Daniel Borup
Daniel Borup is an Assistant Professor at the Department of Economics and Business Economics, Aarhus University, and a research fellow at CREATES and the Danish Finance Institute. He holds a PhD in Economics from Aarhus University (2019). During 2017, Daniel visited the Department of Economics at the University of Pennsylvania. His main research interests are in asset pricing, forecasting, financial econometrics, and applications of machine learning methods to finance.
Borup, D. & Montes Schütte, E. C. (2022). Asset pricing with data revisions. Journal of Financial Markets, 59(Part B), [100620]. https://doi.org/10.1016/j.finmar.2021.100620
Borup, D. & Montes Schütte, E. C. (2022). In search of a job: Forecasting employment growth using Google Trends. Journal of Business and Economic Statistics, 40(1), 186-200. https://doi.org/10.1080/07350015.2020.1791133
Bertelsen, K. P., Borup, D. & Jakobsen, J. S. (2021). Stock market volatility and public information flow: A non-linear perspective. Economics Letters, 204, [109905]. https://doi.org/10.1016/j.econlet.2021.109905
Borup, D. (2019). Asset pricing model uncertainty. Journal of Empirical Finance, 54, 166-189. https://doi.org/10.1016/j.jempfin.2019.07.005
Borup, D. & Jakobsen, J. S. (2019). Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model. Quantitative Finance, 19(11), 1839-1855. https://doi.org/10.1080/14697688.2019.1614653
