PhD theses




  • 2020, Nielsen, Ole Linnemann, Essays on Institutional Investing
  • 2020, Mühlbach, Nicolaj Adam Søndergaard, Essays in Applied Econometrics and Causal Machine Learning
  • 2020, Thimsen, Christoffer: Essays on Accounting, Banking and Finance
  • 2020, Steffensen, Sigurd A.M.: Expected Returns and the Money Market
  • 2020, Liengaard, Benjamin: Advances in PLS-SEM: Fresh Insights and Illustrations
  • 2020, Hansen, Jorge W.: Essays on Dynamic Term Structure Models
  • 2020, Norén, Vicke A., Essays on Household and Sustainable Finance


  • 2019, Lindén, Erik, Competition Economics and Damage Estimation - Empirical Theory and Practice
  • 2019, Jensen, Thomas Mogensbjerg, Essays on Dynamic Term Structure Models.
  • 2019, Borup, Daniel, Econometric Modeling and Forecasting in Financial Markets.
  • 2019, Thyrsgaard, Martin, Intraday Phenomena i Financial Markets.
  • 2019, Bodilsen, Simon, How high-frequency data benefits volatility modeling.
  • 2019, Dang, Mads, Estimating the markup in the New Keynesian Model.
  • 2019, Zeng, Ye, Data-driven sample split and out-of-sample tests.
  • 2019, Leong, Wei Ruen, GARCH at Small Sample Sizes: Remedies and Applications.


  • 2018, Schütte, Erik Christian Montes, Asset Mispricing and Forecasting.
  • 2018, Mirone, Giorgio, Measurement, assessment, and forecast of integrated variance.
  • 2018, Jakobsen, Johan Stax, Modeling Financial Market Volatility: A Macro-Finance Perspective
  • 2018, Turatti, Douglas Eduardo, Monte Carlo Analysis of Time-Varying Parameter Models with Stochastic Volatility
  • 2018, Jørgensen, Kasper, Bond Risk Premia and the Macroeconomy
  • 2018, Acosta, Silvana, Econometric Analysis of Spot Variances, Covariances and Correlations


  • 2017, Knapik, Oskar, Econometric Modelling and Forecasting of Electricity Prices
  • 2017, Bennedsen, Mikkel, Rough Volatility: Theory and Applications
  • 2017, Laursen, Bo, Econometric Analysis of Time-Varying Volatility in Financial Markets
  • 2017, Carlini, Federico, Identification of Fractionally Cointegrated VAR Models
  • 2017, Rosenskjold, Carsten, Econometric Modelling of Mortality and its Socio-Economic Differences


  • 2016, Mikkelsen, Jakob. Guldbæk, Time-Varying Loadings in Factor Models: Theory and Applications
  • 2016, Jensen, Magnus David Sander, Returns, Dividends, and Optimal Portfolios
  • 2016, Vera-Valdés, José Eduardo, Essays in Long Memory
  • 2016, Rodríguez-Caballero, Carlos Vladimir, On Factor Analysis with Long-Range Dependence
  • 2016, Abate, Girum D., Essays in Spatial Econometrics
  • 2016, Kronborg, Anders, Methods and Applications to DSGE Models
  • 2016, Sørensen, Palle, Financial Frictions, Price Rigidities, and the Business Cycle
  • 2016, Boldrini, Lorenzo, Essays on Forecasting with Linear State-Space Systems


  • 2015, Anne Floor Brix, Estimation of Continuous Time Models Driven by Lévy Processes
  • 2015, Manuel Sebastian Lukas, Estimation and Model Specification for Econometric Forecasting
  • 2015, Kasper Vinther Olesen, Realizing Conditional Distributions and Coherence Across Financial Asset Classes
  • 2015, Juan Carlos Parra-Alvarez, Solution Methods and Inference in Continuous-Time Dynamic Equilibrium Economies
  • 2015, Orimar Sauri, Lévy Semistationary Models with Applications in Energy Markets
  • 2015, Jonas Nygaard Eriksen, Business Cycles and Expected Returns
  • 2015, Simon Juul Hviid, Dynamic Models of the Housing Market


  • 2014, Niels Strange Hansen, Forecasting Based on Unobserved Variables
  • 2014, Nima Nonejad, Essays in Applied Bayesian Particle and Markov Chain Monte Carlo Techniques in Time Series Econometrics
  • 2014, Rasmus T. Varneskov, Econometric Analysis of Volatility in Financial Additive Noise Models


  • 2013, Martin Klint Hansen, Aspects of News in Financial Markets


  • 2012, Johannes Tang Kristensen, From Determinants of Low Birthweight to Factor-Based Macroeconomic Forecasting
  • 2012, Zhenjiang Qin, Essays on Heterogeneous Beliefs, Public Information, and Asset Pricing
  • 2012, Yukai Yang, Modelling Nonlinear Vector Economic Time Series
  • 2012, Mateusz P. Dziubinski, Essays on Financial Econometrics and Derivatives Pricing
  • 2012, Laurent Callot, Large Panels and High-dimensional Vector Autoregressive Models


  • 2011, Christian Bach, The Game of Risk
  • 2011, Stefan Holst Bache, Quantile Regression: Three Econometric Studies
  • 2011, Anders Bredahl Kock, Forecasting and Oracle Efficient Econometrics


  • 2010, Bork, Lasse, Macro Factors, Monetary Policy Analysis and Affine Term Structure Models
  • 2010, Hansen, Eske Stig, Essays in Electricity Market Modeling
  • 2010, Pedersen, Thomas Quistgaard, Return Predictability and Dynamic Asset Allocation
  • 2010, Rasmussen, Torben Beedholm, Essays on Dynamic Interest Rate Models and Tests for Jumps in Asset Prices
  • 2010, Tsiarias, Leonidas, Essays in Financial Econometrics


  • 2009, Andreasen, Martin Møller, DSGE Models and Term Structure Models with Macroeconomic Variables
  • 2009, Mølgaard, Rune, Essays on Dynamic Asset Allocation and Electricity Derivatives
  • 2009, Møller, Stig Vinther, Habit persistence, consumption based asset pricing, and time-varying expected returns
  • 2009, Nielsen, Frank Steen, On the estimation of fractionally integrated processes


  • 2008, Hjortshøj, Toke Lilhauge, Essays on Empirical Corporate Finance - Managerial Incentives, Information Disclosure, and Bond Covenants
  • 2008, Lange, Theis, Asymptotic Theory in Financial Time Series Models with Conditional Heteroscedasticity (University of Copenhagen)
  • 2008, Skovmand, David, Libor Market Models - Theory and Applications
  • 2008, Zhu, Jie, Essays on Econometric Analysis of Price and Volatility Behavior in Asset Markets