PhD theses

2022

2021

2020

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

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

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

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

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

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

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

2012

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

2010

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

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

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

Revised 17.05.2023

CREATES