2018-01: Forecaster’s utility and forecasts coherence by Emilio Zanetti Chini

2018-02: The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets by Torben G. Andersen, Nicola Fusari and Viktor Todorov

2018-03: Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span by Torben G. Andersen, Nicola Fusari, Viktor Todorov and Rasmus T. Varneskov

2018-04: Option Panels in Pure-Jump Settings by Torben G. Andersen, Nicola Fusari, Viktor Todorov and Rasmus T. Varneskov

2018-05: Time-Varying Periodicity in Intraday Volatility by Torben G. Andersen, Martin Thyrsgaard and Viktor Todorov

2018-06: A Parametric Factor Model of the Term Structure of Mortality by Niels Haldrup and Carsten P. T. Rosenskjold

2018-07: The Risk Premia Embedded in Index Options by Torben G. Andersen, Nicola Fusari and Viktor Todorov

2018-08: Short-Term Market Risks Implied by Weekly Options by Torben G. Andersen, Nicola Fusari and Viktor Todorov

2018-09: Consistent Inference for Predictive Regressions in Persistent VAR Economies by Torben G. Andersen and Rasmus T. Varneskov

2018-10: Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium by Isabel Casas, Xiuping Mao and Helena Veiga

2018-11: Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects by Yunus Emre Ergemen and Carlos Velasco. Published in Journal of Time Series Analysis, 01.01.2018.

2018-12: Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation by Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou

2018-13: Forecasting dynamically asymmetric fluctuations of the U.S. business cycle by Emilio Zanetti Chini

2018-14: Models with Multiplicative Decomposition of Conditional Variances and Correlations by Cristina Amado, Annastiina Silvennoinen and Timo Teräsvirta

2018-15: The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016 by Changli He, Jian Kang, Timo Teräsvirta and Shuhua Zhang

2018-16: Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach by Ulrich Hounyo and Rasmus T. Varneskov

2018-17: Nonstationary cointegration in the fractionally cointegrated VAR model by Søren Johansen and Morten Ørregaard Nielsen

2018-18: Cross-sectional noise reduction and more efficient estimation of Integrated Variance by Giorgio Mirone

2018-19: The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing by Kim Christensen, Martin Thyrsgaard and Bezirgen Veliyev

2018-20: Diffusion Copulas: Identification and Estimation by Ruijun Bu, Kaddour Hadri and Dennis Kristensen

2018-21: The drift burst hypothesis by Kim Christensen, Roel Oomen and Roberto Renò

2018-22: Time-varying parameters: New test tailored to applications in finance and macroeconomics by Russell Davidson and Niels S. Grønborg

2018-23: Forecasters’ utility and forecast coherence by Emilio Zanetti Chini

2018-24: Disappearing money illusion by Tom Engsted and Thomas Q. Pedersen

2018-25: In Search of a Job: Forecasting Employment Growth in the US using Google Trends by Erik Christian Montes Schütte

2018-26: State-dependent Hawkes processes and their application to limit order book modelling  by Maxime Morariu-Patrichi and Mikko Pakkanen

2018-27: Threshold regression with endogeneity for short panels by Tue Gørgens and Allan H. Würtz

2018-28: Edgeworth expansion for Euler approximation of continuous diffusion processes by Mark Podolskij, Bezirgen Veliyev and Nakahiro Yoshida

2018-29: Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD by Isabel Casas, Jiti Gao and Shangyu Xie

2018-30: State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering by Yukai Yang and Luc Bauwens

2018:31: Transition from the Taylor rule to the zero lower bound by Stan Hurn, Nicholas Johnson, Annastiina Silvennoinen and Timo Teräsvirta

2018-32: A mixed-frequency Bayesian vector autoregression with a steady-state prior by Sebastian Ankargren, Måns Unosson and Yukai Yang

2018-33: A multilevel factor approach for the analysis of CDS commonality and risk contribution by Carlos Vladimir Rodríguez-Caballero and Massimiliano Caporin

2018-34: Fast and Wild: Bootstrap Inference in Stata Using boottest by James G. MacKinnon, Morten Ørregaard Nielsen, David Roodman and Matthew D. Webb

2018-35: Economic significance of commodity return forecasts from the fractionally cointegrated VAR model by Sepideh Dolatabadim, Paresh Kumar Narayan, Morten Ørregaard Nielsen and Ke Xu

2018-36: Mutual Fund Selection for Realistically Short Samples by Charlotte Christiansen, Niels S. Grønborg and Ole L. Nielsen

2018-37: Realizing Correlations Across Asset Classes  by Niels S. Grønborg, Asger Lunde, Kasper V. Olesen and Harry Vander Elst

2018-38: The dynamics of factor loadings in the cross-section of returns by Riccardo Borghi, Eric Hillebrand, Jakob Mikkelsen and Giovanni Urga