2021-01: The New Keynesian Model and Bond Yields by Martin M. Andreasen

2021-02: Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data by Daniel Borup, David E. Rapach and Erik Christian Montes Schütte

2021-03: A machine learning approach to volatility forecasting by Kim Christensen, Mathias Siggaard and Bezirgen Veliyev

2021-04: Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks by Fabrizio Iacone, Morten Ørregaard Nielsen and Robert Taylor

2021-05: Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas by Stefano Grassi and Francesco Violante

2021-06: Expecting the unexpected: economic growth under stress by Gloria González-Rivera, Carlos Vladimir Rodríguez-Caballero and Esther Ruiz Ortega

2021-07: Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models by Matei Demetrescu and Robinson Kruse-Becher

2021-08: Modelling and Estimating Large Macroeconomic Shocks During the Pandemic by Luisa Corrado, Stefano Grassi and Aldo Paolillo

2021-09: Economic vulnerability is state dependent by Leopoldo Catania, Alessandra Luati and Pierluigi Vallarino

2021-10: Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models by Søren Johansen and Anders Ryghn Swensen

2021-11: The incremental information in the yield curve about future interest rate risk by Bent Jesper Christensen, Mads Markvart Kjær and Bezirgen Veliyev

2021-12: Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics by Mikkel Bennedsen, Asger Lunde, Neil Shephard and Almut E. D. Veraart

2021-13: Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model by Anthony D. Hall, Annastiina Silvennoinen and Timo Teräsvirta

2021-14: Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach by Ulrich Hounyo and Kajal Lahiri

2021-15: Long and short memory in dynamic term structure models by Salman Huseynov

2020-01: Designing a sequential testing procedure for verifying global CO2 emissions by Mikkel Bennedsen

2020-02: Risk Matters: Breaking Certainty Equivalence by Juan Carlos Parra-Alvarez, Hamza Polattimur and Olaf Posch

2020-03: Targeting predictors in random forest regression by Daniel Borup, Bent Jesper Christensen, Nicolaj N. Mühlbach and Mikkel S. Nielsen

2020-04: Tree-based Synthetic Control Methods: Consequences of moving the US Embassy by Nicolaj N. Mühlbach

2020-05: Estimation of heterogeneous agent models: A likelihood approach by Juan Carlos Parra-Alvarez, Olaf Posch and Mu-Chun Wang 

2020-06: Wild Bootstrap and Asymptotic Inference with Multiway Clustering by James G. MacKinnon, Morten Ørregaard Nielsen and Matthew D. Webb

2020-07: Truncated sum of squares estimation of fractional time series models with deterministic trends by Javier Hualde and Morten Ørregaard Nielsen

2020-08: Adaptive Inference in Heteroskedastic Fractional Time Series Models by Giuseppe Cavaliere, Morten Ørregaard Nielsen and Robert Taylor

2020-09: Predicting bond return predictability by Daniel Borup, Jonas N. Eriksen, Mads M. Kjær and Martin Thyrsgaard

2020-10: Optimal Asset Allocation for Commodity Sovereign Wealth Funds by Alfonso A. Irarrazabal, Lin Ma and Juan Carlos Parra-Alvarez

2020-11: Optimal control of investment, premium and deductible for a non-life insurance company by Bent Jesper Christensen, Juan Carlos Parra-Alvarez and Rafael Serrano

2020-12: Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures by Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen and Bezirgen Veliyev

2020-13: To infinity and beyond: Efficient computation of ARCH(∞) models by Morten Ørregaard Nielsen and Antoine L. Noël

2020-14: Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies by Charlotte Christiansen, Ran Xing and Yue Xu

2020-15: Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll? by Carlos Vladimir Rodríguez-Caballero and J. Eduardo Vera-Valdés

2020-16: Temperature Anomalies, Long Memory, and Aggregation by J. Eduardo Vera-Valdés

2020-17: Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans by Jesús-Adrián Álvarez, Malene Kallestrup-Lamb and Søren Kjærgaard

2020-18: A statistical model of the global carbon budget by Mikkel Bennedsen, Eric Hillebrand and Siem Jan Koopman

2020-19: Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings by Eric Hillebrand, Jakob Mikkelsen, Lars Spreng and Giovanni Urga

2019-01: Defining, measuring and ranking energy vulnerability by Andrea Gatto and Francesco Busato

2019-02: Resuscitating the co-fractional model of Granger (1986) by Federico Carlini and Paolo Santucci de Magistris

2019-03: Estimating the Price Markup in the New Keynesian Model by Martin M. Andreasen and Mads Dang

2019-04: Assessing predictive accuracy in panel data models with long-range dependence by Daniel Borup, Bent Jesper Christensen and Yunus Emre Ergemen

2019-05: Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors by Antoine A. Djogbenou, James G. MacKinnon and Morten Ørregaard Nielsen

2019-06: The analysis of marked and weighted empirical processes of estimated residuals by Vanessa Berenguer-Rico, Søren Johansen and Bent Nielsen

2019-07: Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths by Søren Kjærgaard, Yunus Emre Ergemen, Kallestrup-Lamb, Jim Oeppen and Rune Lindahl-Jacobsen

2019-08: Longevity forecasting by socio-economic groups using compositional data analysis by Søren Kjærgaard, Yunus Emre Ergemen, Marie-Pier Bergeron Boucher, Jim Oeppen and Malene Kallestrup-Lamb

2019-09: Demand and Welfare Analysis in Discrete Choice Models with Social Interactions by Debopam Bhattacharya, Pascaline Dupas and Shin Kanaya

2019-10: Bond Risk Premiums at the Zero Lower Bound by Martin Møller Andreasen, Kasper Jørgensen and Andrew Meldrum

2019-11: Explaining Bond Return Predictability in an Estimated New Keynesian Model by Martin Møller Andreasen

2019-12: Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals by Vanessa Berenguer-Rico, Søren Johansen and Bent Nielsen

2019-13: In search of a job: Forecasting employment growth using Google Trends by Daniel Borup and Erik Christian Montes Schütte

2019-14: The Economic Value of VIX ETPs by Kim Christensen, Charlotte Christiansen and Anders M. Posselt    

2019-15: Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood by Vanessa Berenguer-Rico, Søren Johansen and Bent Nielsen

2019-16: Comparing Tests for Identification of Bubbles by Kristoffer Pons Bertelsen

2019-17: Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model by Dakyung Seong, Jin Seo Cho and Timo Teräsvirta

2019-18: Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model by Changli He, Jian Kang, Timo Teräsvirta and Shuhua Zhang

2019-19: Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model by Changli He, Jian Kang, Timo Teräsvirta and Shuhua Zhang

2019-20: Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups by Malene Kallestrup-Lamb, Søren Kjærgaard and Carsten P. T. Rosenskjold 

2019-21: Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors by Mikkel Bennedsen, Eric Hillebrand and Siem Jan Koopman

2019-22: The move towards riskier pensions: The importance of mortality by Anne G. Balter, Malene Kallestrup-Lamb and Jesper Rangvid

2019-23: Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings by Duván Humberto Cataño, Carlos Vladimir Rodríguez-Caballero and Daniel Peña

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. Published in Journal of Time Series Analysis, 01.01.2018.

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

2018-19: The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing by Kim Christensen, Martin Thyrsgaard and Bezirgen Veliyev

2018-20: Diffusion Copulas: Identification and Estimation by Ruijun Bu, Kaddour Hadri and Dennis Kristensen

2018-21: The drift burst hypothesis by Kim Christensen, Roel Oomen and Roberto Renò

2018-22: Time-varying parameters: New test tailored to applications in finance and macroeconomics by Russell Davidson and Niels S. Grønborg

2018-23: Forecasters’ utility and forecast coherence by Emilio Zanetti Chini

2018-24: Disappearing money illusion by Tom Engsted and Thomas Q. Pedersen

2018-25: In Search of a Job: Forecasting Employment Growth in the US using Google Trends by Erik Christian Montes Schütte

2018-26: State-dependent Hawkes processes and their application to limit order book modelling  by Maxime Morariu-Patrichi and Mikko Pakkanen

2018-27: Threshold regression with endogeneity for short panels by Tue Gørgens and Allan H. Würtz

2018-28: Edgeworth expansion for Euler approximation of continuous diffusion processes by Mark Podolskij, Bezirgen Veliyev and Nakahiro Yoshida

2018-29: Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD by Isabel Casas, Jiti Gao and Shangyu Xie

2018-30: State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering by Yukai Yang and Luc Bauwens

2018:31: Transition from the Taylor rule to the zero lower bound by Stan Hurn, Nicholas Johnson, Annastiina Silvennoinen and Timo Teräsvirta

2018-32: A mixed-frequency Bayesian vector autoregression with a steady-state prior by Sebastian Ankargren, Måns Unosson and Yukai Yang

2018-33: A multilevel factor approach for the analysis of CDS commonality and risk contribution by Carlos Vladimir Rodríguez-Caballero and Massimiliano Caporin

2018-34: Fast and Wild: Bootstrap Inference in Stata Using boottest by James G. MacKinnon, Morten Ørregaard Nielsen, David Roodman and Matthew D. Webb

2018-35: Economic significance of commodity return forecasts from the fractionally cointegrated VAR model by Sepideh Dolatabadim, Paresh Kumar Narayan, Morten Ørregaard Nielsen and Ke Xu

2018-36: Mutual Fund Selection for Realistically Short Samples by Charlotte Christiansen, Niels S. Grønborg and Ole L. Nielsen

2018-37: Realizing Correlations Across Asset Classes  by Niels S. Grønborg, Asger Lunde, Kasper V. Olesen and Harry Vander Elst

2018-38: The dynamics of factor loadings in the cross-section of returns by Riccardo Borghi, Eric Hillebrand, Jakob Mikkelsen and Giovanni Urga

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

2017-02: Quasi-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, Consistent 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

2017-37: Testing the CVAR in the fractional CVAR model by Søren Johansen and Morten Ørregaard Nielsen

2017-38: Flight to Safety from European Stock Markets by Nektarios Aslanidis and Charlotte Christiansen

2017-39: Spikes and memory in (Nord Pool) electricity price spot prices by Tommaso Proietti, Niels Haldrup and Oskar Knapik

2016-01: Fixed-b Inference in the Presence of Time-Varying Volatility by Matei Demetrescu, Christoph Hanck and Robinson Kruse

2016-02: System Estimation of Panel Data Models under Long-Range Dependence by Yunus Emre Ergemen. Published in Journal of Business and Economic Statistics, Vol. 37, No. 1, 2019, p. 13-26.

