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Department of Economics and Business Economics

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Papers in peer-reviewed journals

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Catania, L. (2022). A Stochastic Volatility Model with a General Leverage Specification. Journal of Business and Economic Statistics, 40(2), 678-689. https://doi.org/10.1080/07350015.2020.1855187

Kang, J., Jakobsen, J. S., Silvennoinen, A., Teräsvirta, T. & Wade, G. (2022). A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. Econometrics, 10(3), [30]. https://www.mdpi.com/2225-1146/10/3/30/pdf

Blasques, F., Koopman, S. J. & Nientker, M. (2022). A time-varying parameter model for local explosions. Journal of Econometrics, 227(1), 65-84. https://doi.org/10.1016/j.jeconom.2021.05.008

Cavaliere, G., Nielsen, M. Ø. & Robert Taylor, A. M. (2022). Adaptive Inference in Heteroscedastic Fractional Time Series Models. Journal of Business and Economic Statistics, 40(1), 50-65. https://doi.org/10.1080/07350015.2020.1773275

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

Brownlees, C., Gudmundsson, G. S. & Lugosi, G. (2022). Community Detection in Partial Correlation Network Models. Journal of Business and Economic Statistics, 40(1), 216-226. https://doi.org/10.1080/07350015.2020.1798241

Seong, D., Cho, J. S. & Teräsvirta, T. (2022). Comprehensively testing linearity hypothesis using the smooth transition autoregressive model. Econometric Reviews, 41(8), 966-984. https://doi.org/10.1080/07474938.2022.2091713

Catania, L., Di Mari, R. & Santucci de Magistris, P. (2022). Dynamic Discrete Mixtures for High Frequency Prices. Journal of Business and Economic Statistics, 40(2), 559-577. https://doi.org/10.1080/07350015.2020.1840994

Rodríguez-Caballero, C. V. (2022). Energy consumption and gdp: a panel data analysis with multi-level cross-sectional dependence. Econometrics and Statistics, 23(1), 128-146. https://doi.org/10.1016/j.ecosta.2020.11.002

Campos-Martins, S. & Amado, C. (2022). Financial market linkages and the sovereign debt crisis. Journal of International Money and Finance, 123, [102596]. https://doi.org/10.1016/j.jimonfin.2021.102596

Ergemen, Y. E. (2022). Forecasting Inflation Rates with Multi-Level International Dependence. Economics Letters, 214, [110456]. https://doi.org/10.1016/j.econlet.2022.110456

Catania, L. & Grassi, S. (2022). Forecasting cryptocurrency volatility. International Journal of Forecasting, 38(3), 878-894. https://doi.org/10.1016/j.ijforecast.2021.06.005

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

Kerkemeier, M. & Kruse-Becher, R. (2022). Join the club! Dynamics of global ESG indices convergence. Finance Research Letters, 49, [103085]. https://doi.org/10.1016/j.frl.2022.103085

Winter, J. D., Koopman, S. J. & Hindrayanto, I. (2022). Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies*. Oxford Bulletin of Economics and Statistics, 84(1), 57-79. https://doi.org/10.1111/obes.12459

Blasques, F., van Brummelen, J., Koopman, S. J. & Lucas, A. (2022). Maximum likelihood estimation for score-driven models. Journal of Econometrics, 227(2), 325-346. https://doi.org/10.1016/j.jeconom.2021.06.003

Bergeron-Boucher, M. P. & Kjærgaard, S. (2022). Mortality forecasting at age 65 and above: an age-specific evaluation of the Lee-Carter model. Scandinavian Actuarial Journal, 2022(1), 64-79. https://doi.org/10.1080/03461238.2021.1928542

Zhang, C., Li, J. & Bollerslev, T. (2022). Occupation Density Estimation for Noisy High-Frequency Data. Journal of Econometrics, 227(1), 189-211. https://doi.org/10.1016/j.jeconom.2020.05.013

