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Department of Economics and Business Economics

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Papers in peer-reviewed journals

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Racine, J. S. & Van Keilegom, I. (2020). A Smooth Nonparametric, Multivariate, Mixed-Data Location-Scale Test. Journal of Business and Economic Statistics, 38(4), 784-795. https://doi.org/10.1080/07350015.2019.1574227

Nonejad, N. (2020). A detailed look at crude oil price volatility prediction using macroeconomic variables. Journal of Forecasting, 39(7), 1119-1141. https://doi.org/10.1002/for.2679

Atanasov, V., Møller, S. V. & Priestley, R. (2020). Consumption Fluctuations and Expected Returns. Journal of Finance, 75(3), 1677-1713. https://doi.org/10.1111/jofi.12870

Hillebrand, E., Johansen, S. & Schmith, T. (2020). Data revisions and the statistical relation of global mean sea level and surface temperature. Econometrics, 8(4), 1-19. [41]. https://doi.org/10.3390/econometrics8040041

Podolskij, M., Veliyev, B. & Yoshida, N. (2020). Edgeworth expansion for Euler approximation of continuous diffusion processes. Annals of Applied Probability, 30(4), 1971-2003. https://doi.org/10.1214/19-AAP1549

Hougaard Jensen, S. E., Kallestrup-Lamb, M., Mogensen, S. & Tanggaard, C. (2020). Forbrugerens udfordringer med forsikrings- og pensionsbeslutninger. Finans/Invest, 2020(2). http://finansinvest.dk/product/nr-2-2020/

Holt, M. T. & Terasvirta, T. (2020). Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis. Journal of Econometrics, 214(1), 198-215. https://doi.org/10.1016/j.jeconom.2019.05.011

Bollerslev, T., Li, S. Z. & Zhao, B. (2020). Good Volatility, Bad Volatility, and the Cross Section of Stock Returns. Journal of Financial and Quantitative Analysis, 55(3), 751-781. https://doi.org/10.1017/S0022109019000097

Lunde, A. & Torkar, M. (2020). Including news data in forecasting macro economic performance of China. Computational Management Science, 17(4), 585-611. https://doi.org/10.1007/s10287-020-00382-5

Hounyo, U. & Varneskov, R. T. (2020). Inference for local distributions at high sampling frequencies: A bootstrap approach. Journal of Econometrics, 215(1), 1-34. https://doi.org/10.1016/j.jeconom.2019.09.001

Bugni, F. A., Caner, M., Bredahl Kock, A. & Lahiri, S. (2020). Inference in partially identified models with many moment inequalities using Lasso. Journal of Statistical Planning and Inference, 206, 211-248. https://doi.org/10.1016/j.jspi.2019.09.013

Kallestrup-Lamb, M., Kjærgaard, S. & Rosenskjold, C. P. T. (2020). Insight into stagnating adult life expectancy: Analyzing cause of death patterns across socioeconomic groups. Health Economics (United Kingdom), 29(12), 1728-1743. https://doi.org/10.1002/hec.4166

Vladimir Rodríguez-Caballero, C. & Eduardo Vera-Valdés, J. (2020). Long-lasting economic effects of pandemics: Evidence on growth and unemployment. Econometrics, 8(3), [37]. https://doi.org/10.3390/econometrics8030037

Li, M., Koopman, S. J., Lit, R. & Petrova, D. (2020). Long-term forecasting of El Niño events via dynamic factor simulations. Journal of Econometrics, 214(1), 46-66. https://doi.org/10.1016/j.jeconom.2019.05.004

Kjærgaard, S., Ergemen, Y. E., Bergeron-Boucher, M-P., Oeppen, J. & Kallestrup-Lamb, M. (2020). Longevity forecasting by socio-economic groups using compositional data analysis. Journal of the Royal Statistical Society, Series A (Statistics in Society), 183(3), 1167-1187. https://doi.org/10.1111/rssa.12555