2016-03: Dynamic Global Currency Hedging by Bent Jesper Christensen and Rasmus T. Varneskov

2016-04: Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression by Markku Lanne and Jani Luoto

2016-05: Generalized Efficient Inference on Factor Models with Long-Range Dependence by Yunus Emre Ergemen

2016-06: House price fluctuations and the business cycle dynamics by Girum D. Abate and Luc Anselin

2016-07: Volatility Discovery by Gustavo Fruet Dias, Cristina M. Scherrer and Fotis Papailias

2016-08: A generalized exponential time series regression model for electricity prices by N. Haldrup, O. Knapik and T. Proietti

2016-09: Assessing Gamma kernels and BSS/LSS processes by Ole E. Barndorff-Nielsen

2016-10: Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions by Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg

2016-11:The predictive power of dividend yields for future infl‡ation: Money illusion or rational causes? by Tom Engsted and Thomas Q. Pedersen

2016-12: Inference in partially identified models with many moment inequalities using Lasso by Federico A. Bugni, Mehmet Caner, Anders Bredahl Kock and Soumendra Lahiri

2016-13: Arbitrage without borrowing or short selling? by Mikko S. Pakkanen and Jani Lukkarinen

2016-14: Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index by Andrew J.G. Cairns, Malene Kallestrup-Lamb, Carsten P.T. Rosenskjold, David Blake and Kevin Dowd

2016-15: The Local Fractional Bootstrap by Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde and Mikko S. Pakkanen

2016-16: Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution by Martin M. Andreasen and Kasper Jørgensen

2016-17: Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting by Robinson Kruse, Christian Leschinski and Michael Will

2016-18: Tightness of M-estimators for multiple linear regression in time series by Søren Johansen and Bent Nielsen

2016-19: Volume, Volatility and Public News Announcements by Tim Bollerslev, Jia Li and Yuan Xue

2016-20: Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach by Andrea Barletta, Paolo Santucci de Magistris and Francesco Violante 

2016-21: Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data by Mikkel Bennedsen

2016-22: The cointegrated vector autoregressive model with general deterministic terms by Søren Johansen and Morten Ørregaard Nielsen

2016-23: A Dynamic Multi-Level Factor Model with Long-Range Dependence by Yunus Emre Ergemen and Carlos Vladimir Rodríguez-Caballero

2016-24: Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function by Shin Kanaya

2016-25: Component shares in continuous time by Gustavo Fruet Dias, Marcelo Fernandes and Cristina M. Scherrer

2016-26: Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia by Martin M. Andreasen, Tom Engsted, Stig V. Møller and Magnus Sander

2016-27: Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach by Kim Christensen, Ulrich Hounyo and Mark Podolskij

2016-28: The Drift Burst Hypothesis by Kim Christensen, Roel Oomen and Roberto Renò

2016-29:  Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation by Hossein Asgharian, Charlotte Christiansen, Rangan Gupta and Ai Jun Hou

2016-30: Forecasting daily political opinion polls using the fractionally cointegrated VAR model by Morten Ørregaard Nielsen and Sergei S. Shibaev

2016-31: Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure by Carlos Vladimir Rodríguez-Caballero

2016-32: A New Index of Housing Sentiment by Lasse Bork, Stig V. Møller and Thomas Q. Pedersen

2016-33: Estimation of the global regularity of a multifractional Brownian motion  by Joachim Lebovits and Mark Podolskij

2015-01: Explosive bubbles in house prices? Evidence from the OECD countries by Tom Engsted, Simon J. Hviid and Thomas Q. Pedersen

2015-02: Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions by Tim Bollerslev, Andrew J. Patton and Wenjing Wang

2015-03: Weak diffusion limits of dynamic conditional correlation models by Christian M. Hafner, Sebastien Laurent and Francesco Violante

2015-04: Understanding volatility dynamics in the EU-ETS market by Maria Eugenia Sanin, Maria Mansanet-Bataller and Francesco Violante

2015-05: Equity Portfolio Management Using Option Price Information by Peter Christoffersen and Xuhui (Nick) Pan

2015-06: Oil Volatility Risk and Expected Stock Returns by Peter Christoffersen and Xuhui (Nick) Pan

2015-07: Option Valuation with Observable Volatility and Jump Dynamics by Peter Christoffersen, Bruno Feunou and Yoontae Jeon

2015-08: Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis by Alfonso Irarrazabal and Juan Carlos Parra-Alvarez

2015-09: Unbalanced Regressions and the Predictive Equation by Daniela Osterrieder, Daniel Ventosa-Santaulària and Eduardo Vera-Valdés

2015-10: Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models by Laurent Callot, Mehmet Caner, Anders Bredahl Kock and Juan Andres Riquelme

2015-11: Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) by Arianna Agosto, Giuseppe Cavaliere, Dennis Kristensen and Anders Rahbek

2015-12: EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area by Tommaso Proietti, Martyna Marczak and Gianluigi Mazzi

2015-13: Dynamic Factor Models for the Volatility Surface by Michel van der Wel, Sait R. Ozturk and Dick van Dijk

2015-14: Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting by Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg

2015-15: Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets by Hossein Asgharian, Charlotte Christiansen, and Ai Jun Hou.

2015-16: Identification and estimation of non-Gaussian structural vector autoregressions by Markku Lanne, Mika Meitz and Pentti Saikkonen

2015-17: Counting Processes for Retail Default Modeling by Nicholas M. Kiefer and C. Erik Larson

2015-18: A Martingale Decomposition of Discrete Markov Chains by Peter Reinhard Hansen

2015-19: A Markov Chain Estimator of Multivariate Volatility from High Frequency Data by Peter Reinhard Hansen, Guillaume Horel, Asger Lunde and Ilya Archakov

2015-20: International Sign Predictability of Stock Returns: The Role of the United States by Henri Nyberg and Harri Pönkä

2015-21: Validity of Edgeworth expansions for realized volatility estimators by Ulrich Hounyo and Bezirgen Veliyev

2015-22: Space-time modeling of electricity spot prices by Girum D. Abate and Niels Haldrup

2015-23: Data revisions and the statistical relation  of global mean sea-level and temperature by Eric Hillebrand, Søren Johansen and Torben Schmith

2015-24: Generalised partial autocorrelations and the mutual information between past and future by Tommaso Proietti and Alessandra Luati

2015-25: Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination by Bent Jesper Christensen and Rasmus T. Varneskov

2015-26: A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation by Ulrich Hounyo and Rasmus T. Varneskov

2015-27: Nonstationary ARCH and GARCH with t-distributed Innovations by Rasmus Søndergaard Pedersen and Anders Rahbek

2015-28: Seasonal Changes in Central England Temperatures by Tommaso Proietti and Eric Hillebrand

2015-29: Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation by Laurent Callot and Johannes Tang Kristensen

2015-30: Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach by Davide Delle Monache, Stefano Grassi and Paolo Santucci de Magistris

2015-31: Treatment Effects with Many Covariates and Heteroskedasticity by Matias D. Cattaneo, Michael Jansson and Whitney K. Newey

2015-32: Which pricing approach for options under GARCH with non-normal innovations? by Jean-Guy Simonato and Lars Stentoft

2015-33: Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval by Nina Munkholt Jakobsen and Michael Sørensen

2015-34: A Jump-Diffusion Model with Stochastic Volatility and Durations by Wei Wei and Denis Pelletier

2015-35: Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence by Yunus Emre Ergemen and Carlos Velasco - Published in Journal of Econometrics, Vol. 196, No. 2, 2017, p. 248–258.