Parra-Alvarez, J. C., Posch, O. & Schrimpf, A. (2022). Peso problems in the estimation of the C-CAPM. Quantitative Economics, 13(1), 259-313. https://doi.org/10.3982/QE1478

Coffman, V. R., Søndergaard Jensen, A., Trabjerg, B. B., Pedersen, C. B., Hansen, B., Sigsgaard, T., Olsen, J., Schullehner, J., Pedersen, M. & Stayner, L. T. (2022). Prenatal exposure to nitrate from drinking water and the risk of preterm birth: A Danish nationwide cohort study. Environmental Epidemiology, 6(5), E223. https://doi.org/10.1097/EE9.0000000000000223

Grønborg, N. S., Lunde, A., Olesen, K. V. & Elst, H. V. (2022). Realizing Correlations Across Asset Classes. Journal of Financial Markets, 59(Part A), [100729]. https://doi.org/10.1016/j.finmar.2022.100729

Ventosa-Santaulària, D., Vera-Valdés, J. E., Łasak, K. & Ramírez-Vargas, R. (2022). Spurious multivariate regressions under fractionally integrated processes. Communications in Statistics - Theory and Methods, 51(7), 2034-2056. https://doi.org/10.1080/03610926.2020.1758945

Morariu-Patrichi, M. & Pakkanen, M. S. (2022). State-dependent Hawkes processes and their application to limit order book modelling. Quantitative Finance, 22(3), 563-583. https://doi.org/10.1080/14697688.2021.1983199

Christensen, K., Oomen, R. & Renò, R. (2022). The drift burst hypothesis. Journal of Econometrics, 227(2), 461-497. https://doi.org/10.1016/j.jeconom.2020.11.004

Caporin, M., Fontini, F. & Santucci de Magistris, P. (2022). The long-run relationship between the Italian day-ahead and balancing electricity prices. Energy Systems: Optimization, Modeling, Simulation, and Economic Aspects, 13(1), 111-136. https://doi.org/10.1007/s12667-020-00392-x

Vera-Valdés, J. E. (2022). The persistence of financial volatility after COVID-19. Finance Research Letters, 44, [102056]. https://doi.org/10.1016/j.frl.2021.102056

Hualde, J. & Nielsen, M. Ø. (2022). Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. Electronic Journal of Statistics, 16(1), 2884-2946. https://doi.org/10.1214/22-EJS2009

de Bruijn, J. A., Daniell, J. E., Pomonis, A., Gunasekera, R., Macabuag, J., de Ruiter, M. C., Koopman, S. J., Bloemendaal, N., de Moel, H. & Aerts, J. C. J. H. (2022). Using rapid damage observations for Bayesian updating of hurricane vulnerability functions: A case study of Hurricane Dorian using social media. International Journal of Disaster Risk Reduction, 72, [102839]. https://doi.org/10.1016/j.ijdrr.2022.102839

Cataño, D. H., Rodríguez-Caballero, C. V., Peña, D. & Chiann, C. (2022). Wavelet estimation for factor models with time-varying loadings. International Journal of Wavelets, Multiresolution and Information Processing, 20(1), [2150033]. https://doi.org/10.1142/S0219691321500338

Rodríguez-Caballero, C. V. & Vera-Valdés, J. E. (2021). Air pollution and mobility, what carries covid-19? Econometrics, 9(4), [37]. https://doi.org/10.3390/econometrics9040037

Bodilsen, S., Eriksen, J. N. & Grønborg, N. S. (2021). Asset pricing and FOMC press conferences. Journal of Banking & Finance, 128, [106163]. https://doi.org/10.1016/j.jbankfin.2021.106163

Hillebrand, E., Lukas, M. & Wei, W. (2021). Bagging weak predictors. International Journal of Forecasting, 37(1), 237-254. https://doi.org/10.1016/j.ijforecast.2020.05.002

He, C., Kang, J., Teräsvirta, T. & Zhang, S. (2021). Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model. Energy Economics, 97, [105171]. https://doi.org/10.1016/j.eneco.2021.105171

