2011

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 2011-18Bias-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 2011-24Conditional 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 2011-26Combining 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 2011-29Wavelet Based Outlier Correction for Power Controlled Turning Point Detection in Surveillance Systems by Yushu Li

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

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

RP 2011-32Conservatism in Corporate Valuation by Christian Bach

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

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

RP 2011-35Flat-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 2011-39Statistical 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 2011-41Marginal 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