 2015-36: Nonlinear dynamic interrelationships between real activity and stock returns by Markku Lanne and Henri Nyberg

2015-37: Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints by Markku Lanne and Jani Luoto

2015-38: Supervision in Factor Models Using a Large Number of Predictors by Lorenzo Boldrini and Eric Hillebrand

2015-39: The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach by Lorenzo Boldrini and Eric Hillebrand

2015-40: Forecasting the Global Mean Sea Level, a Continuous-Time State-Space Approach by Lorenzo Boldrini

2015-41: Parametric Portfolio Policies with Common Volatility Dynamics by Yunus Emre Ergemen and Abderrahim Taamouti

2015-42: Rough electricity: a new fractal multi-factor model of electricity spot prices by Mikkel Bennedsen

2015-43: Hybrid scheme for Brownian semistationary processes by Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen

2015-44: Expected Business Conditions and Bond Risk Premia by Jonas Nygaard Eriksen

2015-45: Inference from high-frequency data: A subsampling approach by Kim Christensen, Mark Podolskij, Nopporn Thamrongrat and Bezirgen Veliyev

2015-46: A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method by Asger Lunde, Anne Floor Brix and Wei Wei

2015-47: Testing constancy of unconditional variance in volatility models by misspecification and specification tests by Annastiina Silvennoinen and Timo Teräsvirta

2015-48: The Role of Credit in Predicting US Recessions by Harri Pönkä

2015-49: Credit policies before and during the financial crisis by Palle Sørensen

2015-50: Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach by Shin Kanaya

2015-51: Exponential Smoothing, Long Memory and Volatility Prediction by Tommaso Proietti

2015-52: On U- and V-statistics for discontinuous Itô semimartingale by Mark Podolskij, Christian Schmidt and Mathias Vetter

2015-53: A weak limit theorem for numerical approximation of Brownian semi-stationary processes by Mark Podolskij and Nopporn Thamrongrat

2015-54: Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk by Peter Christoffersen, Mathieu Fournier, Kris Jacobs and Mehdi Karoui

2015-55: Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels by Kadir G. Babaglou, Peter Christoffersen, Steven L. Heston and Kris Jacobs

2015-56: Limit theorems for stationary increments Lévy driven moving averages by Andreas Basse-O'Connor, Raphaël Lachièze-Rey and Mark Podolskij

2015-57: On critical cases in limit theory for stationary increments Lévy driven moving averages by Andreas Basse-O'Connor and Mark Podolskij

2015-58: Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads by Yunus Emre Ergemen, Niels Haldrup and Carlos Vladimir Rodríguez-Caballero. Published in Energy Economics, Vol. 60, No. November, 2016, p. 79-96.

2015-59: Long Memory, Fractional Integration, and Cross-Sectional Aggregation by Niels Haldrup and J. Eduardo Vera-Valdés

2015-60: Edgeworth expansion for the pre-averaging estimator by Mark Podolskij, Bezirgen Veliyev and Nakahiro Yoshida

2015-61: Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models by Jakob Guldbæk Mikkelsen, Eric Hillebrand and Giovanni Urga

2014-01: Bagging Weak Predictors by Manuel Lukas and Eric Hillebrand

2014-02: 150 Years of Italian CO2 Emissions and Economic Growth by Barbara Annicchiarico, Anna Rita Bennato and Emilio Zanetti Chini

2014-03: A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model by Paul Catani, Timo Teräsvirta and Meiqun Yin

2014-04: Linearity and Misspecification Tests for Vector Smooth Transition Regression Models by Timo Teräsvirta and Yukai Yang

2014-05: Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity by Kris Boudt, Sébastien Laurent, Asger Lunde and Rogier Quaedvlieg

2014-06: Are University Admissions Academically Fair? by Debopam Bhattacharya, Shin Kanaya and Margaret Stevens

2014-07: Noncausal Bayesian Vector Autoregression by Markku Lanne and Jani Luoto

2014-08: Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications by Timo Teräsvirta and Yukai Yang

2014-09: A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market by A.S. Hurn, Annastiina Silvennoinen and Timo Teräsvirta

2014-10: Price discovery in dual-class shares across multiple markets by Marcelo Fernandes and Cristina M. Scherrer

2014-11: Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition by Yukai Yang

2014-12: Forecasting with the Standardized Self-Perturbed Kalman Filter by Stefano Grassi, Nima Nonejad and Paolo Santucci de Magistris

2014-13: Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification by Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou

2014-14: Functional limit theorems for generalized variations of the fractional Brownian sheet by Mikko S. Pakkanen and Anthony Réveillac

2014-15: On an Estimation Method for an Alternative Fractionally Cointegrated Model by Federico Carlini and Katarzyna Lasak

2014-16: Simulation of multivariate diffusion bridges by Mogens Bladt, Samuel Finch and Michael Sørensen

2014-17: Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models by Markku Lanne and Henri Nyberg

2014-18: Extreme negative coexceedances in South Eastern European stock markets by Dragan Tevdovski

2014-19: Discriminating between fractional integration and spurious long memory by Niels Haldrup and Robinson Kruse

2014-20: Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach by Martyna Marczak and Tommaso Proietti

2014-21: Discretization of Lévy semistationary processes with application to estimation by Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen

2014-22: Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets by Giuseppe Cavaliere, Morten Ørregaard Nielsen and A.M. Robert Taylor

2014-23: A fractionally cointegrated VAR analysis of economic voting and political support by Maggie E. C. Jones, Morten Ørregaard Nielsen and Michael Ksawery Popiel

2014-24: A fractionally cointegrated VAR analysis of price discovery in commodity futures markets by Sepideh Dolatabadim, Morten Ørregaard Nielsen and Ke Xu

2014-25: Bootstrapping Kernel-Based Semiparametric Estimators by Matias D. Cattaneo and Michael Jansson

2014-26: Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? by Markku Lanne, Jani Luoto and Henri Nyberg

2014-27: Volatility jumps and their economic determinants by Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris

2014-28: Fama on bubbles by Tom Engsted

2014-29: Chasing volatility - A persistent multiplicative error model with jumps by Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris

2014-30: ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models by Michael Creel and Dennis Kristensen

2014-31: Factor Structure in Commodity Futures Return and Volatility by Peter Christoffersen, Asger Lunde and Kasper V. Olesen

2014-32: The wild tapered block bootstrap by Ulrich Hounyo

2014-33: Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 by Massimiliano Caporin, Luca Corazzini and Michele Costola

2014-34: Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models by Morten Ørregaard Nielsen PUBLISHED

2014-35: Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading by Ulrich Hounyo

2014-36: Asymptotically Honest Confidence Regions for High Dimensional by Mehmet Caner and Anders Bredahl Kock

2014-37: Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets by Gustavo Fruet Dias and George Kapetanios

2014-38: Times Series: Cointegration by Søren Johansen

2014-39: Outlier detection algorithms for least squares time series regression by Søren Johansen and Bent Nielsen PUBLISHED

2014-40: Optimal hedging with the cointegrated vector autoregressive model by Søren Johansen and Lukasz Gatarek

2014-41: Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy by Laurent Callot and Johannes Tang Kristensen

2014-42: Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice by Laurent A. F. Callot, Anders B. Kock and Marcelo C. Medeiros

2014-43: On the identification of fractionally cointegrated VAR models with the F(d) condition by Paolo Santucci de Magistris and Federico Carlini

2014-44: Deterministic and stochastic trends in the Lee-Carter mortality model by Laurent Callot, Niels Haldrup and Malene Kallestrup Lamb

2014-45: Idiosyncratic Volatility Puzzle: Infl‡uence of Macro-Finance Factors by Nektarios Aslanidis, Charlotte Christiansen, Neophytos Lambertides and Christos S. Savva

2014-46: On the Selection of Common Factors for Macroeconomic Forecasting by Alessandro Giovannelli and Tommaso Proietti

2014-47: Dynamic term structure models: The best way to enforce the zero lower bound by Martin M. Andreasen and Andrew Meldrum

2014-48: Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns by Tim Bollerslev, Sophia Zhengzi Li and Viktor Todorov

2014-49: Tail Risk Premia and Return Predictability by Tim Bollerslev, Viktor Todorov and Lai Xu

2014-50: On non-standard limits of Brownian semi-stationary by Kerstin Gärtner and Mark Podolskij PUBLISHED

2014-51: Ambit fields: survey and new challenges by Mark Podolskij PUBLISHED

2014-52: Testing the maximal rank of the volatility process for continuous diffusions observed with noise by Tobias Fissler and Mark Podolskij

2014-53: Cross listing: price discovery dynamics and exchange rate effects by Cristina M. Scherrer

2014-54: On spectral distribution of high dimensional covariation matrices by Claudio Heinrich and Mark Podolskij

2014-55: Forecasting Long Memory Series Subject to Structural Change: A Two-Stage Approach by Gustavo Fruet Dias and Fotis Papailias PUBLISHED

2014-56: The Risk Premia Embedded in Index Options by Torben G. Andersen, Nicola Fusari and Viktor Todorov

2014-57: Indirect inference with time series observed with error by Eduardo Rossi and Paolo Santucci de Magistris

2014-58: Inference in High-dimensional Dynamic Panel Data Models by Anders Bredahl Kock and Haihan Tang

RP2013-1: Limit theorems for power variations of ambit fields driven by white noise by Mikko S. Pakkanen

RP2013-2: Risk premia in energy markets by Almut E. D. Veraart and Luitgard A. M. Veraart

RP2013-3: It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model by Stefano Grassi and Paolo Santucci de Magistris

RP2013-4: Housing market volatility in the OECD area: Evidence from VAR based return decompositions by Tom Engsted and Thomas Q. Pedersen

RP2013-5: Asymptotic analysis of the Forward Search by Søren Johansen and Bent Nielsen PUBLISHED

RP2013-6: Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets by Debopam Bhattacharya, Pascaline Dupasand Shin Kanaya

RP2013-7: Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns by Sílvia Gonçalves, Ulrich Hounyo and Nour Meddahi