Tranberg, B., Hansen, R. T. & Catania, L. (2020). Managing Volumetric Risk of Long-term Power Purchase Agreements. Energy Economics, 85, [104567]. https://doi.org/10.1016/j.eneco.2019.104567

Bollerslev, T., Patton, A. J. & Quaedvlieg, R. (2020). Multivariate Leverage Effects and Realized Semicovariance GARCH Models. Journal of Econometrics, 217(2), 411-430. https://doi.org/10.1016/j.jeconom.2019.12.011

Christiansen, C., Grønborg, N. S. & Nielsen, O. L. (2020). Mutual Fund Selection for Realistically Short Samples. Journal of Empirical Finance, 55(January), 218-240. https://doi.org/10.1016/j.jempfin.2019.12.001

Blasques, F., Koopman, S. J. & Lucas, A. (2020). Nonlinear autoregressive models with optimality properties. Econometric Reviews, 39(6), 559-578. https://doi.org/10.1080/07474938.2019.1701807

Vera-Valdés, J. E. (2020). On long memory origins and forecast horizons. Journal of Forecasting, 39(5), 811-826. https://doi.org/10.1002/for.2651

Sauri, O. (2020). On the divergence and vorticity of vector ambit fields. Stochastic Processes and Their Applications, 130(10), 6184-6225. https://doi.org/10.1016/j.spa.2020.05.007

Borowska, A., Hoogerheide, L., Koopman, S. J. & van Dijk, H. K. (2020). Partially censored posterior for robust and efficient risk evaluation. Journal of Econometrics, 217(2), 335-355. https://doi.org/10.1016/j.jeconom.2019.12.007

Nonejad, N. (2020). Reproducing the results in “Does the time-consistency problem explain the behavior of inflation in the United States?” using the Metropolis–Hastings algorithm. Empirical Economics, 59(5), 2559-2571. https://doi.org/10.1007/s00181-019-01778-2

Catania, L. & Luati, A. (2020). Robust Estimation of a Location Parameter with the Integrated Hogg Function. Statistics & Probability Letters, 164, [108812]. https://doi.org/10.1016/j.spl.2020.108812

Bennedsen, M. (2020). Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data. Econometric Reviews, 39(9), 875-903. https://doi.org/10.1080/07474938.2020.1721832

Pedersen, T. Q. & Schütte, E. C. M. (2020). Testing for explosive bubbles in the presence of autocorrelated innovations. Journal of Empirical Finance, 58, 207-225. https://doi.org/10.1016/j.jempfin.2020.06.002

Andreasen, M. M. & Jørgensen, K. (2020). The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models. Journal of Monetary Economics, 111, 95-117. https://doi.org/10.1016/j.jmoneco.2019.01.008

Bräuning, F. & Koopman, S. J. (2020). The dynamic factor network model with an application to international trade. Journal of Econometrics, 216(2), 494-515. https://doi.org/10.1016/j.jeconom.2019.10.007

Christensen, K., Christiansen, C. & Posselt, A. M. (2020). The economic value of VIX ETPs. Journal of Empirical Finance, 58, 121-138. https://doi.org/10.1016/j.jempfin.2020.05.009

Kruse, R. & Wegener, C. (2020). Time-varying persistence in real oil prices and its determinant. Energy Economics, 85, [104328]. https://doi.org/10.1016/j.eneco.2019.02.020

Hualde, J. & Nielsen, M. Ø. (2020). Truncated sum of squares estimation of fractional time series models with deterministic trends. Econometric Theory, 36(4), 751-772. https://doi.org/10.1017/S0266466619000161

Balter, A. G., Kallestrup-Lamb, M. & Rangvid, J. (2020). Variability in pension products: A comparison study between the Netherlands and Denmark. Annals of Actuarial Science, 14(2), 338-357. https://doi.org/10.1017/S1748499520000056

Barletta, A., de Magistris, P. S. & Violante, F. (2019). A Non-Structural Investigation of VIX Risk Neutral Density. Journal of Banking & Finance, 99, 1-20. https://doi.org/10.1016/j.jbankfin.2018.11.012

