Asger Lunde

Asger Lunde is professor of Economics. He holds an MSc in mathematics and economics from Aarhus University and a PhD in economics also from Aarhus University. His research interests cover a variety of fields in time series econometrics, financial econometrics, and econometric modelling. His main contributions to econometrics include the Model Confidence Set and the Realized Kernel Estimator.

His is a research fellow at Center for Research in Econometric Analysis of Time Series (CREATES), an associate member of the Oxford-Man Institute, and a research affiliate of the Volatility Institute at Stern School of Business. He is also a council member for the Society for Financial Econometrics (SoFiE).

Asger Lunde has published his research in Econometrica, Journal of Business and Economic Statistics, Journal of Cooperate Finance, Journal of Applied Econometrics, The Econometrics Journal, and Journal of Econometrics He is an associate editor for the Journal of Financial Econometrics.

Teaching Interests

  • Econometrics (theoretical, applied and micro)
  • Market microstructure
  • Statistics
  • Mathematics
  • Micro theory
  • Financial economics

Research Interests

Econometrics: Model Selection, multiple comparisons of forecasts and econometric models

Financial econometrics: Realized variance, volatility modeling and estimation and mutual fund performance

Dynamic panel data models

Commodity markets


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