 1, pages 173-192, September.
  18. Skalin, Joakim & Terasvirta, Timo, 1999, "Another Look at Swedish Business Cycles, 1861-1988," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 14, issue 4, pages 359-378, July-Aug..
  19. Lutkepohl, Helmut & Terasvirta, Timo & Wolters, Jurgen, 1999, "Investigating Stability and Linearity of a German M1 Money Demand Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 14, issue 5, pages 511-525, Sept.-Oct.
  20. Clive Granger & Allan Timmermann, 1999, "Data mining with local model specification uncertainty: a discussion of Hoover and Perez," Econometrics Journal, Royal Economic Society, volume 2, issue 2, pages 220-225.
  21. Blake, David & Lehmann, Bruce N & Timmermann, Allan, 1999, "Asset Allocation Dynamics and Pension Fund Performance," The Journal of Business, University of Chicago Press, volume 72, issue 4, pages 429-461, October, DOI: 10.1086/209623.
  22. N. E. Savin & A. H. Wurtz, 1999, "Power of Tests in Binary Response Models," Econometrica, Econometric Society, volume 67, issue 2, pages 413-422, March.

1998

  1. T. G. Andersen & T. Bollerslev, 1998, "Towards a unified framework for high and low frequency return volatility modeling," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 52, issue 3, pages 273-302, November, DOI: 10.1111/1467-9574.00085.
  2. Andersen, Torben G., 1998, "The Econometrics Of Financial Markets," Econometric Theory, Cambridge University Press, volume 14, issue 5, pages 671-685, October.
  3. Andersen, Torben G & Bollerslev, Tim, 1998, "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 39, issue 4, pages 885-905, November.
  4. Engsted, Tom, 1998, "Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks," Journal of Macroeconomics, Elsevier, volume 20, issue 3, pages 533-552, July.
  5. Engsted, Tom, 1998, "Evaluating the Consumption-Capital Asset Pricing Model Using Hansen-Jagannathan Bounds: Evidence from the UK," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 3, issue 4, pages 291-302, October.
  6. Tom Engsted, 1998, "Do farmland prices reflect rationally expected future rents?," Applied Economics Letters, Taylor & Francis Journals, volume 5, issue 2, pages 75-79, DOI: 10.1080/758523507.
  7. Haldrup, Niels & Salmon, Mark, 1998, "Representations of I(2) cointegrated systems using the Smith-McMillan form," Journal of Econometrics, Elsevier, volume 84, issue 2, pages 303-325, June.
  8. Niels Haldrup, 1998, "An Econometric Analysis of I(2) Variables," Journal of Economic Surveys, Wiley Blackwell, volume 12, issue 5, pages 595-650, December, DOI: 10.1111/1467-6419.00069.
  9. Hylleberg, Svend, 1998, "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Comment," Journal of Business & Economic Statistics, American Statistical Association, volume 16, issue 2, pages 167-168, April.
  10. Timo Teräsvirta & Svend Hylleberg, 1998, "Comments on N. R. Ericsson, D. F. Hendry and K.M. Prestwich, “The Demand for Broad Money in the United Kingdom, 1878–1993”," Scandinavian Journal of Economics, Wiley Blackwell, volume 100, issue 1, pages 325-334, March, DOI: 10.1111/1467-9442.00104.
  11. Andersen, Torben M. & Hylleberg, Svend, 1998, "Wage Adjustment And Employment Persistency," Macroeconomic Dynamics, Cambridge University Press, volume 2, issue 4, pages 472-491, December.
  12. Johansen, Soren & Schaumburg, Ernst, 1998, "Likelihood analysis of seasonal cointegration," Journal of Econometrics, Elsevier, volume 88, issue 2, pages 301-339, November.
  13. Tobias Rydén & Timo Teräsvirta & Stefan Åsbrink, 1998, "Stylized facts of daily return series and the hidden Markov model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 13, issue 3, pages 217-244.
  14. Jürgen Wolters & Timo Teräsvirta & Helmut Lütkepohl, 1998, "Modeling The Demand For M3 In The Unified Germany," The Review of Economics and Statistics, MIT Press, volume 80, issue 3, pages 399-409, August.