RP2013-8: Fractional cointegration rank estimation by Katarzyna Lasak and Carlos Velasco

2013-09: Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox by Roberto Casarin, Stefano Grassi, Francesco Ravazzolo and Herman K. van Dijk

2013-10: Bias-corrected estimation in potentially mildly explosive autoregressive models by Hendrik Kaufmann and Robinson Kruse

2013-11: Changes in persistence, spurious regressions and the Fisher hypothesis by Robinson Kruse, Daniel Ventosa-Santaulària and Antonio E. Noriega

2013-12: The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications by Martin M. Andreasen, Jesús Fernández-Villaverde and Juan F. Rubio-Ramírez

2013-13: Bond return predictability in expansions and recessions by Tom Engsted, Stig V. Møller and Magnus Sander

2013-14: Forecasting US Recessions : The Role of Sentiment by Charlotte Christiansen, Jonas Nygaard Eriksen, and Stig Vinther Møller. PUBLISHED

2013-15: Assessing Relative Volatility/Intermittency/Energy Dissipation by Ole E. Barndorff-Nielsen, Mikko S. Pakkanen and Jürgen Schmiegel

2013-16: Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression by Peter Exterkate, Patrick J.F. Groenen, Christiaan Heij and Dick van Dijk

2013-17: Interest Rates with Long Memory: A Generalized Affine Term-Structure Model by Daniela Osterrieder

2013-18: Thresholds and Smooth Transitions in Vector Autoregressive Models by Kirstin Hubrich and Timo Teräsvirta

2013-19: Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange by Asger Lunde and Kasper V. Olesen

2013-20: Oracle inequalities for high-dimensional panel data models by Anders Bredahl Kock

2013-21: Lassoing the Determinants of Retirement by  Malene Kallestrup-Lamb, Anders Bredahl Kock and Johannes Tang Kristensen

2013-22: Diffusion Indexes with Sparse Loadings by Johannes Tang Kristensen

2013-23: Estimating Stochastic Volatility Models using Prediction-based Estimating Functions by Asger Lunde and Anne Floor Brix

2013-24: A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory  by Nima Nonejad

2013-25: Time-Consistency Problem and the Behavior of US Inflation from 1970 to 2008 by Nima Nojejad

2013-26:  Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach by Nima Nonejad

2013-27: Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox by Nima Nonejad 

2013-28: Bootstrapping pre-averaged realized volatility under market microstructure noise by Ulrich Hounyo, Sílvia Goncalves  and Nour Meddahi

2013-29: Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series by Jiti Gao, Shin Kanaya, Degui Li and Dag Tjøstheim

2013-30: Bootstrapping realized volatility and realized beta under a local Gaussianity assumption by Ulrich Hounyo

2013-31: Risk-Return Trade-Off for European Stock Markets by Nektarios Aslanidis, Charlotte Christiansen and Christos S. Savva

2013-32: Generalizing smooth transition autoregressions by Emilio Zanetti Chini

2013-33: Edgeworth expansion for functionals of continuous diffusion processes by Mark Podolskij and Nakahiro Yoshida

2013-34: The Exponential Model for the Spectrum of a Time Series: Extensions and Applications by Tommaso Proietti and Alessandra Luati

2013-35: A unified framework for testing in the linear regression model under unknown order of fractional integration by Bent Jesper Christensen, Robinson Kruse and Philipp Sibbertsen

2013-36: Analyzing Oil Futures with a Dynamic Nelson-Siegel Model by Niels S. Hansen and Asger Lunde

2013-37: Classifying Returns as Extreme: European Stock and Bond Markets by Charlotte Christiansen

2013-38: Sticky continuous processes have consistent price systems by Christian Bender, Mikko S. Pakkanen and Hasanjan Sayit

2013-39: A comparison of numerical methods for the solution of continuous-time DSGE models by Juan Carlos Parra-Alvarez

2013-40: Polynomial Regressions and Nonsense Inference by Daniel Ventosa-Santaulària and Carlos Vladimir Rodríguez-Caballero

2013-41: Does Realized Skewness Predict the Cross-Section of Equity Returns? by Diego Amaya, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez

2013-42: Reflecting on the VPN Dispute by Torben G. Andersen and Oleg Bondarenko

2013-43: Assessing Measures of Order Flow Toxicity via Perfect Trade Classification by Torben G. Andersen and Oleg Bondarenko

2013-44: On the identification of fractionally cointegrated VAR models with the F(d) condition by Federico Carlini and Paolo Santucci de Magistris

2013-45: Rare Disasters and Credit Market Puzzles by Peter Christoffersen, Du Du and Redouane Elkamhi

2013-46: Dynamic Diversification in Corporate Credit by Peter Christoffersen, Kris Jacobs, Xisong Jin and Hugues Langlois

2013-47: The Factor Structure in Equity Options by Peter Christoffersen, Mathieu Fournier and Kris Jacobs

2013-48: Illiquidity Premia in the Equity Options Market by Peter Christoffersen, Ruslan Goyenko, Kris Jacobs and Mehdi Karoui

2013-49: Correlation Dynamics and International Diversification Benefits by Peter Christoffersen, Vihang R. Errunza, Kris Jacobs and Xisong Jin

2013-50: Nonparametric Estimation of Cumulative Incidence Functions for Competing Risks Data with Missing Cause of Failure by Georgios Effraimidis and Christian M. Dahl

2013-51: Oracle Inequalities for Convex Loss Functions with Non-Linear Targets by Mehmet Caner and Anders Bredahl Kock

2013-52: The Fine Structure of Equity-Index Option Dynamics by Torben G. Andersen, Oleg Bondarenko, Viktor Todorov and George Tauchen

10679

RP 2012-1: The Power of Unit Root Tests Against Nonlinear Local Alternatives by Matei Demetrescu and Robinson Kruse

RP 2012-2: Alternative Asymptotics and the Partially Linear Model with Many Regressors by Matias D. Cattaneo, Michael Jansson and Whitney K. Newey

RP 2012-3: Conditionally-Uniform Feasible Grid Search Algorithm by Matt P. Dziubinski

RP2012-4: The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options by Jeroen V.K. Rombouts, Lars Stentoft and Francesco Violante

RP2012-05: On the Oracle Property of the Adaptive LASSO in Stationary and Nonstationary Autoregressions by Anders Bredahl Kock

RP2012-06: Commodity derivatives pricing with inventory effects by Christian Bach and Matt P. Dziubinski

RP2012-07: Modelling Changes in the Unconditional Variance of Long Stock Return Series by Cristina Amado and Timo Teräsvirta

RP2012-08: On the Effects of Private Information on Volatility by Anne Opschoor, Michel van der Wel, Dick van Dijk and Nick Taylor

RP2012-09: Modelling conditional correlations of asset returns: A smooth transition approach by Annastiina Silvennoinen and Timo Teräsvirta

RP2012-10: Model Selection in Kernel Ridge Regression by Peter Exterkate

RP2012-11: Parametric Inference and Dynamic State Recovery from Option Panels by Torben G. Andersen, Nicola Fusari and Viktor Todorov

RP2012-12:  Goodness-of-fit testing for fractional diffusions by Mark Podolskij and Katrin Wasmuth

RP2012-13: Modelling electricity day–ahead prices by multivariate Lévy by Almut E. D. Veraart and Luitgard A. M. Veraart

RP2012-14: Unit roots, nonlinearities and structural breaks by Niels Haldrup, Robinson Kruse, Timo Teräsvirta and Rasmus T. Varneskov

RP2012-15: Heterogeneous Computing in Economics: A Simplified Approach by Matt P. Dziubinski and Stefano Grassi

RP2012-16: Oracle Inequalities for High Dimensional Vector Autoregressions by Anders Bredahl Kock and Laurent A.F. Callot

RP2012-17: Using the Yield Curve in Forecasting Output Growth and In‡flation by Eric Hillebrand, Huiyu Huang, Tae-Hwy Lee and Canlin Li

RP2012-18: Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors by Eric Hillebrand and Tae-Hwy Lee

RP2012-19: The impact of financial crises on the risk-return tradeoff and the leverage effect by Bent Jesper Christensen, Morten Ørregaard Nielsen and Jie Zhu

RP2012-20: On tests for linearity against STAR models with deterministic trends by Hendrik Kaufmann, Robinson Kruse and Philipp Sibbertsen

RP2012-21: On the estimation of the volatility-growth link by Andrey Launov, Olaf Posch and Klaus Wälde

RP2012-22: Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare by Peter O. Christensen and Zhenjiang Qin

RP2012-23: Heterogeneous Beliefs, Public Information, and Option Markets by Zhenjiang Qin

RP2012-24: Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs by Zhenjiang Qin

RP2012-25: Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates by Heejoon Han and Dennis Kristensen

RP2012-26: Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces by Lei Pan, Olaf Posch and Michel van der Wel

RP2012-27: Housing price forecastability: A factor analysis by Lasse Bork and Stig V. Møller

RP2012-28: Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean? by Johannes Tang Kristensen

RP2012-29: Unit Root Vector Autoregression with volatility Induced Stationarity by Anders Rahbek and Heino Bohn Nielsen

RP2012-30: Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models by Eric Hillebrand and Marcelo C. Medeiros

RP2012-31: Asymptotic Theory for Regressions with Smoothly Changing Parameters by Eric Hillebrand, Marcelo C. Medeiros and Junyue Xu

