2016-01Fixed-b Inference in the Presence of Time-Varying Volatility by Matei Demetrescu, Christoph Hanck and Robinson Kruse

2016-02: System Estimation of Panel Data Models under Long-Range Dependence by Yunus Emre Ergemen. Published in Journal of Business and Economic Statistics, Vol. 37, No. 1, 2019, p. 13-26.

2016-03Dynamic Global Currency Hedging by Bent Jesper Christensen and Rasmus T. Varneskov

2016-04Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression by Markku Lanne and Jani Luoto

2016-05Generalized Efficient Inference on Factor Models with Long-Range Dependence by Yunus Emre Ergemen

2016-06House price fluctuations and the business cycle dynamics by Girum D. Abate and Luc Anselin

2016-07: Volatility Discovery by Gustavo Fruet Dias, Cristina M. Scherrer and Fotis Papailias

2016-08A generalized exponential time series regression model for electricity prices by N. Haldrup, O. Knapik and T. Proietti

2016-09Assessing Gamma kernels and BSS/LSS processes by Ole E. Barndorff-Nielsen

2016-10Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions by Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg

2016-11:The predictive power of dividend yields for future infl‡ation: Money illusion or rational causes? by Tom Engsted and Thomas Q. Pedersen

2016-12Inference in partially identified models with many moment inequalities using Lasso by Federico A. Bugni, Mehmet Caner, Anders Bredahl Kock and Soumendra Lahiri

2016-13Arbitrage without borrowing or short selling? by Mikko S. Pakkanen and Jani Lukkarinen

2016-14Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index by Andrew J.G. Cairns, Malene Kallestrup-Lamb, Carsten P.T. Rosenskjold, David Blake and Kevin Dowd

2016-15The Local Fractional Bootstrap by Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde and Mikko S. Pakkanen

2016-16: Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution by Martin M. Andreasen and Kasper Jørgensen

2016-17: Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting by Robinson Kruse, Christian Leschinski and Michael Will

2016-18: Tightness of M-estimators for multiple linear regression in time series by Søren Johansen and Bent Nielsen

2016-19: Volume, Volatility and Public News Announcements by Tim Bollerslev, Jia Li and Yuan Xue

2016-20: Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach by Andrea Barletta, Paolo Santucci de Magistris and Francesco Violante 

2016-21: Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data by Mikkel Bennedsen

2016-22: The cointegrated vector autoregressive model with general deterministic terms by Søren Johansen and Morten Ørregaard Nielsen

2016-23: A Dynamic Multi-Level Factor Model with Long-Range Dependence by Yunus Emre Ergemen and Carlos Vladimir Rodríguez-Caballero

2016-24: Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function by Shin Kanaya

2016-25: Component shares in continuous time by Gustavo Fruet Dias, Marcelo Fernandes and Cristina M. Scherrer

2016-26: Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia by Martin M. Andreasen, Tom Engsted, Stig V. Møller and Magnus Sander

2016-27: Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach by Kim Christensen, Ulrich Hounyo and Mark Podolskij

2016-28: The Drift Burst Hypothesis by Kim Christensen, Roel Oomen and Roberto Renò

2016-29:  Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation by Hossein Asgharian, Charlotte Christiansen, Rangan Gupta and Ai Jun Hou

2016-30: Forecasting daily political opinion polls using the fractionally cointegrated VAR model by Morten Ørregaard Nielsen and Sergei S. Shibaev

2016-31: Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure by Carlos Vladimir Rodríguez-Caballero

2016-32: A New Index of Housing Sentiment by Lasse Bork, Stig V. Møller and Thomas Q. Pedersen

2016-33: Estimation of the global regularity of a multifractional Brownian motion  by Joachim Lebovits and Mark Podolskij