1997

  1. Andersen, Torben G & Bollerslev, Tim, 1997, "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, volume 52, issue 3, pages 975-1005, July.
  2. Andersen, Torben G. & Sorensen, Bent E., 1997, "GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)," Journal of Econometrics, Elsevier, volume 76, issue 1-2, pages 397-403.
  3. Andersen, Torben G. & Lund, Jesper, 1997, "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, volume 77, issue 2, pages 343-377, April.
  4. Andersen, Torben G. & Bollerslev, Tim, 1997, "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, volume 4, issue 2-3, pages 115-158, June.
  5. Bollerslev, Tim & Domowitz, Ian & Wang, Jianxin, 1997, "Order flow and the bid-ask spread: An empirical probability model of screen-based trading," Journal of Economic Dynamics and Control, Elsevier, volume 21, issue 8-9, pages 1471-1491, June.
  6. Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels, 1997, "Testing for multicointegration," Economics Letters, Elsevier, volume 56, issue 3, pages 259-266, November.
  7. Engsted, Tom & Haldrup, Niels, 1997, "Money demand, adjustment costs, and forward-looking behavior," Journal of Policy Modeling, Elsevier, volume 19, issue 2, pages 153-173, April.
  8. Tom Engsted & Jesper Lund, 1997, "Common stochastic trends in international stock prices and dividends: an example of testing overidentifying restrictions on multiple cointegration vectors," Applied Financial Economics, Taylor & Francis Journals, volume 7, issue 6, pages 659-665, DOI: 10.1080/758533857.
  9. Granger, Clive W J & Haldrup, Niels, 1997, "Separation in Cointegrated Systems and Persistent-Transitory Decompositions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 59, issue 4, pages 449-463, November.
  10. Boswijk, H. Peter & Franses, Philip Hans & Haldrup, Niels, 1997, "Multiple unit roots in periodic autoregression," Journal of Econometrics, Elsevier, volume 80, issue 1, pages 167-193, September.
  11. Hylleberg, S. & Pagan, A. R., 1997, "Seasonal integration and the evolving seasonals model," International Journal of Forecasting, Elsevier, volume 13, issue 3, pages 329-340, September.
  12. Terasvirta, Timo, 1997, "The International Institute of Forecasters Award for the Best Forecasting Paper," International Journal of Forecasting, Elsevier, volume 13, issue 4, pages 591-592, December.