Andersen, T. G. & Varneskov, R. T. (2021). Consistent inference for predictive regressions in persistent economic systems. Journal of Econometrics, 224(1), 215-244. https://doi.org/10.1016/j.jeconom.2020.04.051

Bennedsen, M. (2021). Designing a statistical procedure for monitoring global carbon dioxide emissions. Climatic Change, 166(3-4), [32]. https://doi.org/10.1007/s10584-021-03123-y

Catania, L. (2021). Dynamic Adaptive Mixture Models with an Application to Volatility and Risk. Journal of Financial Econometrics, 19(4), 531-564. https://doi.org/10.1093/jjfinec/nbz018

Christensen, B. J. & Varneskov, R. T. (2021). Dynamic Global Currency Hedging. Journal of Financial Econometrics, 19(1), 97-127. https://doi.org/10.1093/jjfinec/nbaa030

Maier, N., Jørgensen, J. R., Lunde, A. & Toivanen, O. (2021). Ex-post Analysis of the TeliaSonera-Chess 2005 Merger. Economist (Netherlands), 169(2), 141-178. https://doi.org/10.1007/s10645-020-09381-y

Bollerslev, T., Li, J. & Liao, Z. (2021). Fixed-k inference for volatility. Quantitative Economics, 12(4), 1053-1084. https://doi.org/10.3982/QE1749

Bladt, M. & Ivanovs, J. (2021). Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon. Stochastic Processes and Their Applications, 142, 105-123. https://doi.org/10.1016/j.spa.2021.08.002

Neuhierl, A. & Varneskov, R. T. (2021). Frequency dependent risk. Journal of Financial Economics, 140(2), 644-675. https://doi.org/10.1016/j.jfineco.2021.01.007

Catania, L. & Di Mari, R. (2021). Hierarchical Markov-Switching Models for Multivariate Integer-valued Time-series. Journal of Econometrics, 221(1), 118-137. http://10.1016/j.jeconom.2020.02.002

Scherrer, C. M. (2021). Information processing on equity prices and exchange rate for cross-listed stocks. Journal of Financial Markets, 54, [100634]. https://doi.org/10.1016/j.finmar.2021.100634

Chernozhukov, V., Härdle, W. K., Huang, C. & Wang, W. (2021). LASSO-Driven Inference in Time and Space. Annals of Statistics, 49(3), 1702-1735. https://doi.org/10.1214/20-AOS2019

Asgharian, H., Christiansen, C., Hou, A. J. & Wang, W. (2021). Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing. Journal of International Financial Markets, Institutions & Money, 74, [101412]. https://doi.org/10.1016/j.intfin.2021.101412

Christensen, B. J., Datta Gupta, N. & Santucci de Magistris, P. (2021). Measuring the impact of clean energy production on CO₂ abatement in Denmark: Upper bound estimation and forecasting*. Journal of the Royal Statistical Society. Series A: Statistics in Society, 184(1), 118-149. https://doi.org/10.1111/rssa.12616

Blasques, F., Gorgi, P. & Koopman, S. J. (2021). Missing observations in observation-driven time series models. Journal of Econometrics, 221(2), 542-568. https://doi.org/10.1016/j.jeconom.2020.07.043

Bennedsen, M., Hillebrand, E. & Koopman, S. J. (2021). Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors. Energy Economics, 96, [105118]. https://doi.org/10.1016/j.eneco.2021.105118

Vera-Valdés, J. E. (2021). Nonfractional long-range dependence: Long memory, antipersistence, and aggregation. Econometrics, 9(4), [39]. https://doi.org/10.3390/econometrics9040039

Grønborg, N. S., Lunde, A., Timmermann, A. & Wermers, R. (2021). Picking Funds with Confidence. Journal of Financial Economics, 139(1), 1-28. https://doi.org/10.1016/j.jfineco.2020.07.003

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Solveig Nygaard Sørensen