2014

2014-01: Bagging Weak Predictors by Manuel Lukas and Eric Hillebrand

2014-02: 150 Years of Italian CO2 Emissions and Economic Growth by Barbara Annicchiarico, Anna Rita Bennato and Emilio Zanetti Chini

2014-03: A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model by Paul Catani, Timo Teräsvirta and Meiqun Yin

2014-04: Linearity and Misspecification Tests for Vector Smooth Transition Regression Models by Timo Teräsvirta and Yukai Yang

2014-05: Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity by Kris Boudt, Sébastien Laurent, Asger Lunde and Rogier Quaedvlieg

2014-06: Are University Admissions Academically Fair? by Debopam Bhattacharya, Shin Kanaya and Margaret Stevens

2014-07: Noncausal Bayesian Vector Autoregression by Markku Lanne and Jani Luoto

2014-08: Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications by Timo Teräsvirta and Yukai Yang

2014-09: A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market by A.S. Hurn, Annastiina Silvennoinen and Timo Teräsvirta

2014-10: Price discovery in dual-class shares across multiple markets by Marcelo Fernandes and Cristina M. Scherrer

2014-11: Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition by Yukai Yang

2014-12: Forecasting with the Standardized Self-Perturbed Kalman Filter by Stefano Grassi, Nima Nonejad and Paolo Santucci de Magistris

2014-13: Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification by Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou

2014-14: Functional limit theorems for generalized variations of the fractional Brownian sheet by Mikko S. Pakkanen and Anthony Réveillac

2014-15: On an Estimation Method for an Alternative Fractionally Cointegrated Model by Federico Carlini and Katarzyna Lasak

2014-16: Simulation of multivariate diffusion bridges by Mogens Bladt, Samuel Finch and Michael Sørensen

2014-17: Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models by Markku Lanne and Henri Nyberg

2014-18: Extreme negative coexceedances in South Eastern European stock markets by Dragan Tevdovski

2014-19: Discriminating between fractional integration and spurious long memory by Niels Haldrup and Robinson Kruse

2014-20: Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach by Martyna Marczak and Tommaso Proietti

2014-21: Discretization of Lévy semistationary processes with application to estimation by Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen

2014-22: Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets by Giuseppe Cavaliere, Morten Ørregaard Nielsen and A.M. Robert Taylor

2014-23: A fractionally cointegrated VAR analysis of economic voting and political support by Maggie E. C. Jones, Morten Ørregaard Nielsen and Michael Ksawery Popiel

2014-24: A fractionally cointegrated VAR analysis of price discovery in commodity futures markets by Sepideh Dolatabadim, Morten Ørregaard Nielsen and Ke Xu

2014-25: Bootstrapping Kernel-Based Semiparametric Estimators by Matias D. Cattaneo and Michael Jansson

2014-26: Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? by Markku Lanne, Jani Luoto and Henri Nyberg

2014-27: Volatility jumps and their economic determinants by Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris

2014-28: Fama on bubbles by Tom Engsted

2014-29: Chasing volatility - A persistent multiplicative error model with jumps by Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris

2014-30: ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models by Michael Creel and Dennis Kristensen

2014-31: Factor Structure in Commodity Futures Return and Volatility by Peter Christoffersen, Asger Lunde and Kasper V. Olesen

2014-32: The wild tapered block bootstrap by Ulrich Hounyo

2014-33: Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 by Massimiliano Caporin, Luca Corazzini and Michele Costola

2014-34: Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models by Morten Ørregaard Nielsen PUBLISHED

2014-35: Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading by Ulrich Hounyo

2014-36: Asymptotically Honest Confidence Regions for High Dimensional by Mehmet Caner and Anders Bredahl Kock

2014-37: Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets by Gustavo Fruet Dias and George Kapetanios

2014-38: Times Series: Cointegration by Søren Johansen

2014-39: Outlier detection algorithms for least squares time series regression by Søren Johansen and Bent Nielsen PUBLISHED

2014-40: Optimal hedging with the cointegrated vector autoregressive model by Søren Johansen and Lukasz Gatarek

2014-41: Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy by Laurent Callot and Johannes Tang Kristensen

2014-42: Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice by Laurent A. F. Callot, Anders B. Kock and Marcelo C. Medeiros

2014-43: On the identification of fractionally cointegrated VAR models with the F(d) condition by Paolo Santucci de Magistris and Federico Carlini

2014-44: Deterministic and stochastic trends in the Lee-Carter mortality model by Laurent Callot, Niels Haldrup and Malene Kallestrup Lamb

2014-45: Idiosyncratic Volatility Puzzle: Infl‡uence of Macro-Finance Factors by Nektarios Aslanidis, Charlotte Christiansen, Neophytos Lambertides and Christos S. Savva

2014-46: On the Selection of Common Factors for Macroeconomic Forecasting by Alessandro Giovannelli and Tommaso Proietti

2014-47: Dynamic term structure models: The best way to enforce the zero lower bound by Martin M. Andreasen and Andrew Meldrum

2014-48: Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns by Tim Bollerslev, Sophia Zhengzi Li and Viktor Todorov

2014-49: Tail Risk Premia and Return Predictability by Tim Bollerslev, Viktor Todorov and Lai Xu

2014-50: On non-standard limits of Brownian semi-stationary by Kerstin Gärtner and Mark Podolskij PUBLISHED

2014-51: Ambit fields: survey and new challenges by Mark Podolskij PUBLISHED

2014-52: Testing the maximal rank of the volatility process for continuous diffusions observed with noise by Tobias Fissler and Mark Podolskij

2014-53: Cross listing: price discovery dynamics and exchange rate effects by Cristina M. Scherrer

2014-54: On spectral distribution of high dimensional covariation matrices by Claudio Heinrich and Mark Podolskij

2014-55: Forecasting Long Memory Series Subject to Structural Change: A Two-Stage Approach by Gustavo Fruet Dias and Fotis Papailias PUBLISHED

2014-56: The Risk Premia Embedded in Index Options by Torben G. Andersen, Nicola Fusari and Viktor Todorov

2014-57: Indirect inference with time series observed with error by Eduardo Rossi and Paolo Santucci de Magistris

2014-58: Inference in High-dimensional Dynamic Panel Data Models by Anders Bredahl Kock and Haihan Tang