2012

RP 2012-1: The Power of Unit Root Tests Against Nonlinear Local Alternatives by Matei Demetrescu and Robinson Kruse

RP 2012-2: Alternative Asymptotics and the Partially Linear Model with Many Regressors by Matias D. Cattaneo, Michael Jansson and Whitney K. Newey

RP 2012-3: Conditionally-Uniform Feasible Grid Search Algorithm by Matt P. Dziubinski

RP2012-4: The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options by Jeroen V.K. Rombouts, Lars Stentoft and Francesco Violante

RP2012-05: On the Oracle Property of the Adaptive LASSO in Stationary and Nonstationary Autoregressions by Anders Bredahl Kock

RP2012-06: Commodity derivatives pricing with inventory effects by Christian Bach and Matt P. Dziubinski

RP2012-07: Modelling Changes in the Unconditional Variance of Long Stock Return Series by Cristina Amado and Timo Teräsvirta

RP2012-08: On the Effects of Private Information on Volatility by Anne Opschoor, Michel van der Wel, Dick van Dijk and Nick Taylor

RP2012-09: Modelling conditional correlations of asset returns: A smooth transition approach by Annastiina Silvennoinen and Timo Teräsvirta

RP2012-10: Model Selection in Kernel Ridge Regression by Peter Exterkate

RP2012-11: Parametric Inference and Dynamic State Recovery from Option Panels by Torben G. Andersen, Nicola Fusari and Viktor Todorov

RP2012-12Goodness-of-fit testing for fractional diffusions by Mark Podolskij and Katrin Wasmuth

RP2012-13: Modelling electricity day–ahead prices by multivariate Lévy by Almut E. D. Veraart and Luitgard A. M. Veraart

RP2012-14: Unit roots, nonlinearities and structural breaks by Niels Haldrup, Robinson Kruse, Timo Teräsvirta and Rasmus T. Varneskov

RP2012-15: Heterogeneous Computing in Economics: A Simplified Approach by Matt P. Dziubinski and Stefano Grassi

RP2012-16: Oracle Inequalities for High Dimensional Vector Autoregressions by Anders Bredahl Kock and Laurent A.F. Callot

RP2012-17: Using the Yield Curve in Forecasting Output Growth and In‡flation by Eric Hillebrand, Huiyu Huang, Tae-Hwy Lee and Canlin Li

RP2012-18: Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors by Eric Hillebrand and Tae-Hwy Lee

RP2012-19: The impact of financial crises on the risk-return tradeoff and the leverage effect by Bent Jesper Christensen, Morten Ørregaard Nielsen and Jie Zhu

RP2012-20: On tests for linearity against STAR models with deterministic trends by Hendrik Kaufmann, Robinson Kruse and Philipp Sibbertsen

RP2012-21: On the estimation of the volatility-growth link by Andrey Launov, Olaf Posch and Klaus Wälde

RP2012-22: Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare by Peter O. Christensen and Zhenjiang Qin

RP2012-23: Heterogeneous Beliefs, Public Information, and Option Markets by Zhenjiang Qin

RP2012-24: Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs by Zhenjiang Qin

RP2012-25Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates by Heejoon Han and Dennis Kristensen

RP2012-26: Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces by Lei Pan, Olaf Posch and Michel van der Wel

RP2012-27: Housing price forecastability: A factor analysis by Lasse Bork and Stig V. Møller

RP2012-28: Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean? by Johannes Tang Kristensen

RP2012-29: Unit Root Vector Autoregression with volatility Induced Stationarity by Anders Rahbek and Heino Bohn Nielsen

RP2012-30: Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models by Eric Hillebrand and Marcelo C. Medeiros

RP2012-31: Asymptotic Theory for Regressions with Smoothly Changing Parameters by Eric Hillebrand, Marcelo C. Medeiros and Junyue Xu

RP2012-32: Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM by Olaf Posch and Andreas Schrimpf

RP2012-33: Integration of European Bond Markets by Charlotte Christiansen. PUBLISHED

RP2012-34: Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy by Nektarios Aslanidis and Charlotte Christiansen. PUBLISHED

RP2012-35: The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums by Daniela Osterrieder and Peter C. Schotman

RP2012-36: Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models by Giuseppe Cavaliere, Anders Rahbek  and A.M.Robert Taylor

RP2012-37: Estimating High-Dimensional Time Series Models by Marcelo C. Medeiros and Eduardo F. Mendes

RP2012-38: Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the  Adaptive Group LASSO in Vector Autoregressions by Anders Bredahl Kock and Laurent A.F. Callot

RP2012-39: Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model by H. Peter Boswijk, Michael Jansson and Morten Ørregaard Nielsen

RP2012-40: Limit theorems for non-degenerate U-statistics of continuous semimartingales by Mark Podolskij, Christian Schmidt and Johanna Fasciati Ziegel PUBLISHED

RP2012-41Let's Do It Again: Bagging Equity Premium Predictors by  Eric Hillebrand, Tae-Hwy Lee and Marcelo C. Medeiros

RP2012-42: End-of-the-year economic growth and time-varying expected returns by Stig V. Møller and Jesper Rangvid

RP2012-43: Choice of Sample Split in Out-of-Sample Forecast Evaluation by Peter Reinhard Hansen and Allan Timmermann

RP2012-44Exponential GARCH Modeling with Realized Measures of Volatility by Peter Reinhard Hansen and Zhuo Huang

RP2012-45: Equivalence Between Out-of-Sample Forecast Comparisons and Wald by Peter Reinhard Hansen and Allan Timmermann

RP2012-46: The Selection of ARIMA Models with or without Regressors by Søren Johansen, Marco Riani and Anthony C. Atkinson

RP2012-47: The role of initial values in nonstationary fractional time series models by Søren Johansen and Morten Ørregaard Nielsen

RP2012-48Is the Potential for International Diversi…cation Disappearing? A Dynamic Copula Approach by Peter Christoffersen, Vihang Errunza, Kris Jacobs and Hugues Langlois

RP2012-49: Nonlinear Kalman Filtering in Affine Term Structure Models by Peter Christoffersen, Christian Dorion , Kris Jacobs and Lot…fi Karou

RP2012-50: GARCH Option Valuation: Theory and Evidence by Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai

RP2012-51: Stock Return and Cash Flow Predictability: The Role of Volatility Risk by Tim Bollerslev, Lai Xu and Hao Zhou

Rp2012-52: Asymptotic theory for Brownian semi-stationary processes with application to turbulence by José Manuel Corcuera, Emil Hedevang, Mikko S. Pakkanen and Mark Podolskij
PUBLISHED

RP2012-53: Multivariate Variance Targeting in the BEKK-GARCH Model by Rasmus Søndergaard Pedersen and Anders Rahbek

RP2012-54: Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis by Matthew T. Holt and Timo Teräsvirta

RP2012-55: A Non-standard Empirical Likelihood for Time Series by Daniel J. Nordman, Helle Bunzel and Soumendra N. Lahiri

RP2012-56: And Now, The Rest of the News: Volatility and Firm Specific News Arrival by Robert F. Engle, Martin Klint Hansen and Asger Lunde

RP2012-57: A test for the rank of the volatility process: the random perturbation approach by Jean Jacod and Mark Podolskij PUBLISHED

RP2012-58: Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries by Tom Engsted and Thomas Q. Pedersen