1996

  1. Andersen, Torben G & Sorensen, Bent E, 1996, "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, volume 14, issue 3, pages 328-352, July.
  2. Andersen, Torben G, 1996, "Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, volume 51, issue 1, pages 169-204, March.
  3. Bollerslev, Tim & Ghysels, Eric, 1996, "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, volume 14, issue 2, pages 139-151, April.
  4. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996, "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, volume 73, issue 1, pages 151-184, July.
  5. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996, "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, volume 74, issue 1, pages 3-30, September.
  6. Engsted, Tom, 1996, "The monetary model of the exchange rate under hyperinflation: New encouraging evidence," Economics Letters, Elsevier, volume 51, issue 1, pages 37-44, April.
  7. Engsted, Tom, 1996, "The predictive power of the money market term structure," International Journal of Forecasting, Elsevier, volume 12, issue 2, pages 289-295, June.
  8. Lund, Jesper & Engsted, Tom, 1996, "GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets," Journal of International Money and Finance, Elsevier, volume 15, issue 4, pages 497-521, August.
  9. Haldrup, Niels, 1996, "Mirror image distributions and the Dickey-Fuller regression with a maintained trend," Journal of Econometrics, Elsevier, volume 72, issue 1-2, pages 301-312.
  10. Hylleberg, Svend, 1996, "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Comment," Journal of Business & Economic Statistics, American Statistical Association, volume 14, issue 3, pages 388-389, July.
  11. Engle, Robert F & Hylleberg, Svend, 1996, "Common Seasonal Features: Global Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 58, issue 4, pages 615-630, November.
  12. Uwe Küchler & Michael Sørensen, 1996, "Curved exponential families of stochastic processes and their envelope families," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, volume 48, issue 1, pages 61-74, March, DOI: 10.1007/BF00049289.
  13. Jansen, Eilev S & Terasvirta, Timo, 1996, "Testing Parameter Constancy and Super Exogeneity in Econometric Equations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 58, issue 4, pages 735-763, November.
  14. Teräsvirta Timo, 1996, "Power Properties of Linearity Tests for Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 1, issue 1, pages 1-10, April, DOI: 10.2202/1558-3708.1008.
  15. Eitrheim, Oyvind & Terasvirta, Timo, 1996, "Testing the adequacy of smooth transition autoregressive models," Journal of Econometrics, Elsevier, volume 74, issue 1, pages 59-75, September.
  16. Kauppi, Eija & Lassila, Jukka & Terasvirta, Timo, 1996, "Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990-1993," International Journal of Forecasting, Elsevier, volume 12, issue 3, pages 373-381, September.

1995

  1. Bollerslev, Tim & Rossi, Peter E, 1995, "Dan Nelson Remembered," Journal of Business & Economic Statistics, American Statistical Association, volume 13, issue 4, pages 361-364, October.
  2. Engsted, Tom, 1995, "Does the Long-Term Interest Rate Predict Future Inflation? A Multi-country Analysis," The Review of Economics and Statistics, MIT Press, volume 77, issue 1, pages 42-54, February.
  3. Haldrup, Niels & Hylleberg, Svend, 1995, "A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence," Economics Letters, Elsevier, volume 48, issue 3-4, pages 221-228, June.
  4. Franses, Philip Hans & Hylleberg, Svend & Lee, Hahn S., 1995, "Spurious deterministic seasonality," Economics Letters, Elsevier, volume 48, issue 3-4, pages 249-256, June.
  5. Hylleberg, Svend, 1995, "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, volume 69, issue 1, pages 5-25, September.
  6. Johansen, Søren, 1995, "A Stastistical Analysis of Cointegration for I(2) Variables," Econometric Theory, Cambridge University Press, volume 11, issue 1, pages 25-59, February.
  7. Johansen, Soren, 1995, "The Role of Ancillarity in Inference for Non-stationary Variables," Economic Journal, Royal Economic Society, volume 105, issue 429, pages 302-320, March.
  8. Johansen, Soren, 1995, "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, volume 69, issue 1, pages 111-132, September.
  9. Terasvirta, Timo, 1995, "Professor Clive W.J. Granger: An interview for the International Journal of Forecasting," International Journal of Forecasting, Elsevier, volume 11, issue 4, pages 585-590, December.
  10. Terasvirta, Timo, 1995, "Modelling Nonlinearity in U.S. Gross National Product 1889-1987," Empirical Economics, Springer, volume 20, issue 4, pages 577-597.
  11. Pesaran, M Hashem & Timmermann, Allan, 1995, "Predictability of Stock Returns: Robustness and Economic Significance," Journal of Finance, American Finance Association, volume 50, issue 4, pages 1201-1228, September.
  12. Satchell, Steve & Timmermann, Allan, 1995, "On the optimality of adaptive expectations: Muth revisited," International Journal of Forecasting, Elsevier, volume 11, issue 3, pages 407-416, September.
  13. Timmermann, Allan, 1995, "Cointegration Tests of Present Value Models with a Time-Varying Discount Factor," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 10, issue 1, pages 17-31, Jan.-Marc.

