2010

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 2010-59Numerical distribution functions of fractional unit root and cointegration tests by James G. MacKinnon and Morten Ørregaard Nielsen

RP 2010-60Level Shifts in Volatility and the Implied-Realized Volatility Relation by Bent Jesper Christensen and Paolo Santucci de Magistris

RP 2010-61Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach by Christian Bach and Bent Jesper Christensen

RP 2010-62The Impact of Health Changes on Labor Supply: Evidence from Merged Data on Individual Objective Medical Diagnosis Codes and Early Retirement Behavior by Bent Jesper Christensen and Malene Kallestrup Lamb

RP 2010-63How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models by Martin M. Andreasen

RP 2010-64Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns by Tim Bollerslev and Viktor Todorov

RP 2010-65How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? by Almut E. D. Veraart

RP 2010-66Integer-valued Lévy processes and low latency financial econometrics by Ole E. Barndorff-Nielsen, David G. Pollard and Neil Shephard

RP 2010-67Estimation of Stochastic Volatility Models by Nonparametric Filtering by Shin Kanaya and Dennis Kristensen

RP 2010-68Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models by Dennis Kristensen and Anders Rahbek

RP 2010-69The analysis of nonstationary time series using regression, correlation and cointegration with an application to annual mean temperature and sea level by Søren Johansen

RP 2010-70A necessary moment condition for the fractional functional central limit theorem by Søren Johansen and Morten Ørregaard Nielsen

RP 2010-71Modelling asset correlations during the recent financial crisis: A semiparametric approach by Nektarios Aslanidis and Isabel Casas

RP 2010-72An invariance property of the common trends under linear transformations of the data by Søren Johansen and Katarina Juselius

RP 2010-73Estimating the effect of a variable in a high-dimensional regression model by Peter Sandholt Jensen and Allan H. Würtz

RP 2010-74Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility by Peter R. Hansen, Asger Lunde and Valeri Voev

RP 2010-75A Bootstrap Cointegration Rank Test for Panels of VAR Models by Laurent A.F. Callot

RP 2010-76The Model Confidence Set by Peter R. Hansen, Asger Lunde and James M. Nason