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Department of Economics and Business Economics

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Papers in peer-reviewed journals

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Jensen, P. S. & Wurtz, A. (2012). Estimating the effect of a variable in a high-dimensional linear model. Econometrics Journal, 15(2), 325-357. https://doi.org/10.1111/j.1368-423X.2011.00362.x

Barndorff-Nielsen, O. E., Pollard, D. G. & Shephard, N. (2012). Integer-valued Lévy processes and low latency financial econometrics. Quantitative Finance, 12(4), 587-605. https://doi.org/10.1080/14697688.2012.664935

Christoffersen, P., Errunza, V., Jacobs, K. & Langlois, H. (2012). Is the potential for international diversification disappearing? a dynamic copula approach. Review of Financial Studies, 25(12), 3711-3751. https://doi.org/10.1093/rfs/hhs104

Andersen, T. G., Dobrev, D. & Schaumburg, E. (2012). Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics, 169(1), 75-93. https://doi.org/10.1016/j.jeconom.2012.01.011

Nolte, I. & Voev, V. (2012). Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise. Journal of Business and Economic Statistics, 30(1), 94-108. https://doi.org/10.1080/10473289.2011.637876

Craioveanu, M. & Hillebrand, E. (2012). Level changes in volatility models. Annals of Finance, 8(2-3), 277-308. https://doi.org/10.1007/s10436-010-0163-5

Johansen, S. & Nielsen, M. Ø. (2012). Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model. Econometrica, 80(6), 2667-2732. https://doi.org/10.3982/ECTA9299

Frederiksen, P., Nielsen, F. S. & Nielsen, M. Ø. (2012). Local polynomial Whittle estimation of perturbed fractional processes. Journal of Econometrics, 167(2), 426–447. https://doi.org/10.1016/j.jeconom.2011.09.026

Kruse, R. & Sibbertsen, P. (2012). Long memory and changing persistence. Economics Letters, 114(3), 268-272. https://doi.org/10.1016/j.econlet.2011.10.026

Jansson, M. & Nielsen, M. Ø. (2012). Nearly efficient likelihood ratio tests of the unit root hypothesis. Econometrica, 80(5), 2321-2332. https://doi.org/10.3982/ECTA10306

Kaufmann, H., Kruse, R. & Sibbertsen, P. (2012). On tests for linearity against STAR models with deterministic trends. Economics Letters, 117(1), 268-271. https://doi.org/10.1016/j.econlet.2012.05.025

Andreasen, M. M. (2012). On the effects of rare disasters and uncertainty shocks for risk premia in non-linear DSGE models. Review of Economic Dynamics, 15(3), 295–316. https://doi.org/10.1016/j.red.2011.08.001

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

Laurent, S., Rombouts, J. V. K. & Violante, F. (2012). On the forecasting accuracy of multivariate GARCH models. Journal of Applied Econometrics, 27(6), 934-955. https://doi.org/10.1002/jae.1248

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

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

Engsted, T., Pedersen, T. Q. & Tanggaard, C. (2012). Pitfalls in VAR based return decompositions: A clarification. Journal of Banking & Finance, 36(5), 1255–1265. https://doi.org/10.1016/j.jbankfin.2011.11.004

Hansen, P. R., Huang, Z. & Shek, H. H. (2012). Realized GARCH: a joint model for returns and realized measures of volatility. Journal of Applied Econometrics, 27(6), 877-906. https://doi.org/10.1002/jae.1234

Engsted, T. & Pedersen, T. Q. (2012). Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model. Journal of Empirical Finance, 19(2), 241-253. https://doi.org/10.1016/j.jempfin.2012.01.003

Christensen, B. J., Dahl, C. M. & Iglesias, E. (2012). Semiparametric Inference in a GARCH-in-Mean Model. Journal of Econometrics, 167(2), 458-472. https://doi.org/10.1016/j.jeconom.2011.09.028

Aslanidis, N. & Christiansen, C. (2012). Smooth Transition Patterns in the Realized Stock-Bond Correlation. Journal of Empirical Finance, 19(4), 454-464. https://doi.org/10.1016/j.jempfin.2012.04.005

Schmith, T., Johansen, S. & Thejll, P. (2012). Statistical analysis of global surface temperature and sea level using cointegration methods. Journal of Climate, 25(22), 7822-7833. https://doi.org/10.1175/JCLI-D-11-00598.1

Hillebrand, E. & Tae-Hwy, L. (2012). Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors. Advances in Econometrics, 30, 171-196. https://doi.org/10.1108/S0731-9053(2012)0000030011

Veraart, A. & Veraart, L. (2012). Stochastic volatility and stochastic leverage. Annals of Finance, 8(2-3), 205-233. https://doi.org/10.1007/s10436-010-0157-3

Hillebrand, E., Sengupta, A. N. & Xu, J. (2012). Temporal Correlation of Defaults in Subprime Securitization. Communications on Stochastic Analysis, 6(3), 487-511.

