2017-01: Predicting Bond Betas using Macro-Finance Variables by Nektarios Aslanidis, Charlotte Christiansen and Andrea Cipollini

2017-02Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form by Giuseppe Cavaliere, Morten Ørregaard Nielsen and Robert Taylor

2017-03: A regime-switching stochastic volatility model for forecasting electricity prices by Peter Exterkate and Oskar Knapik

2017-04: Sir Clive Granger’s contributions to nonlinear time series and econometrics by Timo Teräsvirta

2017-05: Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis by Matthew T. Holt and Timo Teräsvirta

2017-06: The Walking Debt Crisis by Tobias Basse, Robinson Kruse and Christoph Wegener

2017-07: Modeling and forecasting electricity price jumps in the Nord Pool power market by Oskar Knapik

2017-08: Insight into the Female Longevity Puzzle: Using Register Data to Analyse Mortality and Cause of Death Behaviour Across Socio-economic Groups by Malene Kallestrup-Lamb and Carsten P.T. Rosenskjold

2017-09: Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations by Thomas Quistgaard Pedersen and Erik Christian Montes Schütte

2017-10: Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability by Jeroen V.K. Rombouts, Lars Stentoft and Francesco Violant

2017-11: Cointegration between trends and their estimators in state space models and CVAR models by Søren Johansen and Morten Nyboe Tabor

2017-12: The role of cointegration for optimal hedging with heteroscedastic error term by Lukasz Gatarek and Søren Johansen

2017-13: Picking Funds with Confidence by Niels S. Grønborg, Asger Lunde, Allan Timmermann and Russ Wermers

2017-14: The Extended Perturbation Method: New Insights on the New Keynesian Model by Martin M. Andreasen and Anders Kronborg

2017-15: A Non-Structural Investigation of VIX Risk Neutral Density by Andrea Barletta, Paolo Santucci de Magistris and Francesco Violante

2017-16: Does the ARFIMA really shift? by Davide Delle Monache, Stefano Grassi and Paolo Santucci de Magistris

2017-17: Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles by Massimo Franchi and Søren Johansen

2017-18: Bootstrap-Based Inference for Cube Root Consistent Estimators by Matias D. Cattaneo, Michael Jansson and Kenichi Nagasawa

2017-19: Statistical tests for equal predictive ability across multiple forecasting methods by Daniel Borup and Martin Thyrsgaard

2017-20: A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices by Tommaso Proietti and Alessandro Giovannelli

2017-21: Variance swap payoffs, risk premia and extreme market conditions by Jeroen V.K. Rombouts, Lars Stentoft and Francesco Violante

2017-22: Testing for time-varying loadings in dynamic factor models by Jakob Guldbæk Mikkelsen

2017-23: The Qualitative Expectations Hypothesis: Model Ambiguity, Concistent Representations of Market Forecasts, and Sentiment by Roman Frydman, Søren Johansen, Anders Rahbek and Morten Nyboe Tabor

2017-24: Inference from the futures: ranking the noise cancelling accuracy of realized measures by Giorgio Mirone

2017-25: The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode by Massimiliano Caporin, Gisle J. Natvik, Francesco Ravazzolo and Paolo Santucci de Magistris

2017-26: Decoupling the short- and long-term behavior of stochastic volatility by Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen

2017-27: The TIPS Liquidity Premium by Martin M. Andreasen, Jens H.E. Christensen and Simon Riddell

2017-28: Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model by Annastiina Silvennoinen and Timo Teräsvirta

2017-29: Modelling and forecasting WIG20 daily returns by Cristina Amado, Annastiina Silvennoinen and Timo Teräsvirta

2017-30: Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment by Kim Christensen, Ulrich Hounyo and Mark Podolskij

2017-31: Term Structure Analysis with Big Data by Martin M. Andreasen, Jens H.E. Christensen and Glenn D. Rudebusch

2017-32: Nonlinear models in macroeconometrics by Timo Teräsvirta

2017-33: Time-varying coefficient estimation in SURE models. Application to portfolio management by Isabel Casas, Eva Ferreira and Susan Orbe

2017-34: Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing by Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou and Weining Wang

2017-35: Identification and estimation of heterogeneous agent models: A likelihood approach by Juan Carlos Parra-Alvarez, Olaf Posch and Mu-Chun Wang

2017-36: Panel Smooth Transition Regression Models by Andrés González, Timo Teräsvirta, Dick van Dijk and Yukai Yang