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Department of Economics and Business Economics

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Papers in peer-reviewed journals

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Andreasen, M. M. (2013). Non-Linear DSGE Models and the Central Difference Kalman Filter. Journal of Applied Econometrics, 28(6), 929-955. https://doi.org/10.1002/jae.2282

Lanne, M. & Saikkonen, P. (2013). Noncausal vector autoregression. Econometric Theory, 29(3), 447-481. https://doi.org/10.1017/S0266466612000448

Aslanidis, N. & Casas, I. (2013). Nonparametric correlation models for portfolio allocation. Journal of Banking & Finance, 37(7), 2268-2283.

Du, P., Parmeter, C. F. & Racine, J. S. (2013). Nonparametric kernel regression with multiple predictors and multiple shape constraints. Statistica Sinica, 23(3), 1347-1371. https://doi.org/10.5705/ss.2012.024

Posch, O. & Trimborn, T. (2013). Numerical solution of dynamic equilibrium models under Poisson uncertainty. Journal of Economic Dynamics and Control, 37(12), 2602-2622. https://doi.org/10.1016/j.jedc.2013.07.001

Christensen, K., Podolskij, M. & Vetter, M. (2013). On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes. Journal of Multivariate Analysis, 120, 59-84. https://doi.org/10.1016/j.jmva.2013.05.002

Laurent, S., Rombouts, J. V. K. & Violante, F. (2013). On loss functions and ranking forecasting performances of multivariate volatility models. Journal of Econometrics, 173(1), 1-10. https://doi.org/10.1016/j.jeconom.2012.08.004

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

Li, Q., Lin, J. & Racine, J. S. (2013). Optimal bandwidth selection for nonparametric conditional distribution and quantile functions. Journal of Business and Economic Statistics, 31(1), 57-65. https://doi.org/10.1080/07350015.2012.738955

Liu, J. & Timmermann, A. (2013). Optimal convergence trade strategies. Review of Financial Studies, 26(4), 1048-1086. https://doi.org/10.1093/rfs/hhs130

Johansen, S. & Nielsen, B. (2013). Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator. Econometrics, 1(1), 53-70. https://doi.org/10.3390/econometrics1010053

Katja, A. & Lanne, M. (2013). Overnight stock returns and realized volatility. International Journal of Forecasting, 29(4), 592-604. https://doi.org/10.1016/j.ijforecast.2013.03.006

Ventosa-Santaulària, D. & Rodríguez-Caballero, C. V. (2013). Polynomial Regressions and Nonsense Inference. Econometrics, 1(3), 236-248. https://doi.org/10.3390/econometrics1030236

Asmussen, S., Christensen, B. J. & Taksar, M. (2013). Portfolio size as function of the premium: modelling and optimization. Stochastics: An International Journal of Probability and Stochastic Processes , 85(4 (Taksar Memorial Issue)), 575-588. https://doi.org/10.1080/17442508.2013.797426

Hautsch, N. & Podolskij, M. (2013). Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence. Journal of Business and Economic Statistics, 31(2), 165-183. https://doi.org/10.1080/07350015.2012.754313

Christiansen, C. (2013). Predicting severe simultaneous recessions using yield spreads as leading indicators. Journal of International Money and Finance, 32, 1032-1043. https://doi.org/10.1016/j.jimonfin.2012.08.005

Tanggaard, C. (2013). Rangvid rapporten om investeringsrådgivning. Finans/Invest, (8), 14-17.

Veraart, A. & Veraart, L. A. M. (2013). Risk premiums in energy markets. Journal of Energy Markets, 6(4), 91-132. http://search.proquest.com.ez.statsbiblioteket.dk:2048/docview/1496691692?accountid=14468

Barndorff-nielsen, O. E. & Veraart, A. E. D. (2013). Stochastic volatility of volatility and variance risk premia. Journal of Financial Econometrics, 11(1), 1-46. https://doi.org/10.1093/jjfinec/nbs008

Kristensen, D. & Rahbek, A. (2013). Testing and inference in nonlinear cointegrating vector error correction models. Econometric Theory, 29(6), 1238-1288. https://doi.org/10.1017/S0266466613000054

Lanne, M., Meitz, M. & Saikkonen, P. (2013). Testing for Linear and Nonlinear Predictability of Stock Returns. Journal of Financial Econometrics, 11(4), 682-705. https://doi.org/10.1093/jjfinec/nbt004

