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Department of Economics and Business Economics

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Papers in peer-reviewed journals

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Marczak, M., Proietti, T. & Grassi, S. (2018). A data-cleaning augmented Kalman filter for robust estimation of state space models. Econometrics and Statistics, 5(1), 107-123. https://doi.org/10.1016/j.ecosta.2017.02.002

Brix, A. F., Lunde, A. & Wei, W. (2018). A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method. Energy Economics, 72, 560-582. https://doi.org/10.1016/j.eneco.2018.03.037

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

Jespersen, K. R., Rigamonti, D., Jensen, M. B. & Bysted, R. (2018). Analysis of SMEs partner proximity preferences for process innovation. Small Business Economics, 51(4), 879–904. https://doi.org/10.1007/s11187-017-9969-0

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

Tanggaard, C. (2018). Bankerne fylder hylderne med nye højrisikable finansielle væddemål: Debat. Finans.dk.

Barra, I., Borowska, A. & Koopman, S. J. (2018). Bayesian Dynamic Modeling of High-Frequency Integer Price Changes. Journal of Financial Econometrics, 16(3), 384-424. https://doi.org/10.1093/jjfinec/nby010

Kruse, R., Kaufmann, H. & Wegener, C. (2018). Bias-corrected estimation for speculative bubbles in stock prices. Economic Modelling, 73, 354-364. https://doi.org/10.1016/j.econmod.2018.04.014

Varneskov, R. T. & Perron, P. (2018). Combining long memory and level shifts in modelling and forecasting the volatility of asset returns. Quantitative Finance, 18(3), 371–393. https://doi.org/10.1080/14697688.2017.1329591

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

Koopman, S. J., Lit, R., Lucas, A. & Opschoor, A. (2018). Dynamic discrete copula models for high-frequency stock price changes. Journal of Applied Econometrics, 33(7), 966-985. https://doi.org/10.1002/jae.2645

Dolatabadi, S., Narayan, P. K., Nielsen, M. Ø. & Xu, K. (2018). Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. Journal of Futures Markets, 38(2), 219-242. https://doi.org/10.1002/fut.21866

Dias, G. F. & Kapetanios, G. (2018). Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets. Journal of Econometrics, 202(1), 75-91. https://doi.org/10.1016/j.jeconom.2017.06.022

Blasques, F., Gorgi, P., Koopman, S. J. & Wintenberger, O. (2018). Feasible invertibility conditions and maximum likelihood estimation for observation-driven models. Electronic Journal of Statistics, 12(1), 1019-1052. https://doi.org/10.1214/18-EJS1416

Dissanayake, G. S., Peiris, M. S. & Proietti, T. (2018). Fractionally differenced Gegenbauer processes with long memory: A review. Statistical Science, 33(3), 413-426. https://doi.org/10.1214/18-STS649

Møller, S. V. & Rangvid, J. (2018). Global economic growth and expected returns around the world: The end-of-the-year effect. Management Science, 64(2), 573-591. https://doi.org/10.1287/mnsc.2016.2589

Møller, S. V. & Bork, L. (2018). Housing price forecastability: A factor analysis. Real Estate Economics, 46(3), 582-611. https://doi.org/10.1111/1540-6229.12185

Rossi, E. & Santucci de Magistris, P. (2018). Indirect inference with time series observed with error. Journal of Applied Econometrics, 33(6), 874-897. https://doi.org/10.1002/jae.2639

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

Christensen, K., Hounyo, U. & Podolskij, M. (2018). Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment. Journal of Econometrics, 205(2), 336-362. https://doi.org/10.1016/j.jeconom.2018.03.016

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

Sander, M. (2018). Market timing over the business cycle. Journal of Empirical Finance, 46, 130-145. https://doi.org/10.1016/j.jempfin.2017.12.002

Rossi, A. G., Blake, D., Timmermann, A., Tonks, I. & Wermers, R. (2018). Network centrality and delegated investment performance. Journal of Financial Economics, 128(1), 183-206. https://doi.org/10.1016/j.jfineco.2018.02.003

Christoffersen, P. F. & Pan, X. N. (2018). Oil volatility risk and expected stock returns. Journal of Banking & Finance, 95(October), 5-26. https://doi.org/10.1016/j.jbankfin.2017.07.004

Basse-O'Connor, A., Heinrich, C. & Podolskij, M. (2018). On limit theory for Lévy semi-stationary processes. Bernoulli, 24(4A), 3117-3146. https://doi.org/10.3150/17-BEJ956

Jacod, J. & Podolskij, M. (2018). On the minimal number of driving Lévy motions in a multivariate price model. Journal of Applied Probability, 55(3), 823-833. https://doi.org/10.1017/jpr.2018.52