Haldrup, N. & Rosenskjold, C. P. T. (2019). A Parametric Factor Model of the Term Structure of Mortality. Econometrics, 7(9), 1-22. [7]. https://doi.org/10.3390/econometrics7010009

Andreasen, M. M. & Meldrum, A. (2019). A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States. Journal of Financial and Quantitative Analysis, 54(5), 2261-2292. https://doi.org/10.1017/S0022109018001576

Proietti, T., Marczak, M. & Mazzi, G. (2019). A class of periodic trend models for seasonal time series. Journal of Forecasting, 38(2), 106-121. https://doi.org/10.1002/for.2562

Hounyo, U. (2019). A local Gaussian bootstrap method for realized volatility and realized beta. Econometric Theory, 35(2), 360-416. https://doi.org/10.1017/S0266466618000129

Rodríguez-Caballero, C. V. & Caporin, M. (2019). A multilevel factor approach for the analysis of CDS commonality and risk contribution. Journal of International Financial Markets, Institutions and Money, 63, [101144]. https://doi.org/10.1016/j.intfin.2019.101144

Blasques, F., Gorgi, P. & Koopman, S. J. (2019). Accelerating score-driven time series models. Journal of Econometrics, 212(2), 359-376. https://doi.org/10.1016/j.jeconom.2019.03.005

Christensen, B. J. & van der Wel, M. (2019). An asset pricing approach to testing general term structure models. Journal of Financial Economics, 134(1), 165-191. https://doi.org/10.1016/j.jfineco.2019.03.010

Borup, D. (2019). Asset pricing model uncertainty. Journal of Empirical Finance, 54, 166-189. https://doi.org/10.1016/j.jempfin.2019.07.005

Djogbenou, A. A., MacKinnon, J. G. & Nielsen, M. Ø. (2019). Asymptotic theory and wild bootstrap inference with clustered errors. Journal of Econometrics, 212(2), 393-412. https://doi.org/10.1016/j.jeconom.2019.04.035

Catania, L. & Sandholdt, M. (2019). Bitcoin at High Frequency. Journal of Risk and Financial Management, 12(1), [36]. https://doi.org/10.3390/jrfm12010036

Dovonon, P., Gonçalves, S., Hounyo, U. & Meddahi, N. (2019). Bootstrapping High-Frequency Jump Tests. Journal of the American Statistical Association, 114(526), 793-803. https://doi.org/10.1080/01621459.2018.1447485

Johansen, S. & Nielsen, B. (2019). Boundedness of M-estimators for linear regression in time series. Econometric Theory, 35(3), 653-683. https://doi.org/10.1017/S0266466618000257

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

Kruse, R., Leschinski, C. & Will, M. (2019). Comparing Predictive Accuracy under Long Memory, With an Application to Volatility Forecasting. Journal of Financial Econometrics, 17(2), 180-228. https://doi.org/10.1093/jjfinec/nby011

Jensen, U. T., Andersen, L. B., Ladegaard, L., Bøllingtoft, A., Mundbjerg Eriksen, T. L., Holten, A-L., Jacobsen, C. B., Ladenburg, J., Nielsen, P. A., Salomonsen, H. H., Westergård-Nielsen, N. & Würtz, A. (2019). Conceptualizing and Measuring Transformational and Transactional Leadership. Administration & Society, 51(1), 3-33. https://doi.org/10.1177/0095399716667157

Mikkelsen, J. G., Hillebrand, E. & Urga, G. (2019). Consistent estimation of time-varying loadings in high-dimensional factor models. Journal of Econometrics, 208(2), 535-562. https://doi.org/10.1016/j.jeconom.2018.09.020

Eriksen, J. N. (2019). Cross-sectional return dispersion and currency momentum. Journal of Empirical Finance, 53, 91-108. https://doi.org/10.1016/j.jempfin.2019.07.002

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Revised 14.01.2021 -

Solveig Nygaard Sørensen