Econometrics and Business Analytics
Welcome to the Econometrics and Business Analytics section. Overall, the section conducts research within the fields of business intelligence, econometrics, operations management and operations research.
Our research and teaching is undertaken by a team of 40 faculty members and 15 PhD students. We foster close collaboration within our section and with the international research community. Our research activities are supported by seminar series in business analytics and econometrics.
The section hosts Aarhus Center for Econometrics (ACE), which is designated as a centre of excellence in econometrics.
Recent publications
Johansen, S. & Nielsen, M. Ø. (2024). Weak convergence to derivatives of fractional Brownian motion. Econometric Theory, 40(4), 859-874. https://doi.org/10.1017/S0266466622000639
Christensen, K., Timmermann, A. & Veliyev, B. (2025). Warp speed price moves: Jumps after earnings announcements. Journal of Financial Economics, 167, Article 104010. https://doi.org/10.1016/j.jfineco.2025.104010
Clausen, J. & Larsen, C. (2025). Using an iterative procedure of maximum likelihood estimations to solve the newsvendor problem with censored demand. Omega, 133(103273), Article 103273. https://doi.org/10.1016/j.omega.2024.103273
Catania, L., D'Innocenzo, E. & Luati, A. (2026). Unobserved Component Models, Approximate Filters and Dynamic Adaptive Mixture Models. Journal of Econometrics, 253, Article 106155. https://doi.org/10.1016/j.jeconom.2025.106155
Chernozhukov, V., Huang, C. & Wang, W. (2026). Uniform Inference on High-dimensional Spatial Panel Networks. Journal of Business and Economic Statistics, 44(1), 348-359. https://doi.org/10.1080/07350015.2025.2530122
Tudoran, A. A., Thomsen , C. & Thomasen , S. (2024). Understanding consumer behavior during and after a pandemic: Implications for customer lifetime value prediction models. Journal of Business Research, 174, Article 114527. https://doi.org/10.1016/j.jbusres.2024.114527
Turkensteen, M. & van den Heuvel, W. (2025). Uncapacitated multi-item lot sizing with shipment minimization. Computers and Operations Research, 183, Article 107169. https://doi.org/10.1016/j.cor.2025.107169
Bennedsen, M., Christensen, K. & Christensen, P. K. (2026). To be or not to be: Roughness or long memory in volatility? Journal of Econometrics, 254, Article 106193. https://doi.org/10.1016/j.jeconom.2026.106193