Li, C., Li, Q., Racine, J. S. & Zhang, D. (2018). Optimal model averaging of varying coefficient models. Statistica Sinica, 28(4), 2795-2809. https://doi.org/10.5705/ss.202017.0034

Jacquier, A., Pakkanen, M. S. & Stone, H. (2018). Pathwise large deviations for the rough Bergomi model. Journal of Applied Probability, 55(4), 1078-1092. https://doi.org/10.1017/jpr.2018.72

Fernandes, M. & Scherrer, C. (2018). Price discovery in dual-class shares across multiple markets. The Journal of Futures Markets, 38(1), 129-155. https://doi.org/10.1002/fut.21889

Bollerslev, T., Hood, B., Huss, J. & Pedersen, L. H. (2018). Risk Everywhere: Modeling and Managing Volatility. The Review of Financial Studies, 31(7), 2729-2773. https://doi.org/10.1093/rfs/hhy041

Johansen, S. & Nielsen, M. Ø. (2018). Testing the CVAR in the Fractional CVAR Model. Journal of Time Series Analysis, 39(6), 836-849. https://doi.org/10.1111/jtsa.12300

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

Johansen, S. & Nielsen, M. Ø. (2018). The cointegrated vector autoregressive model with general deterministic terms. Journal of Econometrics, 202(2), 214-229. https://doi.org/10.1016/j.jeconom.2017.10.003

Andreasen, M. M., Fernández-Villaverde, J. & Rubio-Ramírez, J. F. (2018). The pruned state-space system for non-linear DSGE models: Theory and empirical applications. Review of Economic Studies, 85(1), 1-49. https://doi.org/10.1093/restud/rdx037

Hillebrand, E., Huang, H., Lee, T. H. & Li, C. (2018). Using the entire yield curve in forecasting output and inflation. Econometrics, 6(3), [40]. https://doi.org/10.3390/econometrics6030040

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

Hounyo, U. & Varneskov, R. T. (2017). A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation. Journal of Econometrics, 198(1), 10-28. https://doi.org/10.1016/j.jeconom.2017.01.002

Lanne, M. & Luoto, J. (2017). A New Time-Varying Parameter Autoregressive Model for US Inflation Expectations. Journal of Money, Credit and Banking, 49(5), 969-995. https://doi.org/10.1111/jmcb.12402

Bennedsen, M. (2017). A rough multi-factor model of electricity spot prices. Energy Economics, 63, 301-313. https://doi.org/10.1016/j.eneco.2017.02.007

Lukkarinen, J. & Pakkanen, M. (2017). Arbitrage without borrowing or short selling. Mathematics and Financial Economics, 11(3), 263–274. https://doi.org/10.1007/s11579-016-0180-x

Bhattacharya, D., Kanaya, S. & Stevens, M. (2017). Are University Admissions Academically Fair? Review of Economics and Statistics, 99(3), 449-464. https://doi.org/10.1162/REST_a_00618

Pajhede, T. (2017). Backtesting Value-at-Risk: A Generalized Markov Test. Journal of Forecasting, 36(5), 597-613. https://doi.org/10.1002/for.2456

Hounyo, U. (2017). Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. Journal of Econometrics, 197(1), 130–152. https://doi.org/10.1016/j.jeconom.2016.11.002

Hounyo, U., Gonçalves, S. & Meddahi, N. (2017). Bootstrapping pre-averaged realized volatility under market microstructure noise. Econometric Theory, 33(4), 791-838. https://doi.org/10.1017/S0266466616000281

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

Opschoor, A., van Dijk, D. & van der Wel, M. (2017). Combining density forecasts using focused scoring rules. Journal of Applied Econometrics, 32(7), 1298-1313. https://doi.org/10.1002/jae.2575

Kanaya, S. (2017). Convergence rates of sums of α-mixing triangular arrays: with an application to nonparametric drift function estimation of continuous-time processes. Econometric Theory, 33(5), 1121-1153. https://doi.org/10.1017/S0266466616000323

Li, C., Li, H. & Racine, J. S. (2017). Cross-validated mixed-datatype bandwidth selection for nonparametric cumulative distribution/survivor functions. Econometric Reviews, 36(6-9), 970-987. https://doi.org/10.1080/07474938.2017.1307900

Kristensen, J. T. (2017). Diffusion Indexes With Sparse Loadings. Journal of Business and Economic Statistics, 35(3), 434-451. https://doi.org/10.1080/07350015.2015.1084308

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Solveig Nygaard Sørensen

Revised 29.07.2019