Gørgens, T. & Wurtz, A. (2012). Testing a parametric function against a nonparametric alternative in IV and GMM settings. Econometrics Journal, 15(3), 462-489. https://doi.org/10.1111/j.1368-423X.2012.00382.x

Ang, A. & Kristensen, D. (2012). Testing conditional factor models. Journal of Financial Economics, 106(1), 132-156. https://doi.org/10.1016/j.jfineco.2012.04.008

Frömmel, M. & Kruse, R. (2012). Testing for a rational bubble under long memory. Quantitative Finance, 12(11), 1723-1732. https://doi.org/10.1080/14697688.2011.578151

Johansen, S. (2012). The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration. Contemporary Economics, 6(2), 40-57. https://doi.org/10.5709/ce.1897-9254.39

Christensen, B. J. & Kallestrup-Lamb, M. (2012). The Impact of Health Changes on Labor Supply: Evidence from Merged Data on Individual Objective Medical Diagnosis Codes and Early Retirement Behavior. Health Economics, 21(S1), 56-100.

Engsted, T., Pedersen, T. Q. & Tanggaard, C. (2012). The Log-Linear Return Approximation, Bubbles, and Predictability. Journal of Financial and Quantitative Analysis, 47(3), 643-665. https://doi.org/10.1017/S0022109012000191

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

Laurent, S. & Violante, F. (2012). Volatility forecasts evaluation and comparison. Wiley Interdisciplinary Reviews. Computational Statistics, 4(1), 1-12. https://doi.org/10.1002/wics.190

Bollerslev, T., Sizova, N. & Tauchen, G. (2012). Volatility in equilibrium: Asymmetries and dynamic dependencies. Review of Finance (Print), 16(1), 31-80. https://doi.org/10.1093/rof/rfr005

Kruse, R., Frömmel, M., Menkhoff, L. & Sibbertsen , P. (2012). What do we know about real exchange rate nonlinearities? Empirical Economics, 43(2), 457-474. https://doi.org/10.1007/s00181-010-0431-2

Kruse, R. (2011). A new unit root test against ESTAR based on a class of modified statistics. Statistical Papers, 52(1), 71-85. https://doi.org/10.1007/s00362-009-0204-1

Kurita, T., Bohn Nielsen, H. & Rahbæk, A. (2011). An I(2) cointegration model with piecewise linear trends. Econometrics Journal, 14(2), 131-155. https://doi.org/10.1111/j.1368-423X.2010.00333.x

Bollerslev, T., Gibson, M. & Zhou, H. (2011). Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. Journal of Econometrics, 160(1), 235-245. https://doi.org/10.1016/j.jeconom.2010.03.033

Berkowitz, J., Christoffersen, P. & Pelletier, D. (2011). Evaluating value-at-risk models with desk-level data. Management Science, 57(12), 2213-2227. https://doi.org/10.1287/mnsc.1080.0964

Posch, O. (2011). Explaining output volatility: The case of taxation. Journal of Public Economics, 95(11-12), 1589-1606. https://doi.org/10.1016/j.jpubeco.2011.05.009

Barndorff-Nielsen, O. E., Corcuera, J. M. & Podolskij, M. (2011). Multipower variation for Brownian semistationary processes. Bernoulli, 17(4), 1159-1194. https://doi.org/10.3150/10-BEJ316

Posch, O. & Wälde, K. (2011). On the link between volatility and growth. Journal of Economic Growth, 16(4), 285-308. https://doi.org/10.1007/s10887-011-9069-y

Andersen, T. G., Bollerslev, T. & Meddahi, N. (2011). Realized volatility forecasting and market microstructure noise. Journal of Econometrics, 160(1), 220-234. https://doi.org/10.1016/j.jeconom.2010.03.032

Posch, O. (2011). Risk premia in general equilibrium. Journal of Economic Dynamics and Control, 35(9), 1557-1576. https://doi.org/10.1016/j.jedc.2010.12.017

Podolskij, M. & Vetter, M. (2009). Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps. Bernoulli, 15(3), 634-658. https://doi.org/10.3150/08-BEJ167

Barndorff-Nielsen, O. E., Corcuera, J. M. & Podolskij, M. (2009). Power variation for Gaussian processes with stationary increments. Stochastic Processes and Their Applications, 119(6), 1845-1865. https://doi.org/10.1016/j.spa.2008.09.004

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Solveig Nygaard Sørensen

Revised 29.07.2019