1994

  1. Andersen, Torben G, 1994, "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, volume 12, issue 4, pages 389-392, October.
  2. Baillie, Richard T & Bollerslev, Tim, 1994, "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, volume 49, issue 2, pages 737-745, June.
  3. Bollerslev, Tim & Melvin, Michael, 1994, "Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis," Journal of International Economics, Elsevier, volume 36, issue 3-4, pages 355-372, May.
  4. Baillie, Richard T & Bollerslev, Tim, 1994, "The long memory of the forward premium," Journal of International Money and Finance, Elsevier, volume 13, issue 5, pages 565-571, October.
  5. Engsted, Tom & Tanggaard, Carsten, 1994, "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, volume 18, issue 1, pages 167-181, January.
  6. Engsted, Tom & Haldrup, Niels, 1994, "The Linear Quadratic Adjustment Cost Model and the Demand for Labour," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 9, issue S, pages 145-159, Suppl. De.
  7. Franses, Philip Hans & Haldrup, Niels, 1994, "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration," Journal of Business & Economic Statistics, American Statistical Association, volume 12, issue 4, pages 471-478, October.
  8. Haldrup, Niels, 1994, "Semiparametric Tests for Double Unit Roots," Journal of Business & Economic Statistics, American Statistical Association, volume 12, issue 1, pages 109-122, January.
  9. Haldrup, Niels, 1994, "The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables," Journal of Econometrics, Elsevier, volume 63, issue 1, pages 153-181, July.
  10. Johansen, Soren & Juselius, Katarina, 1994, "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, volume 63, issue 1, pages 7-36, July.
  11. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994, "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, volume 62, issue 2, pages 211-228, June.
  12. Deutsch, Melinda & Granger, Clive W. J. & Terasvirta, Timo, 1994, "The combination of forecasts using changing weights," International Journal of Forecasting, Elsevier, volume 10, issue 1, pages 47-57, June.
  13. Timmermann, Allan, 1994, "Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market," Economic Journal, Royal Economic Society, volume 104, issue 425, pages 777-797, July.
  14. Timmermann, Allan, 1994, "Present value models with feedback : Solutions, stability, bubbles, and some empirical evidence," Journal of Economic Dynamics and Control, Elsevier, volume 18, issue 6, pages 1093-1119, November.
  15. Pesaran, M. Hashem & Timmermann, Allan G., 1994, "A generalization of the non-parametric Henriksson-Merton test of market timing," Economics Letters, Elsevier, volume 44, issue 1-2, pages 1-7.
  16. Satchell, Steve & Timmermann, Allan, 1994, "Optimal properties of exponentially weighted forecasts in the presence of different information sources," Economics Letters, Elsevier, volume 45, issue 2, pages 169-174, June.
  17. Timmermann, Allan, 1994, "Why do dividend yields forecast stock returns?," Economics Letters, Elsevier, volume 46, issue 2, pages 149-158, October.

