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Department of Economics and Business Economics

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Papers in peer-reviewed journals

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Dreier, J. W., Lauersen, T. M., Tomson, T., Plana-Ripoll, O. & Christensen, J. (2023). Cause-specific mortality and life years lost in people with epilepsy: a Danish cohort study. Brain : a journal of neurology, 146(1). https://doi.org/10.1093/brain/awac042

Ergemen, Y. E. & Rodríguez-Caballero, C. V. (2023). Estimation of a Dynamic Multi-Level Factor Model with Possible Long-Range Dependence. International Journal of Forecasting, 39(1), 405-430. https://doi.org/10.1016/j.ijforecast.2021.12.004

Brikell, I., Wimberley, T., Albiñana, C., Vilhjálmsson, B. J., Agerbo, E., Børglum, A. D., Demontis, D., Schork, A. J., LaBianca, S., Werge, T., Hougaard, D. M., Nordentoft, M., Mors, O., Mortensen, P. B., Petersen, L. V. & Dalsgaard, S. (2023). Interplay of ADHD Polygenic Liability With Birth-Related, Somatic, and Psychosocial Factors in ADHD: A Nationwide Study. The American Journal of Psychiatry (Spanish Edition), 180(1), 73-88. https://doi.org/10.1176/appi.ajp.21111105

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://doi.org/10.3390/econometrics10030030

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

Posselt, A. M. (2022). Dynamics in the VIX complex. The Journal of Futures Markets, 42(9), 1665-1687. https://doi.org/10.1002/fut.22290

Heiler, P. (2022). Efficient Covariate Balancing for the Local Average Treatment Effect. Journal of Business and Economic Statistics, 40(4), 1569-1582. https://doi.org/10.1080/07350015.2021.1946067

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

Kock, A. B., Preinerstorfer, D. & Veliyev, B. (2022). Functional Sequential Treatment Allocation. Journal of the American Statistical Association, 117(539), 1311-1323. https://doi.org/10.1080/01621459.2020.1851236

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

Ranaldo, A. & de Magistris, P. S. (2022). Liquidity in the global currency market. Journal of Financial Economics, 146(3), 859-883. https://doi.org/10.1016/j.jfineco.2022.09.004

Andersen, T. G., Archakov, I., Cebiroglu, G. & Hautsch, N. (2022). Local mispricing and microstructural noise: A parametric perspective. Journal of Econometrics, 230(2), 510-534. https://doi.org/10.1016/j.jeconom.2021.06.006

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

Rodríguez-Caballero, C. V. & Villanueva-Domínguez, M. (2022). Predicting cryptocurrency crash dates. Empirical Economics, 63(6), 2855-2873. https://doi.org/10.1007/s00181-022-02229-1

Fomichov, V., Franceschi, S. & Ivanovs, J. (2022). Probability of total domination for transient reflecting processes in a quadrant. Advances in Applied Probability, 54(4), 1094-1138. https://doi.org/10.1017/apr.2022.2

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

Demetrescu, M., Hanck, C. & Kruse-Becher, R. (2022). Robust inference under time-varying volatility: A real-time evaluation of professional forecasters. Journal of Applied Econometrics, 37(5), 1010-1030. https://doi.org/10.1002/jae.2906

Iacone, F., Nielsen, M. Ø. & Taylor, R. (2022). Semiparametric tests for the order of integration in the possible presence of level breaks. Journal of Business and Economic Statistics, 40(2), 880-896. https://doi.org/10.1080/07350015.2021.1876712

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

Andersen, T. G. & Varneskov, R. T. (2022). Testing for parameter instability and structural change in persistent predictive regressions. Journal of Econometrics, 231(2), 361-386. https://doi.org/10.1016/j.jeconom.2021.05.011

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

Andreasen, M. M. & Kronborg, A. F. (2022). The extended perturbation method: With applications to the New Keynesian model and the zero lower bound. Quantitative Economics, 13(3), 1171-1202. https://doi.org/10.3982/QE1102

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

Hurn, S., Johnson, N., Silvennoinen, A. & Teräsvirta, T. (2022). Transition from the Taylor rule to the zero lower bound. Studies in Nonlinear Dynamics & Econometrics, 26(5), 635-647. https://doi.org/10.1515/snde-2019-0102

Bjerre, D. S. (2022). Tree-based Machine Learning Methods For Modeling And Forecasting Mortality. ASTIN Bulletin: The Journal of the IAA, 52(3), 765-787. https://doi.org/10.1017/asb.2022.11

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

Prados de la Escosura, L. & Rodríguez-Caballero, C. V. (2022). War, pandemics, and modern economic growth in Europe. Explorations in Economic History, 86, [101467]. https://doi.org/10.1016/j.eeh.2022.101467

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

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Solveig Nygaard Sørensen