RP2012-32: Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM by Olaf Posch and Andreas Schrimpf

RP2012-33: Integration of European Bond Markets by Charlotte Christiansen. PUBLISHED

RP2012-34: Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy by Nektarios Aslanidis and Charlotte Christiansen. PUBLISHED

RP2012-35: The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums by Daniela Osterrieder and Peter C. Schotman 

RP2012-36: Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models by Giuseppe Cavaliere, Anders Rahbek  and A.M.Robert Taylor

RP2012-37: Estimating High-Dimensional Time Series Models by Marcelo C. Medeiros and Eduardo F. Mendes

RP2012-38: Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the  Adaptive Group LASSO in Vector Autoregressions by Anders Bredahl Kock and Laurent A.F. Callot

RP2012-39: Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model by H. Peter Boswijk, Michael Jansson and Morten Ørregaard Nielsen

RP2012-40: Limit theorems for non-degenerate U-statistics of continuous semimartingales by Mark Podolskij, Christian Schmidt and Johanna Fasciati Ziegel PUBLISHED

RP2012-41: Let's Do It Again: Bagging Equity Premium Predictors by  Eric Hillebrand, Tae-Hwy Lee and Marcelo C. Medeiros

RP2012-42: End-of-the-year economic growth and time-varying expected returns by Stig V. Møller and Jesper Rangvid

RP2012-43: Choice of Sample Split in Out-of-Sample Forecast Evaluation by Peter Reinhard Hansen and Allan Timmermann

RP2012-44: Exponential GARCH Modeling with Realized Measures of Volatility by Peter Reinhard Hansen and Zhuo Huang

RP2012-45: Equivalence Between Out-of-Sample Forecast Comparisons and Wald by Peter Reinhard Hansen and Allan Timmermann

RP2012-46: The Selection of ARIMA Models with or without Regressors by Søren Johansen, Marco Riani and Anthony C. Atkinson

RP2012-47: The role of initial values in nonstationary fractional time series models by Søren Johansen and Morten Ørregaard Nielsen

RP2012-48: Is the Potential for International Diversi…cation Disappearing? A Dynamic Copula Approach by Peter Christoffersen, Vihang Errunza, Kris Jacobs and Hugues Langlois

RP2012-49: Nonlinear Kalman Filtering in Affine Term Structure Models by Peter Christoffersen, Christian Dorion , Kris Jacobs and Lot…fi Karou

RP2012-50: GARCH Option Valuation: Theory and Evidence by Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai

RP2012-51: Stock Return and Cash Flow Predictability: The Role of Volatility Risk by Tim Bollerslev, Lai Xu and Hao Zhou

Rp2012-52: Asymptotic theory for Brownian semi-stationary processes with application to turbulence by José Manuel Corcuera, Emil Hedevang, Mikko S. Pakkanen and Mark Podolskij 
PUBLISHED

RP2012-53: Multivariate Variance Targeting in the BEKK-GARCH Model by Rasmus Søndergaard Pedersen and Anders Rahbek

RP2012-54: Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis by Matthew T. Holt and Timo Teräsvirta

RP2012-55: A Non-standard Empirical Likelihood for Time Series by Daniel J. Nordman, Helle Bunzel and Soumendra N. Lahiri

RP2012-56: And Now, The Rest of the News: Volatility and Firm Specific News Arrival by Robert F. Engle, Martin Klint Hansen and Asger Lunde

RP2012-57: A test for the rank of the volatility process: the random perturbation approach by Jean Jacod and Mark Podolskij PUBLISHED

RP2012-58: Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries by Tom Engsted and Thomas Q. Pedersen

RP 2011-1: Modelling Volatility by Variance Decomposition by Cristina Amado and Timo Teräsvirta

RP 2011-2: Nonlinear models for autoregressive conditional heteroskedasticity by Timo Teräsvirta

RP 2011-3: Forecasting Covariance Matrices: A Mixed Frequency Approach by Roxana Halbleib and Valeri Voev

RP 2011-4: Testing the local volatility assumption: a statistical approach by Mark Podolskij and Mathieu Rosenbaum

RP 2011-5: Prediction-based estimating functions: review and new developments by Michael Sørensen

RP 2011-6: An extension of cointegration to fractional autoregressive processes by Søren Johansen

RP 2011-7: Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises by Tom Engsted and Stig V. Møller

RP 2011-8: Bayesian stochastic model specification search for seasonal and calendar effects by Tommaso Proietti and Stefano Grassi

RP 2011-9: Option valuation with the simplified component GARCH model by Matt P. Dziubinski

RP 2011-10: International Diversification Benefits with Foreign Exchange Investment Styles by Tim A. Kroencke, Felix Schindler and Andreas Schrimpf

RP 2011-11: Estimation of long memory in integrated variance by Eduardo Rossi and Paolo Santucci de Magistris

RP 2011-12: Generalized Jackknife Estimators of Weighted Average Derivatives by Matias D. Cattaneo, Richard K. Crump and Michael Jansson

RP 2011-13: Nonparametric Detection and Estimation of Structural Change by Dennis Kristensen

RP 2011-14: When Long Memory Meets the Kalman Filter: A Comparative Study by Stefano Grassi and Paolo Santucci de Magistris

RP 2011-15: A Simple Test for Spurious Regressions by Antonio E. Noriega and Daniel Ventosa-Santaularia

RP 2011-16: Characterizing economic trends by Bayesian stochastic model specification search by Stefano Grassi  and Tommaso Proietti

RP 2011-17: Some econometric results for the Blanchard-Watson bubble model by Søren Johansen and Theis Lange

RP 2011-18: Bias-correction in vector autoregressive models: A simulation study by Tom Engsted and Thomas Q. Pedersen

RP 2011-19: Fact or friction: Jumps at ultra high frequency by Kim Christensen, Roel Oomen and Mark Podolskij

RP 2011-20: Predicting Severe Simultaneous Recessions Using Yield Spreads as Leading Indicators by Charlotte Christiansen

RP 2011-21: Estimating Dynamic Equilibrium Models using Macro and Financial Data by Bent Jesper Christensen, Olaf Posch and Michel van der Wel

RP 2011-22: Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models by Antonis Papapantoleon, John Schoenmakers and David Skovmand

RP 2011-23: A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation by Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg

RP 2011-24: Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations by Cristina Amado and Timo Teräsvirta

RP 2011-25: Field Experiments in Economics: Comment on an article by Levitt and List by Stephen T. Ziliak

RP 2011-26: Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns by Rasmus Tangsgaard Varneskov and Pierre Perron

RP 2011-27: Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques by Anders Bredahl Kock and Timo Teräsvirta

RP 2011-28: Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 by Anders Bredahl Kock and Timo Teräsvirta

RP 2011-29: Wavelet Based Outlier Correction for Power Controlled Turning Point Detection in Surveillance Systems by Yushu Li

RP 2011-30: Stochastic trends and seasonality in economic time series: new evidence from Bayesian stochastic model specification search by Stefano Grassi and Tommaso Proietti

RP 2011-31: Estimating the Quadratic Variation Spectrum of Noisy Asset Prices Using Generalized Flat-top Realized Kernels by Rasmus Tangsgaard Varneskov

RP 2011-32: Conservatism in Corporate Valuation by Christian Bach

RP 2011-33: Econometric Analysis and Prediction of Recurrent Events by Adrian Pagan and Don Harding

RP 2011-34: American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison by Lars Stentoft

RP 2011-35: Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices by Rasmus Tangsgaard Varneskov

RP 2011-36: The Properties of Model Selection when Retaining Theory Variables by David F. Hendry and Søren Johansen

RP 2011-37: Financial Risk Measurement for Financial Risk Management by Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen and Francis X. Diebold

RP 2011-38: The Role of the Spouse in Early Retirement Decisions for Older Workers by Malene Kallestrup-Lamb

RP 2011-39: Statistical analysis of global surface air temperature and sea level using cointegration methods by Torben Schmith, Søren Johansen and Peter Thejll

RP 2011-40: Asymptotic theory for iterated one-step Huber-skip estimators by Søren Johansen and Bent Nielsen PUBLISHED

RP 2011-41: Marginal Likelihood for Markov-switching and Change-point Garch Models by Luc Bauwens, Arnaud Dufays and Jeroen V.K. Rombouts

RP 2011-42: Return Predictability, Model Uncertainty, and Robust Investment by Manuel Lukas

RP 2011-43: Illiquidity Premia in the Equity Options Market by Peter Christoffersen, Ruslan Goyenko, Kris Jacobs, Mehdi Karoui

RP 2011-44: Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? by Diego Amaya, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez

RP 2011-45: The Joint Dynamics of Equity Market Factors by Peter Christoffersen and Hugues Langlois

RP 2011-46: Forecasting with Option Implied Information by Peter Christoffersen, Kris Jacobs and Bo Young Chang

RP 2011-47: Asymptotic theory of range-based multipower variation by Kim Christensen and Mark Podolskij

RP 2011-48: Wage Dispersion and Decentralization of Wage Bargaining by Christian M. Dahl, Daniel le Maire and Jakob R. Munch

RP 2011-49: Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX by Torben G. Andersen, Oleg Bondarenko and Maria T. Gonzalez-Perez

RP 2011-50: VPIN and the Flash Crash by Torben G. Andersen and Oleg Bondarenko

RP 2011-51: Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability by Tim Bollerslev, Daniela Osterrieder, Natalia Sizova and George Tauchen

