2015

2015-01: Explosive bubbles in house prices? Evidence from the OECD countries by Tom Engsted, Simon J. Hviid and Thomas Q. Pedersen

2015-02: Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions by Tim Bollerslev, Andrew J. Patton and Wenjing Wang

2015-03: Weak diffusion limits of dynamic conditional correlation models by Christian M. Hafner, Sebastien Laurent and Francesco Violante

2015-04: Understanding volatility dynamics in the EU-ETS market by Maria Eugenia Sanin, Maria Mansanet-Bataller and Francesco Violante

2015-05: Equity Portfolio Management Using Option Price Information by Peter Christoffersen and Xuhui (Nick) Pan

2015-06: Oil Volatility Risk and Expected Stock Returns by Peter Christoffersen and Xuhui (Nick) Pan

2015-07: Option Valuation with Observable Volatility and Jump Dynamics by Peter Christoffersen, Bruno Feunou and Yoontae Jeon

2015-08: Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis by Alfonso Irarrazabal and Juan Carlos Parra-Alvarez

2015-09: Unbalanced Regressions and the Predictive Equation by Daniela Osterrieder, Daniel Ventosa-Santaulària and Eduardo Vera-Valdés

2015-10: Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models by Laurent Callot, Mehmet Caner, Anders Bredahl Kock and Juan Andres Riquelme

2015-11: Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) by Arianna Agosto, Giuseppe Cavaliere, Dennis Kristensen and Anders Rahbek

2015-12: EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area by Tommaso Proietti, Martyna Marczak and Gianluigi Mazzi

2015-13: Dynamic Factor Models for the Volatility Surface by Michel van der Wel, Sait R. Ozturk and Dick van Dijk

2015-14: Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting by Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg

2015-15: Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets by Hossein Asgharian, Charlotte Christiansen, and Ai Jun Hou.

2015-16: Identification and estimation of non-Gaussian structural vector autoregressions by Markku Lanne, Mika Meitz and Pentti Saikkonen

2015-17: Counting Processes for Retail Default Modeling by Nicholas M. Kiefer and C. Erik Larson

2015-18: A Martingale Decomposition of Discrete Markov Chains by Peter Reinhard Hansen

2015-19: A Markov Chain Estimator of Multivariate Volatility from High Frequency Data by Peter Reinhard Hansen, Guillaume Horel, Asger Lunde and Ilya Archakov

2015-20: International Sign Predictability of Stock Returns: The Role of the United States by Henri Nyberg and Harri Pönkä

2015-21: Validity of Edgeworth expansions for realized volatility estimators by Ulrich Hounyo and Bezirgen Veliyev

2015-22: Space-time modeling of electricity spot prices by Girum D. Abate and Niels Haldrup

2015-23: Data revisions and the statistical relation  of global mean sea-level and temperature by Eric Hillebrand, Søren Johansen and Torben Schmith

2015-24: Generalised partial autocorrelations and the mutual information between past and future by Tommaso Proietti and Alessandra Luati

2015-25: Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination by Bent Jesper Christensen and Rasmus T. Varneskov

2015-26: A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation by Ulrich Hounyo and Rasmus T. Varneskov

2015-27: Nonstationary ARCH and GARCH with t-distributed Innovations by Rasmus Søndergaard Pedersen and Anders Rahbek

2015-28: Seasonal Changes in Central England Temperatures by Tommaso Proietti and Eric Hillebrand

2015-29Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation by Laurent Callot and Johannes Tang Kristensen

2015-30: Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach by Davide Delle Monache, Stefano Grassi and Paolo Santucci de Magistris

2015-31: Treatment Effects with Many Covariates and Heteroskedasticity by Matias D. Cattaneo, Michael Jansson and Whitney K. Newey

2015-32: Which pricing approach for options under GARCH with non-normal innovations? by Jean-Guy Simonato and Lars Stentoft

2015-33: Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval by Nina Munkholt Jakobsen and Michael Sørensen

2015-34: A Jump-Diffusion Model with Stochastic Volatility and Durations by Wei Wei and Denis Pelletier

2015-35: Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence by Yunus Emre Ergemen and Carlos Velasco - Published in Journal of Econometrics, Vol. 196, No. 2, 2017, p. 248–258.

 2015-36: Nonlinear dynamic interrelationships between real activity and stock returns by Markku Lanne and Henri Nyberg

2015-37: Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints by Markku Lanne and Jani Luoto

2015-38: Supervision in Factor Models Using a Large Number of Predictors by Lorenzo Boldrini and Eric Hillebrand

2015-39: The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach by Lorenzo Boldrini and Eric Hillebrand

2015-40: Forecasting the Global Mean Sea Level, a Continuous-Time State-Space Approach by Lorenzo Boldrini

2015-41: Parametric Portfolio Policies with Common Volatility Dynamics by Yunus Emre Ergemen and Abderrahim Taamouti

2015-42: Rough electricity: a new fractal multi-factor model of electricity spot prices by Mikkel Bennedsen

2015-43: Hybrid scheme for Brownian semistationary processes by Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen

2015-44: Expected Business Conditions and Bond Risk Premia by Jonas Nygaard Eriksen

2015-45: Inference from high-frequency data: A subsampling approach by Kim Christensen, Mark Podolskij, Nopporn Thamrongrat and Bezirgen Veliyev

2015-46: A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method by Asger Lunde, Anne Floor Brix and Wei Wei

2015-47: Testing constancy of unconditional variance in volatility models by misspecification and specification tests by Annastiina Silvennoinen and Timo Teräsvirta

2015-48: The Role of Credit in Predicting US Recessions by Harri Pönkä

2015-49: Credit policies before and during the financial crisis by Palle Sørensen

2015-50: Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach by Shin Kanaya

2015-51: Exponential Smoothing, Long Memory and Volatility Prediction by Tommaso Proietti

2015-52: On U- and V-statistics for discontinuous Itô semimartingale by Mark Podolskij, Christian Schmidt and Mathias Vetter

2015-53: A weak limit theorem for numerical approximation of Brownian semi-stationary processes by Mark Podolskij and Nopporn Thamrongrat

2015-54: Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk by Peter Christoffersen, Mathieu Fournier, Kris Jacobs and Mehdi Karoui

2015-55: Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels by Kadir G. Babaglou, Peter Christoffersen, Steven L. Heston and Kris Jacobs

2015-56: Limit theorems for stationary increments Lévy driven moving averages by Andreas Basse-O'Connor, Raphaël Lachièze-Rey and Mark Podolskij

2015-57: On critical cases in limit theory for stationary increments Lévy driven moving averages by Andreas Basse-O'Connor and Mark Podolskij

2015-58: Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads by Yunus Emre Ergemen, Niels Haldrup and Carlos Vladimir Rodríguez-Caballero. Published in Energy Economics, Vol. 60, No. November, 2016, p. 79-96.

2015-59: Long Memory, Fractional Integration, and Cross-Sectional Aggregation by Niels Haldrup and J. Eduardo Vera-Valdés

2015-60Edgeworth expansion for the pre-averaging estimator by Mark Podolskij, Bezirgen Veliyev and Nakahiro Yoshida

2015-61: Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models by Jakob Guldbæk Mikkelsen, Eric Hillebrand and Giovanni Urga