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