2007

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