RP 2011-52: What we can learn from pricing 139,879 Individual Stock Options by Lars Stentoft

RP 2011-53: On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes by Kim Christensen, Mark Podolskij and Mathias Vetter

RP 2010-1: Forecasting with nonlinear time series models by Anders Bredahl Kock and Timo Teräsvirta

RP 2010-2: Asymmetric unemployment rate dynamics in Australia by Gunnar Bårdsen, Stan Hurn and Zoë McHugh

RP 2010-3: Dividend predictability around the world by Jesper Rangvid, Maik Schmeling and Andreas Schrimpf

RP 2010-4: The Taylor Rule and “Opportunistic” Monetary Policy by Helle Bunzel and Walter Enders PUBLISHED

RP 2010-5: Non-linear DSGE Models and The Optimized Particle Filter by Martin M. Andreasen

RP 2010-6: Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli by Søren Johansen and Bent Nielsen PUBLISHED

RP 2010-7: Bootstrap Sequential Determination of the Co-integration Rank in VAR Models by Giuseppe Cavaliere, Anders Rahbek and A.M.Robert Taylor

RP 2010-8: Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error by Peter R. Hansen and Asger Lunde

RP 2010-9: Pitfalls in VAR based return decompositions: A clarification by Tom Engsted, Thomas Q. Pedersen and Carsten Tanggaard PUBLISHED

RP 2010-10: Stochastic Volatility by Torben G. Andersen and Luca Benzoni

RP 2010-11: Affine Bond Pricing with a Mixture Distribution for Interest Rate Time-Series Dynamics by Torben B. Rasmussen

RP 2010-12: The SR Approach: a new Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models by Martin M. Andreasen and Bent Jesper Christensen

RP 2010-13: Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility by Peter Reinhard Hansen, Zhuo (Albert) Huang and Howard Howan Shek PUBLISHED

RP 2010-14: An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses by Bent Jesper Christensen and Michel van der Wel

RP 2010-15: A Comprehensive Look at Financial Volatility Prediction by Economic Variables by Charlotte Christiansen, Maik Schmeling, and Andreas Schrimpf. PUBLISHED

RP 2010-16: Estimation of Jump Tails by Tim Bollerslev and Viktor Todorov

RP 2010-17: Ambit processes and stochastic partial differential equations by Ole E. Barndorff–Nielsen, Fred Espen Benth and Almut E. D. Veraart

RP 2010-18: Modelling energy spot prices by Lévy semistationary processes by Ole E. Barndorff–Nielsen, Fred Espen Benth and Almut E. D. Veraart

RP 2010-19: Multivariate Option Pricing with Time Varying Volatility and Correlations by Jeroen V.K. Rombouts and Lars Stentoft PUBLISHED

RP 2010-20: Intertemporal Risk-Return Trade-Off in Foreign Exchange Rates by Charlotte Christiansen. PUBLISHED

RP 2010-21: Forecast Combinations by Marco Aiolfi, Carlos Capistrán and Allan Timmermann

RP 2010-22: Quantitative Breuer-Major Theorems by Ivan Nourdin, Giovanni Peccati and Mark Podolskij PUBLISHED

RP 2010-23: Bootstrapping Density-Weighted Average Derivatives by Matias D. Cattaneo, Richard K. Crump and Michael Jansson

RP 2010-24: Likelihood inference for a fractionally cointegrated vector autoregressive model by Søren Johansen and Morten Ørregaard Nielsen PUBLISHED

RP 2010-25: Testing for rational bubbles in a co-explosive vector autoregression by Tom Engsted and Bent Nielsen

RP 2010-26: On European monetary integration and the persistence of real effective exchange rates by Robinson Kruse PUBLISHED

RP 2010-27: Milestones of European Integration: Which matters most for Export Openness? by Sanne Hiller and Robinson Kruse

RP 2010-28: Forecasting autoregressive time series under changing persistence by Robinson Kruse

RP 2010-29: Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence by Nikolaus Hautsch and Mark Podolskij PUBLISHED

RP 2010-30: Non-linear DSGE Models and The Central Difference Kalman Filter by Martin M. Andreasen

RP 2010-31: Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration by Morten Ørregaard Nielsen and Per Frederiksen PUBLISHED

RP 2010-32: Simple simulation of diffusion bridges with application to likelihood inference for diffusions Cointegration by Mogens Bladt and Michael Sørensen

RP 2010-33: Maximum likelihood estimation for integrated diffusion processes by Fernando Baltazar-Larios and Michael Sørensen

RP 2010-34: The Forecast Performance of Competing Implied by Leonidas Tsiaras

RP 2010-35: Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns by Leonidas Tsiaras

RP 2010-36: Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency by Robinson Kruse and Rickard Sandberg

RP 2010-37: The log-linear return approximation, bubbles, and predictability by Tom Engsted, Thomas Q. Pedersen and Carsten Tanggaard

RP 2010-38: Predictable return distributions by Thomas Q. Pedersen

RP 2010-39: The Role of Dynamic Specification in Forecasting Volatility in the Presence of Jumps and Noisy High-Frequency Data by Rasmus Tangsgaard Varneskov

RP 2010-40: Picard Approximation of Stochastic Differential Equations and Application to Libor Models by Antonis Papapantoleon and David Skovmand

RP 2010-41: Modelling electricity forward markets by ambit fields by Ole E. Barndorff–Nielsen, Fred Espen Benth and Almut E. D. Veraart

RP 2010-42: Long memory and changing persistence by Robinson Kruse and Philipp Sibbertsen

RP 2010-43: Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models by Dennis Kristensen

RP 2010-44: Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models by Jeroen V.K. Rombouts and Lars Stentoft

RP 2010-45: The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts by Rasmus Tangsgaard Varneskov and Valeri Voev

RP 2010-46: Habit-based Asset Pricing with Limited Participation Consumption by Christian Bach and Stig Vinther Møller

RP 2010-47: ICT and Productivity Growth in the 1990's: Panel Data Evidence on Europe by Christian M. Dahl, Hans Christian Kongsted  and Anders Sørensen PUBLISHED

RP 2010-48: Asymptotic normality of the QMLE in the level-effect ARCH model by Christian M. Dahl and Emma M. Iglesias

RP 2010-49: Macro Expectations, Aggregate Uncertainty, and Expected Term Premia by Christian D. Dick, Maik Schmeling and Andreas Schrimpf

RP 2010-50: The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model by Bent Jesper Christensen and Petra Posedel

RP 2010-51: A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns by Christos Ntantamis

RP 2010-52: Detecting Structural Breaks using Hidden Markov Models by Christos Ntantamis

RP 2010-53: Detecting Housing Submarkets using Unsupervised Learning of Finite Mixture Models by Christos Ntantamis

RP 2010-54: Minimax Regression Quantiles by Stefan Holst Bache

RP 2010-55: Sign and Quantiles of the Realized Stock-Bond Correlation by Nektarios Aslanidis and Charlotte Christiansen

RP 2010-56: Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models by Anders Bredahl Kock

RP 2010-57: Smooth Transition Patterns in the Realized Stock-Bond Correlation by Nektarios Aslanidis and Charlotte Christiansen. PUBLISHED

RP 2010-58: Understanding the Effects of Marriage and Divorce on Financial Investments : The Role of Background Risk Sharing by Charlotte Christiansen,Juanne S. Joensen, and Jesper Rangvid. PUBLISHED

RP 2009-1: A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings by Roman Frydman, Michael D. Goldberg, Søren Johansen and Katarina Juselius

RP 2009-2: Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders by Morten Ørregaard Nielsen (SSRN) PUBLISHED

RP 2009-3: Forecasting inflation with gradual regime shifts and exogenous information by Andrés González, Kirstin Hubrich and Timo Teräsvirta

RP 2009-4: First and second order non-linear cointegration models by Theis Lange

RP 2009-5: Volatility in Equilibrium: Asymmetries and Dynamic Dependencies by Tim Bollerslev, Natalia Sizova and George Tauchen

RP 2009-6: On IGARCH and convergence of the QMLE for misspecified GARCH models by Anders Tolver Jensen and Theis Lange

RP 2009-7: Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models by Jeroen V.K. Rombouts and Lars Stentoft

RP 2009-8: Jump Testing and the Speed of Market Adjustment by Torben B. Rasmussen

RP 2009-9: Testing Conditional Factor Models by Dennis Kristensen and Andrew Ang

RP 2009-10: Skewness Premium with Lévy Processes by José Fajardo and Ernesto Mordecki

RP 2009-11: Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach by Lasse Bork

RP 2009-12: Poisson Autoregression by Konstantinos Fokianos, Anders Rahbek and Dag Tjøstheim PUBLISHED

RP 2009-13: Quadratic Variation by Markov Chains by Peter Reinhard Hansen and Guillaume Horel

RP 2009-14: Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models by Dennis Kristensen and Antonio Mele PUBLISHED

RP 2009-15: The Time-Varying Systematic Risk of Carry Trade Strategies by Charlotte Christiansen, Angelo Ranaldo, and Paul Söderlind. PUBLISHED

RP 2009-16: Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise by Ingmar Nolte and Valeri Voev 

RP 2009-17: Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak by Tom Engsted PUBLISHED

RP 2009-18: Forecasting with Universal Approximators and a Learning Algorithm by Anders Bredahl Kock

