Publications in Econometrics and Business Analytics

The list below contains all publications from the past five years written or edited by members of the Econometrics and Business Analytics section at the Department of Economics and Business Economics.

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Bennedsen, M. (2021). Designing a statistical procedure for monitoring global carbon dioxide emissions. Climatic Change, 166(3-4), Article 32. https://doi.org/10.1007/s10584-021-03123-y

Guðmundsson, G. S. & Brownlees, C. (2021). Detecting Groups in Large Vector Autoregressions. Journal of Econometrics, 225(1), 2-26. https://doi.org/10.1016/j.jeconom.2021.03.012

Catania, L. (2021). Dynamic Adaptive Mixture Models with an Application to Volatility and Risk. Journal of Financial Econometrics, 19(4), 531-564. https://doi.org/10.1093/jjfinec/nbz018

Christensen, B. J. & Varneskov, R. T. (2021). Dynamic Global Currency Hedging. Journal of Financial Econometrics, 19(1), 97-127. https://doi.org/10.1093/jjfinec/nbaa030

Catania, L. & Di Mari, R. (2021). Hierarchical Markov-Switching Models for Multivariate Integer-valued Time-series. Journal of Econometrics, 221(1), 118-137. https://doi.org/10.1016/j.jeconom.2020.02.002

Nystrand, B. T., Olsen, S. O. & Tudoran, A. A. (2021). Individual differences in functional food consumption: The role of time perspective and the Big Five personality traits. Appetite, 156, Article 104979. https://doi.org/10.1016/j.appet.2020.104979

Chernozhukov, V., Härdle, W. K., Huang, C. & Wang, W. (2021). LASSO-Driven Inference in Time and Space. Annals of Statistics, 49(3), 1702-1735. https://doi.org/10.1214/20-AOS2019

Christensen, B. J., Datta Gupta, N. & Santucci de Magistris, P. (2021). Measuring the impact of clean energy production on CO₂ abatement in Denmark: Upper bound estimation and forecasting*. Journal of the Royal Statistical Society. Series A: Statistics in Society, 184(1), 118-149. https://doi.org/10.1111/rssa.12616

Bennedsen, M., Hillebrand, E. & Koopman, S. J. (2021). Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors. Energy Economics, 96, Article 105118. https://doi.org/10.1016/j.eneco.2021.105118

Christensen, B. J., Parra-Alvarez, J. C. & Serrano, R. (2021). Optimal control of investment, premium and deductible for a non-life insurance company. Insurance: Mathematics and Economics, 101(Part B), 384-405. https://doi.org/10.1016/j.insmatheco.2021.07.005

Displaying results 11 to 20 out of 204

Full lists of individual section members' publications can be found via the section's faculty list.

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An overview of publications from all three sections of the Department of Economics and Business Economics can be found on 'Publication overview'.

Publication overview

Revised 23.03.2026

Birgitte Højklint Nielsen