2018

2018-01: Forecaster’s utility and forecasts coherence by Emilio Zanetti Chini

2018-02: The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets by Torben G. Andersen, Nicola Fusari and Viktor Todorov

2018-03: Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span by Torben G. Andersen, Nicola Fusari, Viktor Todorov and Rasmus T. Varneskov

2018-04: Option Panels in Pure-Jump Settings by Torben G. Andersen, Nicola Fusari, Viktor Todorov and Rasmus T. Varneskov

2018-05: Time-Varying Periodicity in Intraday Volatility by Torben G. Andersen, Martin Thyrsgaard and Viktor Todorov

2018-06: A Parametric Factor Model of the Term Structure of Mortality by Niels Haldrup and Carsten P. T. Rosenskjold

2018-07: The Risk Premia Embedded in Index Options by Torben G. Andersen, Nicola Fusari and Viktor Todorov

2018-08: Short-Term Market Risks Implied by Weekly Options by Torben G. Andersen, Nicola Fusari and Viktor Todorov

2018-09: Consistent Inference for Predictive Regressions in Persistent VAR Economies by Torben G. Andersen and Rasmus T. Varneskov

2018-10: Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium by Isabel Casas, Xiuping Mao and Helena Veiga

2018-11: Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects by Yunus Emre Ergemen and Carlos Velasco

2018-12: Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation by Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou

2018-13: Forecasting dynamically asymmetric fluctuations of the U.S. business cycle by Emilio Zanetti Chini

2018-14: Models with Multiplicative Decomposition of Conditional Variances and Correlations by Cristina Amado, Annastiina Silvennoinen and Timo Teräsvirta

2018-15: The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016 by Changli He, Jian Kang, Timo Teräsvirta and Shuhua Zhang

2018-16: Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach by Ulrich Hounyo and Rasmus T. Varneskov

2018-17: Nonstationary cointegration in the fractionally cointegrated VAR model by Søren Johansen and Morten Ørregaard Nielsen

2018-18: Cross-sectional noise reduction and more efficient estimation of Integrated Variance by Giorgio Mirone