1993

  1. Bollerslev, Tim & Domowitz, Ian, 1993, "Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance, American Finance Association, volume 48, issue 4, pages 1421-1443, September.
  2. Bollerslev, Tim & Engle, Robert F, 1993, "Common Persistence in Conditional Variances," Econometrica, Econometric Society, volume 61, issue 1, pages 167-186, January.
  3. Baillie, Richard T. & Bollerslev, Tim & Redfearn, Michael R., 1993, "Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange," Journal of International Money and Finance, Elsevier, volume 12, issue 5, pages 511-521, October.
  4. Engsted, Tom, 1993, "The Term Structure of Interest Rates in Denmark 1982-89: Testing the Rational Expectations/Constant Liquidity Premium Theory," Bulletin of Economic Research, Wiley Blackwell, volume 45, issue 1, pages 19-37, January.
  5. Bentzen, Jan & Engsted, Tom, 1993, "Short- and long-run elasticities in energy demand : A cointegration approach," Energy Economics, Elsevier, volume 15, issue 1, pages 9-16, January.
  6. Engsted, Tom, 1993, "Cointegration and Cagan's Model of Hyperinflation under Rational Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, volume 25, issue 3, pages 350-360, August.
  7. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993, "The Japanese consumption function," Journal of Econometrics, Elsevier, volume 55, issue 1-2, pages 275-298.
  8. Rose, Elizabeth, 1993, "Modelling seasonality : Svend Hylleberg, Ed., (Oxford University Press, New York), 476 pp., US$75.00 hard cover (ISBN 0-19-877317-X), US$35.00 paperback (ISBN 0-19-8773188)," International Journal of Forecasting, Elsevier, volume 9, issue 4, pages 580-582, December.
  9. Hylleberg, Svend & Jorgensen, Clara & Sorensen, Nils Karl, 1993, "Seasonality in Macroeconomic Time Series," Empirical Economics, Springer, volume 18, issue 2, pages 321-335.
  10. Timo Teräsvirta & Chien‐Fu Lin & Clive W. J. Granger, 1993, "Power Of The Neural Network Linearity Test," Journal of Time Series Analysis, Wiley Blackwell, volume 14, issue 2, pages 209-220, March, DOI: 10.1111/j.1467-9892.1993.tb00139.x.

1992

  1. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992, "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, volume 52, issue 1-2, pages 5-59.
  2. Baillie, Richard T. & Bollerslev, Tim, 1992, "Prediction in dynamic models with time-dependent conditional variances," Journal of Econometrics, Elsevier, volume 52, issue 1-2, pages 91-113.
  3. Johansen, Soren, 1992, "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 54, issue 3, pages 383-397, August.
  4. Johansen, Søren, 1992, "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, volume 8, issue 2, pages 188-202, June.
  5. Johansen, Soren, 1992, "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, volume 52, issue 3, pages 389-402, June.
  6. Johansen, Søren & Juselius, Katarina, 1992, "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, volume 53, issue 1-3, pages 211-244.
  7. Johansen, Soren, 1992, "Testing weak exogeneity and the order of cointegration in UK money demand data," Journal of Policy Modeling, Elsevier, volume 14, issue 3, pages 313-334, June.
  8. Terasvirta, T & Anderson, H M, 1992, "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 7, issue S, pages 119-136, Suppl. De.
  9. Pesaran, M Hashem & Timmermann, Allan, 1992, "A Simple Nonparametric Test of Predictive Performance," Journal of Business & Economic Statistics, American Statistical Association, volume 10, issue 4, pages 561-565, October.

1991

  1. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991, "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
  2. Richard T. Baillie & Tim Bollerslev, 1991, "Intra-Day and Inter-Market Volatility in Foreign Exchange Rates," The Review of Economic Studies, Review of Economic Studies Ltd, volume 58, issue 3, pages 565-585.
  3. Johansen, Soren, 1991, "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, volume 59, issue 6, pages 1551-1580, November.
  4. Barndorff-Nielsen, O. E. & Sorensen, M., 1991, "Information quantities in non-classical settings," Computational Statistics & Data Analysis, Elsevier, volume 12, issue 2, pages 143-158, September.

1990

  1. Baillie, Richard T. & Bollerslev, Tim, 1990, "A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets," Journal of International Money and Finance, Elsevier, volume 9, issue 3, pages 309-324, September.
  2. Bollerslev, Tim, 1990, "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, volume 72, issue 3, pages 498-505, August.
  3. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990, "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, volume 44, issue 1-2, pages 215-238.
  4. Johansen, Soren & Juselius, Katarina, 1990, "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 52, issue 2, pages 169-210, May.
  5. Sørensen, Michael, 1990, "On quasi likelihood for semimartingales," Stochastic Processes and their Applications, Elsevier, volume 35, issue 2, pages 331-346, August.
  6. Boucelham, Jamel & Terasvirta, Timo, 1990, "Use of preliminary values in forecasting industrial production," International Journal of Forecasting, Elsevier, volume 6, issue 4, pages 463-468, December.

