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Department of Economics and Business Economics

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Papers in peer-reviewed journals

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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

Chang, B-Y., Christoffersen, P., Vainberg, G. & Jacobs, K. (2012). Option-implied measures of equity risk. Review of Finance (Print), 16(2), 385-428. https://doi.org/10.1093/rof/rfq029

Chang, B. Y., Christoffersen, P. & Jacobs, K. (2013). Market skewness risk and the cross section of stock returns. Journal of Financial Economics, 107(1), 46-68. https://doi.org/10.1016/j.jfineco.2012.07.002

Chance, D., Hillebrand, E. & Hilliard, J. (2008). Pricing an option from an innovation: An application to movie box office revenue. Management Science, 54, 1015-1038.

Chance, D., Hillebrand, E. & Hilliard, J. (2009). Pricing options on film revenue. Risk, 22, 80-86.

Cázares, J. G. & Ivanovs, J. (2021). Recovering Brownian and jump parts from high-frequency observations of a Lévy process. Bernoulli, 27(4), 2413-2436. https://doi.org/10.3150/20-BEJ1314

Cavaliere, G., Rahbæk, A. & Taylor, A. M. R. (2012). Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models. Econometrica, 80(4), 1721-1740. https://doi.org/10.3982/ECTA9099

Cavaliere, G., Rahbæk, A. & Taylor, A. M. R. (2014). Bootstrap determination of the cointegration rank in heteroskedastic VAR models. Econometric Reviews, 33(5-6), 606-650. https://doi.org/10.1080/07474938.2013.825175

Cavaliere, G., Nielsen, M. Ø. & Taylor, A. M. R. (2017). Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. Journal of Econometrics, 198(1), 165-188. https://doi.org/10.1016/j.jeconom.2017.01.008

Cavaliere, G., Nielsen, H. B. & Rahbek, A. (2017). On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space. Journal of Time Series Analysis, 38(4), 513-534. https://doi.org/10.1111/jtsa.12214

Cavaliere, G., Pedersen, R. S. & Rahbek, A. (2018). The Fixed Volatility Bootstrap for a Class of Arch(q) Models. Journal of Time Series Analysis, 39(6), 920-941. https://doi.org/10.1111/jtsa.12421

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

Cattaneo, M. D., Crump, R. K. & Jansson, M. (2012). Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors. Journal of Econometrics, 167(1), 1-15. https://doi.org/10.1016/j.jeconom.2011.04.004

Cattaneo, M. D., Crump, R. K. & Jansson, M. (2013). Generalized Jackknife Estimators of Weighted Average Derivatives. Journal of the American Statistical Association, 108(504), 1243-1268. https://doi.org/10.1080/01621459.2012.745810

Cattaneo, M. D., Crump, R. K. & Jansson, M. (2014). Bootstrapping density-weighted average derivatives. Econometric Theory, 30(6), 1135-1164. https://doi.org/10.1017/S0266466614000127

Cattaneo, M. D., Crump, R. K. & Jansson, M. (2014). Small bandwidth asymptotics for density-weighted average derivatives. Econometric Theory, 30(1), 176-200. https://doi.org/10.1017/S0266466613000169

Cattaneo, M. D., Jansson, M. & Newey, W. K. (2018). Inference in Linear Regression Models with Many Covariates and Heteroscedasticity. Journal of the American Statistical Association, 113(523), 1350-1361. https://doi.org/10.1080/01621459.2017.1328360

Cattaneo, M. D. & Jansson, M. (2018). Kernel-Based Semiparametric Estimators: Small Bandwidth Asymptotics and Bootstrap Consistency. Econometrica, 86(3), 955-995. https://doi.org/10.3982/ECTA12701

Cattaneo, M. D., Jansson, M. & Newey, W. K. (2018). Alternative asymptotics and the partially linear model with many regressors. Econometric Theory, 34(2), 277-301. https://doi.org/10.1017/S026646661600013X

Cattaneo, M. D., Jansson, M. & Ma, X. (2018). Manipulation Testing Based on Density Discontinuity. The Stata Journal, 18(1), 234-261. https://doi.org/10.1177/1536867X1801800115

Cattaneo, M. D., Jansson, M. & Xinwei, M. A. (2019). Two-step estimation and inference with possibly many included covariates. Review of Economic Studies, 86(3), 1095-1122. https://doi.org/10.1093/restud/rdy053

