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Title: Impulse Response Function Inference from Strongly Persistent Processes
Title: Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models
Title: Instability of uncovered interest parity with time varying parameters
Title: Volatility jumps and their economic determinants
Title: FIEGARCH-M
For PhD students and supervisors
For professors, associate and assistant professors and postdocs
Title: Volatility, Correlation and Tails for Systemic Risk Measurement
Title: Modelling Changes in the Unconditional Variance of Long Stock Return Series
Title: Bootstrapping pre-averaged realized volatility under market microstructure noise
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