1989

  1. Hylleberg, Svend & Mizon, Grayham E, 1989, "Cointegration and Error Correction Mechanisms," Economic Journal, Royal Economic Society, volume 99, issue 395, pages 113-125, Supplemen.
  2. Hylleberg, Svend & Mizon, Grayham E., 1989, "A note on the distribution of the least squares estimator of a random walk with drift," Economics Letters, Elsevier, volume 29, issue 3, pages 225-230.

1988

  1. Tim Bollerslev, 1988, "On The Correlation Structure For The Generalized Autoregressive Conditional Heteroskedastic Process," Journal of Time Series Analysis, Wiley Blackwell, volume 9, issue 2, pages 121-131, March, DOI: 10.1111/j.1467-9892.1988.tb00459.x.
  2. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988, "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, volume 96, issue 1, pages 116-131, February, DOI: 10.1086/261527.
  3. Johansen, Soren, 1988, "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, volume 12, issue 2-3, pages 231-254.
  4. Jesper Lier Boldsen & Jens Ledet Jensen & Jes SØGaard & Michael SØrensen, 1988, "On the Incubation Time Distribution and the Danish AIDS Data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, volume 151, issue 1, pages 42-43, January, DOI: 10.2307/2982183.
  5. Rahiala, Markku & Terasvirta, Timo, 1988, "Formation of Firms' Production Decisions in Finnish Manufacturing Industries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 3, issue 2, pages 125-137, April.

1987

  1. Bollerslev, Tim, 1987, "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, volume 69, issue 3, pages 542-547, August.
  2. Jensen, Søren Tolver & Johansen, Søren, 1987, "Estimation of proportional covariances," Statistics & Probability Letters, Elsevier, volume 6, issue 2, pages 83-85, November.
  3. Judge, George & Yi, Gang & Yancey, Thomas & Terasvirta, Timo, 1987, "The extended Stein procedure for simultaneous model selection and parameter estimation," Journal of Econometrics, Elsevier, volume 35, issue 2-3, pages 375-391, July.
  4. Terasvirta, Timo, 1987, "Usefulness of proxy variables in linear models with stochastic regressors," Journal of Econometrics, Elsevier, volume 36, issue 3, pages 377-382, November.

1986

  1. Bollerslev, Tim, 1986, "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, volume 31, issue 3, pages 307-327, April.

1985

  1. Bollerslev, Tim & Hylleberg, Svend, 1985, "A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 47, issue 2, pages 153-170, May.
  2. Timo Teräsvirta, 1985, "Mink And Muskrat Interaction:A Structural Analysis," Journal of Time Series Analysis, Wiley Blackwell, volume 6, issue 3, pages 171-180, May, DOI: 10.1111/j.1467-9892.1985.tb00407.x.

1982

  1. Bunzel, Henning & Hylleberg, Svend, 1982, "Seasonality in dynamic regression models : A comparative study of finite sample properties of various regression estimators including band spectrum regression," Journal of Econometrics, Elsevier, volume 19, issue 2-3, pages 345-366, August.
  2. Terasvirta, Timo, 1982, "Underestimation of mean square error matrix in misspecified linear models," Journal of Econometrics, Elsevier, volume 18, issue 2, pages 281-284, February.

1980

  1. Terasvirta, T, 1980, "The Polynomial Distributed Lag Revisited," Empirical Economics, Springer, volume 5, issue 2, pages 69-81.

1977

  1. Hylleberg, Svend, 1977, "A comparative study of finite sample properties of band spectrum regression estimators," Journal of Econometrics, Elsevier, volume 5, issue 2, pages 167-182, March.