Cattaneo, M. D., Jansson, M. & Nagasawa, K. (2020). Bootstrap-Based Inference for Cube Root Asymptotics. Econometrica, 88(5), 2203-2219. https://doi.org/10.3982/ECTA17950

Cattaneo, M. D., Jansson, M. & Ma, X. (2020). Simple Local Polynomial Density Estimators. Journal of the American Statistical Association, 115(531), 1449-1455. https://doi.org/10.1080/01621459.2019.1635480

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), Article 2150033. https://doi.org/10.1142/S0219691321500338

Catania, L. & Nonejad, N. (2018). Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package. Journal of Statistical Software, 84(11). https://doi.org/10.18637/jss.v084.i11

Catania, L., Grassi, S. & Ravazzolo, F. (2019). Forecasting Cryptocurrencies Under Model and Parameter Instability. International Journal of Forecasting, 35(2), 485-501. https://doi.org/10.1016/j.ijforecast.2018.09.005

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

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

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

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

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. Advance online publication. https://doi.org/10.1080/07350015.2020.1840994

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

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

Catani, P., Terasvirta, T. & Yin, M. (2017). A Lagrange Multiplier test for testing the adequacy of the Constant Conditional Correlation GARCH model. Econometric Reviews, 36(6-9), 599-621. https://doi.org/10.1080/07474938.2017.1307311

Casas, I. & Gijbels, I. (2012). Unstable volatility: the break-preserving local linear estimator. Journal of Nonparametric Statistics, 24(4), 883-904. https://doi.org/10.1080/10485252.2012.720981

Casarin, R., Grassi, S., Ravazzolo, F. & Dijk, H. K. V. (2015). Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox. Journal of Statistical Software, 68(3). https://doi.org/10.18637/jss.v068.i03

Carlini, F. & Santucci de Magistris, P. (2019). On the identification of fractionally cointegrated VAR models with the F(d) condition. Journal of Business and Economic Statistics, 37(1), 134-146. Advance online publication. https://doi.org/10.1080/07350015.2017.1294077

Caporin, M. & Santucci de Magistris, P. (2012). On the evaluation of marginal expected shortfall. Applied Economics Letters, 19(2), 175-179. https://doi.org/10.1080/13504851.2011.570704

Caporin, M., Ranaldo, A. & Santucci de Magistris, P. (2013). On the Predictability of Stock Prices: A Case for High and Low Prices. Journal of Banking & Finance, 37(12), 5132-5146. https://doi.org/10.1016/j.jbankfin.2013.05.024

Caporin, M., Rossi, E. & Santucci de Magistris, P. (2016). Volatility Jumps and Their Economic Determinants. Journal of Financial Econometrics, 14(1), 29-80. https://doi.org/10.1093/jjfinec/nbu028

Caporin, M., Rossi, E. & Santucci de Magistris, P. (2017). Chasing Volatility: A Persistent Multiplicative Error Model with Jumps. Journal of Econometrics, 198(1), 122-145. https://doi.org/10.1016/j.jeconom.2017.01.005

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. Advance online publication. https://doi.org/10.1007/s12667-020-00392-x

Caner, M. & Kock, A. B. (2016). Oracle Inequalities for Convex Loss Functions with Non-Linear Targets. Econometric Reviews, 35(8-10), 1377-1411. https://doi.org/10.1080/07474938.2015.1092797

Caner, M. & Kock, A. B. (2018). Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso. Journal of Econometrics, 203(1), 143-168. https://doi.org/10.1016/j.jeconom.2017.11.005

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

Calvori, F., Creal, D., Koopman, S. J. M. & Lucas, A. (2017). Testing for Parameter Instability across Different Modeling Frameworks. Journal of Financial Econometrics, 15(2), 223-246. Advance online publication. https://doi.org/10.1093/jjfinec/nbw008

Callot, L., Haldrup, N. & Kallestrup-Lamb, M. (2015). Deterministic and stochastic trends in the Lee-Carter mortality model. Applied Economics Letters, 23(7), 486-493. https://doi.org/10.1080/13504851.2015.1083075

Callot, L., Kock, A. B. & Medeiros, M. (2017). Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice. Journal of Applied Econometrics, 32(1), 140-158. https://doi.org/10.1002/jae.2512

Callot, L., Caner, M., Kock, A. B. & Riquelme, J. A. (2017). Sharp threshold detection based on sup-norm error rates in high-dimensional models. Journal of Business and Economic Statistics, 35(2), 250-264. https://doi.org/10.1080/07350015.2015.1052461

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

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Solveig Nygaard Sørensen