RP 2009-19: On a numerical and graphical technique for evaluating some models involving rational expectations by Søren Johansen and Anders Rygh Swensen

RP 2009-20: Stochastic volatility and stochastic leverage by Almut E. D. Veraart and Luitgard A. M. Veraart PUBLISHED

RP 2009-21: Multipower Variation for Brownian Semistationary Processes by Ole E. Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij PUBLISHED

RP 2009-22: Co-integration Rank Testing under Conditional Heteroskedasticity by Giuseppe Cavaliere, Anders Rahbek and A.M.Robert Taylor PUBLISHED

RP 2009-23: Interest rate convergence in the EMS prior to European Monetary Union by Michael Frömmel and Robinson Kruse

RP 2009-24: A Meta-Distribution for Non-Stationary Samples by Dominique Guégan

RP 2009-25: Stochastic volatility of volatility in continuous time by Ole E. Barndorff-Nielsen and Almut E. D. Veraart

RP 2009-26: Tails, Fears and Risk Premia by Tim Bollerslev and Viktor Todorov PUBLISHED

RP 2009-27: Realised Quantile-Based Estimation of the Integrated Variance by Kim Christensen, Roel Oomen and Mark Podolskij PUBLISHED

RP 2009-28: An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application by Takamitsu Kurita, Heino Bohn Nielsen and Anders Rahbek PUBLISHED

RP 2009-29: Stochastic Volatility and DSGE Models by Martin M. Andreasen

RP 2009-30: Long Memory and Tail dependence in Trading Volume and Volatility by Eduardo Rossi and Paolo Santucci de Magistris

RP 2009-31: A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility by Eduardo Rossi and Paolo Santucci de Magistris

RP 2009-32: The Effects of Interest Rate Movements on Assets’ Conditional Second Moments by Alessandro Palandri

RP 2009-33: Option Valuation with Conditional Heteroskedasticity and Non-Normality by Peter Christoffersen, Redouane Elkamhi, Bruno Feunou and Kris Jacobs PUBLISHED

RP 2009-34: The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well by Peter Christoffersen, Steven Heston and Kris Jacobs PUBLISHED

RP 2009-35: Evaluating Value-at-Risk Models with Desk-Level Data by Peter Christoffersen, Jeremy Berkowitz and Denis Pelletier PUBLISHED

RP 2009-36: The dividend-price ratio does predict dividend growth: International evidence by Tom Engsted and Thomas Q. Pedersen PUBLISHED

RP 2009-37: Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis by Michael Jansson and Morten Ørregaard Nielsen

RP 2009-38: Local Whittle estimation of multivariate fractionally integrated processes by Frank S. Nielsen

RP 2009-39: Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates by Borus Jungbacker, Siem Jan Koopman and Michel van der Wel

RP 2009-40: Detection of additive outliers in seasonal time series by Niels Haldrup, Antonio Montañés and Andreu Sansó

RP 2009-41: Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models by Dennis Kristensen PUBLISHED

RP 2009-42: The multivariate supOU stochastic volatility model by Ole Eiler Barndorff-Nielsen and Robert Stelzer PUBLISHED

RP 2009-43: Identification of Macroeconomic Factors in Large Panels by Lasse Bork, Hans Dewachter and Romain Houssa

RP 2009-44: Semiparametric Modelling and Estimation: A Selective Overview by Dennis Kristensen

RP 2009-45: Pre-averaging estimators of the ex-post covariance matrix by Kim Christensen, Silja Kinnebrock and Mark Podolskij PUBLISHED

RP 2009-46: Robust Data-Driven Inference for Density-Weighted Average Derivatives by Matias D. Cattaneo, Richard K. Crump and Michael Jansson PUBLISHED

RP 2009-47: Understanding limit theorems for semimartingales: a short survey by Mark Podolskij and Mathias Vetter PUBLISHED

RP 2009-48: Unstable volatility functions: the break preserving local linear estimator by Isabel Casas and Irene Gijbels

RP 2009-49: Realized Volatility and Multipower Variation by Torben G. Andersen and Viktor Todorov

RP 2009-50: What do we know about real exchange rate non-linearities? by Robinson Kruse, Michael Frömmel, Lukas Menkhoff and Philipp Sibbertsen

RP 2009-51: Efficient Estimation of Non-Linear Dynamic Panel Data Models with Application to Smooth Transition Models by Tue Gørgens, Christopher L. Skeels and Allan H. Würtz

RP 2009-52: Jump-Robust Volatility Estimation using Nearest Neighbor Truncation by Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg

RP 2009-53: Forecasting long memory time series under a break in persistence by Florian Heinen, Philipp Sibbertsen and Robinson Kruse

RP 2009-54: Testing a parametric function against a nonparametric alternative in IV and GMM settings by Tue Gørgens and Allan Würtz

RP 2009-55: Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots by Michael Jansson and Morten Ørregaard Nielsen

RP 2009-56: On the Economic Evaluation of Volatility Forecasts by Valeri Voev

RP 2009-57: Global Asset Pricing: Is There a Role for Long-run Consumption Risk? by Jesper Rangvid, Maik Schmeling and Andreas Schrimpf

RP 2009-58: Risk premia in general equilibrium by Olaf Posch

RP 2009-59: Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary by Christian M. Dahl and Emma M. Iglesias

RP 2009-60: Limit theorems for functionals of higher order differences of Brownian semi-stationary processes by Ole E. Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij PUBLISHED

RP 2008-1: Short-run Exchange-Rate Dynamics: Theory and Evidence by John A. Carlson, Christian M. Dahl, and Carol L. Osler

RP 2008-2: Reduced-Rank Regression: A Useful Determinant Identity by Peter Reinhard Hansen

RP 2008-3: Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate by Søren Johansen, Katarina Juselius, Roman Frydman and Michael Goldberg PUBLISHED

RP 2008-4: Explaining output volatility: The case of taxation by Olaf Posch

RP 2008-5: Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model by Annastiina Silvennoinen and Timo Teräsvirta PUBLISHED

RP 2008-6: Multivariate GARCH models.  To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds. Handbook of Financial Time Series. New York: Springer by Annastiina Silvennoinen and Timo Teräsvirta

RP 2008-7: Parameterizing unconditional skewness in models for financial time series by Changli He, Annastiina Silvennoinen and Timo Teräsvirta PUBLISHED

RP 2008-8: Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure by Cristina Amado and Timo Teräsvirta

RP 2008-9: An analysis of the indicator saturation estimator as a robust regression estimator by Søren Johansen and Bent Nielsen PUBLISHED

RP 2008-10: Volatility Components, Affine Restrictions and Non-Normal Innovations by Peter Christoffersen, Kris Jacobs, Christian Dorion and Yintian Wang PUBLISHED

RP 2008-11: Option Valuation with Long-run and Short-run Volatility Components by Peter Christoffersen, Kris Jacobs, Chayawat Ornthanalai and Yintian Wang PUBLISHED

RP 2008-12: An iterated GMM procedure for estimating the Campbell-Cochrane habit  formation model, with an application to Danish stock and bond returns by Tom Engsted and Stig V. Møller PUBLISHED

RP 2008-13: Option Pricing using Realized Volatility by Lars Stentoft

RP 2008-14: Pricing Volatility of Stock Returns with Volatile and Persistent Components by Jie Zhu PUBLISHED

RP 2008-15: Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach by Jie Zhu PUBLISHED

RP 2008-16: FIEGARCH-M and and International Crises: A Cross-Country Analysis by Jie Zhu

RP 2008-17: Inference for the jump part of quadratic variation of Itô semimartingales by Almut E. D. Veraart PUBLISHED

RP 2008-18: Parametric inference for discretely sampled stochastic differential equations by Michael Sørensen PUBLISHED

RP 2008-19: Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form by Anne Péguin-Feissolle, Birgit Strikholm and Timo Teräsvirta

RP 2008-20: Headlights on tobacco road to low birthweight outcomes - Evidence from a battery of quantile regression estimators and a heterogeneous panel by Stefan Holst Bache, Christian M. Dahl and Johannes Tang Kristensen

RP 2008-21: Bipower variation for Gaussian processes with stationary increments by Ole E. Barndorff-Nielsen, José Manuel Corcuera, Mark Podolskij and Jeannette H.C. Woerner PUBLISHED

RP 2008-22: A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models by Mark Podolskij and Daniel Ziggel

RP 2008-23: An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models by Silja Kinnebrock and Mark Podolskilj

RP 2008-24: Small Bandwidth Asymptotics for Density-Weighted Average Derivatives by Matias D. Cattaneo, Richard K. Crump and Michael Jansson

RP 2008-25: Bipower-type estimation in a noisy diffusion setting by Mark Podolskij and Mathias Vetter PUBLISHED

RP 2008-26: Ensuring the Validity of the Micro Foundation in DSGE Models by Martin Møller Andreasen

RP 2008-27: Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model by Tom Engsted and Thomas Q. Pedersen

RP 2008-28: Local polynomial Whittle estimation covering non-stationary fractional processes by Frank S. Nielsen

RP 2008-29: Local polynomial Whittle estimation of perturbed fractional processes by Per Frederiksen, Frank S. Nielsen and Morten Ørregaard Nielsen PUBLISHED

RP 2008-30: Parameter estimation in nonlinear AR-GARCH models by Mika Meitz and Pentti Saikkonen

RP 2008-31: Estimating High-Frequency Based (Co-) Variances: A Unified Approach by Ingmar Nolte and Valeri Voev

