2008

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 2008-60Intertemporal 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