1976

  1. Terasvirta, Timo, 1976, "A Note on Bias in the Almon Distributed Lag Estimator," Econometrica, Econometric Society, volume 44, issue 6, pages 1317-1321, November.
  2. Leskinen, Esko & Terasvirta, Timo, 1976, "Forecasting the consumption of alcoholic beverages in Finland : A box-Jenkins approach," European Economic Review, Elsevier, volume 8, issue 4, pages 349-369, December.

Books

2014

  1. Haldrup, Niels & Meitz, Mika & Saikkonen, Pentti (ed.), 2014, "Essays in Nonlinear Time Series Econometrics," OUP Catalogue, Oxford University Press, number 9780199679959, ISBN: ARRAY(0x816bf8c0).

2010

  1. Bollerslev, Tim & Russell, Jeffrey & Watson, Mark (ed.), 2010, "Volatility and Time Series Econometrics: Essays in Honor of Robert Engle," OUP Catalogue, Oxford University Press, number 9780199549498, ISBN: ARRAY(0x814c0e68).
  2. Terasvirta, Timo & Tjostheim, Dag & Granger, Clive W. J., 2010, "Modelling Nonlinear Economic Time Series," OUP Catalogue, Oxford University Press, number 9780199587155, ISBN: ARRAY(0x81466ac0).

2006

  1. Barnett,William A. & Hendry,David F. & Hylleberg,Svend & Teräsvirta,Timo & Tjøstheim,Dag & Würtz, (ed.), 2006, "Nonlinear Econometric Modeling in Time Series," Cambridge Books, Cambridge University Press, number 9780521028684.
  2. G. Elliott & C. Granger & A. Timmermann (ed.), 2006, "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, number 1, edition 1, ISBN: ARRAY(0x81294498).

2000

  1. Barnett,William A. & Hendry,David F. & Hylleberg,Svend & Teräsvirta,Timo & Tjøstheim,Dag & Würtz, (ed.), 2000, "Nonlinear Econometric Modeling in Time Series," Cambridge Books, Cambridge University Press, number 9780521594240.

1998

  1. Hansen, Peter Reinhard & Johansen, Soren, 1998, "Workbook on Cointegration," OUP Catalogue, Oxford University Press, number 9780198776079, ISBN: ARRAY(0x8284f7e8).

1995

  1. Johansen, Soren, 1995, "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, ISBN: ARRAY(0x81b3ea70).

1993

  1. Granger, Clive W. J. & Terasvirta, Timo, 1993, "Modelling Non-Linear Economic Relationships," OUP Catalogue, Oxford University Press, number 9780198773207, ISBN: ARRAY(0x841483f0).

1992

  1. Hylleberg, S. (ed.), 1992, "Modelling Seasonality," OUP Catalogue, Oxford University Press, number 9780198773184, ISBN: ARRAY(0x816d4da8).

1986

  1. Shell, Karl (ed.), 1986, "Seasonality in Regression," Elsevier Monographs, Elsevier, number 9780123634559, edition 1, ISBN: ARRAY(0x7a5317b0).

Chapters

2016

  1. Laurent Callot & Johannes Tang Kristensen, 2016, "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Advances in Econometrics, Emerald Group Publishing Limited, "Dynamic Factor Models", DOI: 10.1108/S0731-905320150000035011.
  2. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2016, "Dynamic Factor Models for the Volatility Surface☆," Advances in Econometrics, Emerald Group Publishing Limited, "Dynamic Factor Models", DOI: 10.1108/S0731-905320150000035004.

2013

  1. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013, "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, Elsevier, chapter 0, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance", DOI: 10.1016/B978-0-44-459406-8.00017-2.
  2. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013, "Unit roots, non-linearities and structural breaks," Chapters, Edward Elgar Publishing, chapter 4, in: Nigar Hashimzade & Michael A. Thornton, "Handbook of Research Methods and Applications in Empirical Macroeconomics".
  3. Lars Stentoft, 2013, "American option pricing using simulation with an application to the GARCH model," Chapters, Edward Elgar Publishing, chapter 5, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk, "Handbook of Research Methods and Applications in Empirical Finance".
  4. Kirstin Hubrich & Timo Teräsvirta, 2013, "Thresholds and Smooth Transitions in Vector Autoregressive Models☆The views expressed in this article are those of the authors and should not be interpreted as reflecting the views of the European Central Bank," Advances in Econometrics, Emerald Group Publishing Limited, "VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims", DOI: 10.1108/S0731-9053(2013)0000031008.