RP 2008-32: How to Maximize the Likelihood Function for a DSGE Model by Martin Møller Andreasen PUBLISHED

RP 2008-33: Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter by Martin Møller Andreasen

RP 2008-34: New tests for jumps: a threshold-based approach by Mark Podolskij and Daniel Ziggel

RP 2008-35: Bias-reduced estimation of long memory stochastic volatility by Per Frederiksen and Morten Ørregaard Nielsen PUBLISHED

RP 2008-36: A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic by Morten Ørregaard Nielsen PUBLISHED

RP 2008-37: Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data by Dennis Kristensen PUBLISHED

RP 2008-38: The limiting properties of the QMLE in a general class of asymmetric volatility models by Christian M. Dahl and Emma M. Iglesias

RP 2008-39: Modelling and Forecasting Multivariate Realized Volatility by Roxana Chiriac and Valeri Voev PUBLISHED

RP 2008-40: Consumption growth and time-varying expected stock returns by Stig Vinther Møller PUBLISHED

RP 2008-41: American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution by Lars Stentoft PUBLISHED

RP 2008-42: Measuring downside risk — realised semivariance by Ole E. Barndorff-Nielsen, Silja Kinnebrock and Neil Shephard

RP 2008-43: Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model by Martin Møller Andreasen

RP 2008-44: The cyclical component factor model by Christian M. Dahl, Henrik Hansen and John Smidt PUBLISHED

RP 2008-45: The limiting behavior of the estimated parameters in a misspecified random field regression model by Christian M. Dahl and Yu Qin

RP 2008-46: Semiparametric Inference in a GARCH-in-Mean Model by Bent Jesper Christensen, Christian M. Dahl and Emma M. Iglesias

RP 2008-47: Mean Reversion in US and International Short Rates by Charlotte Christiansen. PUBLISHED

RP 2008-48: Expected Stock Returns and Variance Risk Premia by Tim Bollerslev, George Tauchen and Hao Zhou PUBLISHED

RP 2008-49: Glossary to ARCH (GARCH) by Tim Bollerslev

RP 2008-50: Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility by Giuseppe Cavaliere, Anders Rahbek and A.M.Robert Taylor PUBLISHED

RP 2008-51: Optimal inference in dynamic models with conditional moment restrictions by Bent Jesper Christensen and Michael Sørensen

RP 2008-52: Likelihood based testing for no fractional cointegration by Katarzyna Lasak PUBLISHED

RP 2008-53: Maximum likelihood estimation of fractionally cointegrated systems by Katarzyna Lasak

RP 2008-54: The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast by Andrew J. Patton and Allan Timmermann

RP 2008-55: Forecast Combination With Entry and Exit of Experts by Carlos Capistrán and Allan Timmermann PUBLISHED

RP 2008-56: Disagreement and Biases in Inflation Expectations by Carlos Capistrán and Allan Timmermann PUBLISHED

RP 2008-57: Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances by Almut E. D. Veraart

RP 2008-58: Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood by Dennis Kristensen and Yongseok Shin

RP 2008-59: Testing for long memory in potentially nonstationary perturbed fractional processes by Per Frederiksen and Frank S. Nielsen

RP 2008-60:  Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution by Thomas Q. Pedersen

RP 2008-61: Limit theorems for moving averages of discretized processes plus noise by Jean Jacod, Mark Podolskij and Mathias Vetter PUBLISHED

RP2008-62: Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility by Giuseppe Cavaliere, David I. Harvey, Stephen J. Leybourne and A.M. Robert Taylor

RP2008-63: Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading by Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard (SSRN) PUBLISHED 

RP 2007-1: Nonparametric Estimation and Misspecification Testing of Diffusion Models by Dennis Kristensen

RP 2007-2: Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach by Dennis Kristensen PUBLISHED

RP 2007-3: The Effect of Long Memory in Volatility on Stock Market Fluctuations by Bent Jesper Christensen and Morten Ørregaard Nielsen PUBLISHED

RP 2007-4: Paying for Market Quality by Amber Anand, Carsten Tanggaard and Daniel G. Weaver PUBLISHED

RP 2007-5: Are Economists More Likely to Hold Stocks? by Charlotte Christiansen,E. Juanna S. Joensen, and Jesper Rangvid. PUBLISHED

RP 2007-6: Decomposing European Bond and Equity Volatility by Charlotte Christiansen. PUBLISHED

RP 2007-7: Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns by Stig V. Møller PUBLISHED

RP 2007-8: Extreme Coexceedances in New EU Member States' Stock Markets by Charlotte Christiansen, and Angelo Ranaldo. PUBLISHED

RP 2007-9: The Role of Implied Volatility in Forecasting Future Realized  Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets by Thomas Busch, Bent Jesper Christensen and Morten Ørregaard Nielsen PUBLISHED

RP 2007-10: Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model by Bent Jesper Christensen, Morten Ørregaard Nielsen and Jie Zhu PUBLISHED

RP 2007-11: Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors by Mathias C. Cattaneo, Richard K. Crump, Michael Jansson

RP 2007-12: Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis by Michael Jansson PUBLISHED

RP 2007-13: Local Linear Density Estimation for filtered Survival Data, with Bias Correction by Jens Perch Nielsen, Carsten Tanggard and M.C. Jones PUBLISHED

RP 2007-14: A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures by Torben G. Andersen, Tim Bollerslev and Xin Huang PUBLISHED

RP 2007-15: Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks by Viktor Todorov and Tim Bollerslev PUBLISHED

RP 2007-16: Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities by Tim Bollerslev, Michael Gibson and Hao Zhou PUBLISHED

RP 2007-17: Expected Stock Returns and Variance Risk Premia by Tim Bollerslev and Hao Zhou

RP 2007-18: Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility by Torben G. Andersen, Tim Bollerslev and Francis X. Diebold PUBLISHED

RP 2007-19: Risk, Jumps, and Diversification by Tim Bollerslev, Tzuo Hann Law and George Tauchen PUBLISHED

RP 2007-20: Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets by Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Clara Vega PUBLISHED

RP 2007-21: Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns by Torben G. Andersen, Tim Bollerslev, Per Houmann Frederiksen and Morten Ørregaard Nielsen

RP 2007-22: A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects by Tim Bollerslev, Uta Kretschmer, Christian Pigorsch and George Tauchen PUBLISHED

RP 2007-23: Structural estimation of jump-diffusion processes in macroeconomics by Olaf Posch PUBLISHED

RP 2007-24: Construction and Interpretation of Model-Free Implied Volatility by Torben G. Andersen and Oleg Bondarenko

RP 2007-25: Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models by Torben G. Andersen and Luca Benzoni PUBLISHED

RP 2007-26: A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models by Mark Podolskij and Daniel Ziggel

RP 2007-27: Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jump by Mark Podolskij and Mathias Vetter PUBLISHED

RP 2007-28: The Pearson diffusions: A class of statistically tractable diffusion processes by Julie Lyng Forman and Michael Sørensen PUBLISHED

RP 2007-29: A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching by Niels Haldrup, Frank S. Nielsen and Morten Ørregaard Nielsen PUBLISHED

RP 2007-30: Market Power in Power Markets: Evidence from Forward Prices of Electricity by Bent Jesper Christensen, Thomas Elgaard Jensen and Rune Mølgaard

RP 2007-31: Habit Formation, Surplus Consumption and Return Predictability: International Evidence by Tom Engsted, Stuart Hyde and Stig V. Møller PUBLISHED

RP 2007-32: Some identification problems in the cointegrated vector autoregressive model by Søren Johansen PUBLISHED

RP 2007-33: Likelihood inference for a nonstationary fractional autoregressive model by Søren Johansen and Morten Ørregaard Nielsen

RP 2007-34: Level-ARCH Short Rate Models with Regime Switching : Bivariate Modeling of US and European Short Rates by Charlotte Christiansen. PUBLISHED

RP 2007-35: Correlation, regression, and cointegration of nonstationary economic time series by Søren Johansen

RP 2007-36: Selecting a Regression Saturated by Indicators by David F. Hendry, Søren Johansen and Carlos Santos

RP 2007-37: Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices by Peter Christoffersen, Kris Jacobs and Karim Mimouni PUBLISHED

RP 2007-38: Likelihood-Based Inference in Nonlinear Error-Correction Models by Dennis Kristensen and Anders Rahbek PUBLISHED

RP 2007-39: Forward-Looking Betas by Peter Christoffersen, Kris Jacobs and Gregory Vainberg

RP 2007-40: Trygve Haavelmo’s visit in Aarhus 1938-39 by Olav Bjerkholt

RP 2007-41: Exact rational expectations, cointegration, and reduced rank regression by Søren Johansen and Anders Rygh Swensen

RP 2007-42: Power variation for Gaussian processes with stationary increments by Ole E. Barndorff-Nielsen, José Manuel Corcuera and Mark Podolskij PUBLISHED

RP 2007-43: Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 by Jean Jacod, Yingying Li, Per A. Mykland, Mark Podolskij and Mathias Vetter PUBLISHED

RP 2007-44: Long memory modelling of inflation with stochastic variance and structural breaks by Charles S. Bos, Siem Jan Koopman and Marius Ooms

RP 2007-45: Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes by James Davidson and Nigar Hashimzade

RP 2007-46: Efficient estimation for ergodic diffusions sampled at high frequency by Michael Sørensen