2009

  1. Neil Shephard & Torben G. Andersen, 2009, "Stochastic Volatility: Origins and Overview," Springer Books, Springer, chapter 10, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_10.
  2. Timo Teräsvirta, 2009, "An Introduction to Univariate GARCH Models," Springer Books, Springer, chapter 1, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_1.
  3. Annastiina Silvennoinen & Timo Teräsvirta, 2009, "Multivariate GARCH Models," Springer Books, Springer, chapter 9, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_9.

2008

  1. Changli He & Hans Malmsten & Timo Teräsvirta, 2008, "Higher-order Dependence in the General Power ARCH Process and the Role of Power Parameter," Springer Books, Springer, "Recent Advances in Linear Models and Related Areas", DOI: 10.1007/978-3-7908-2064-5_12.

2007

  1. Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold, 2007, "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Chapters, National Bureau of Economic Research, Inc, "The Risks of Financial Institutions".

2006

  1. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006, "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, Elsevier, chapter 15, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting".
  2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Ginger Wu, 2006, "Realized Beta: Persistence and Predictability," Advances in Econometrics, Emerald Group Publishing Limited, "Econometric Analysis of Financial and Economic Time Series", DOI: 10.1016/S0731-9053(05)20020-8.
  3. Christian M. Dahl & Tamer Kulaksizoglu, 2006, "Nonlinear Modeling of the Changing Lag Structure in U.S. Housing Construction," Contributions to Economic Analysis, Emerald Group Publishing Limited, "Nonlinear Time Series Analysis of Business Cycles", DOI: 10.1016/S0573-8555(05)76015-6.
  4. Terasvirta, Timo, 2006, "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, Elsevier, chapter 8, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting".
  5. Timmermann, Allan, 2006, "Forecast Combinations," Handbook of Economic Forecasting, Elsevier, chapter 4, in: G. Elliott & C. Granger & A. Timmermann, "Handbook of Economic Forecasting".

2004

  1. Soren Johansen, 2004, "A Small Sample Correction of the Dickey-Fuller Test," Contributions to Economic Analysis, Emerald Group Publishing Limited, "New Directions in Macromodelling", DOI: 10.1016/S0573-8555(04)69003-l.

1993

  1. Clive W. Granger & Timo Terasvirta & Heather M. Anderson, 1993, "Modeling Nonlinearity over the Business Cycle," NBER Chapters, National Bureau of Economic Research, Inc, "Business Cycles, Indicators, and Forecasting".

1986

  1. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986, "Arch models," Handbook of Econometrics, Elsevier, chapter 49, in: R. F. Engle & D. McFadden, "Handbook of Econometrics".
  2. Terasvirta, Timo & Tjostheim, Dag & W.J. Granger, Clive, 1986, "Aspects of modelling nonlinear time series," Handbook of Econometrics, Elsevier, chapter 48, in: R. F. Engle & D. McFadden, "Handbook of Econometrics".

Software components

2022

  1. Matias D. Cattaneo & Michael Jansson & Xinwei Ma, 2022, "RDDENSITY: Stata module to perform Manipulation Testing Using Local Polynomial Density Estimation," Statistical Software Components, Boston College Department of Economics, number S459094, revised 09 Jul 2026.
  2. Matias D. Cattaneo & Michael Jansson & Xinwei Ma, 2022, "LPDENSITY: Stata module to perform Local Polynomial Density Estimation and Inference," Statistical Software Components, Boston College Department of Economics, number S459095, revised .

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