Koopman, S. J. & Scharth, M. (2013). The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures. Journal of Financial Econometrics, 11(1), 76-115. https://doi.org/10.1093/jjfinec/nbs016

Andreasen, M. M., Ferman, M. & Zabczyk, P. (2013). The Business Cycle Implications of Banks’ Maturity Transformation. Review of Economic Dynamics, 16(4), 581-600. https://doi.org/10.1016/j.red.2012.12.001

Banegas, A., Gillen, B., Timmermannn, A. & Wermers, R. (2013). The Cross-Section of Conditional Mutual Fund Performance in European Stock Markets. Journal of Financial Economics, 108(3), 699-726. https://doi.org/10.1016/j.jfineco.2013.01.008

Barndorff-Nielsen, O. E. & Stelzer, R. (2013). The multivariate supOU stochastic volatility model. Mathematical Finance, 23(2), 275-296. https://doi.org/10.1111/j.1467-9965.2011.00494.x

Demetrescu, M. & Kruse, R. (2013). The power of unit root tests against nonlinear local alternatives. Journal of Time Series Analysis, 34(1), 40-61. https://doi.org/10.1111/j.1467-9892.2012.00812.x

Laakkonen, H. & Lanne, M. (2013). The relevance of accuracy for the impact of macroeconomic news on exchange rate volatility. International Journal of Finance and Economics, 18(4), 339-351. https://doi.org/10.1002/ijfe.1467

Varneskov, R. T. & Voev, V. R. (2013). The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts. Journal of Empirical Finance, 20(January), 83-95. https://doi.org/10.1016/j.jempfin.2012.11.002

Grassi, S., Hillebrand, E. & Ventosa-Santaularia, D. (2013). The statistical relation of sea-level and temperature revisited. Dynamics of Atmospheres and Oceans, 64, 1-9. https://doi.org/10.1016/j.dynatmoce.2013.07.001

Christensen, L. N., Ehlers, L. H., Larsen, F. B. & Jensen, M. B. (2013). Validation of the 12 Item Short form Health Survey in a Sample from Region Central Jutland. Social Indicators Research, 114(2), 513-521. https://doi.org/10.1007/s11205-012-0159-9

Dahl, C. M., Le Maire, D. & Munch, J. R. (2013). Wage dispersion and decentralization of wage bargaining. Journal of Labor Economics, 31(3), 501-533. https://doi.org/10.1086/669339

Rangvid, J., Schmeling, M. & Schrimpf, A. (2013). What do professional forecasters' stock market expectations tell us about herding, information extraction and beauty contests? Journal of Empirical Finance, 20(1), 109-129. https://doi.org/10.1016/j.jempfin.2012.11.004

Breitung, J. & Kruse, R. (2013). When bubbles burst: Econometric tests based on structural breaks. Statistical Papers, 54(4), 911-930. https://doi.org/10.1007/s00362-012-0497-3

Christiansen, C., Schmeling, M. & Schrimpf, A. (2012). A Comprehensive Look at Financial Volatility Prediction by Economic Variables. Journal of Applied Econometrics, 27(6), 956–977. https://doi.org/10.1002/jae.2298

Johansen, S. & Nielsen, M. Ø. (2012). A necessary moment condition for the fractional functional central limit theorem. Econometric Theory, 28(3), 671-679. https://doi.org/10.1017/S0266466611000697

Andreasen, M. M. (2012). An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia. European Economic Review, 56(8), 1656–1674. https://doi.org/10.1016/j.euroecorev.2012.09.006

Christensen, K. & Podolskij, M. (2012). Asymptotic theory of range-based multipower variation. Journal of Financial Econometrics, 10(3), 417-456. https://doi.org/10.1093/jjfinec/nbr019

Ehlers, L. H. & Jensen, M. B. (2012). Attitudes and Barriers Toward Mini-HTA in the Danish Municipalities. International Journal of Technology Assessment in Health Care, 28(3), 271-277. https://doi.org/10.1017/S0266462312000268

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

Menkhoff, L., Sarno, L., Schmeling, M. & Schrimpf, A. (2012). Carry Trades and Global Foreign Exchange Volatility. Journal of Finance, 67(2), 681-718. https://doi.org/10.1111/j.1540-6261.2012.01728.x

Menkhoff, L., Sarno, L., Schmeling, M. & Schrimpf, A. (2012). Currency momentum strategies. Journal of Financial Economics, 106(3), 660-684. https://doi.org/10.1016/j.jfineco.2012.06.009

Christoffersen, P., Ornthanalai, C. & Jacobs, K. (2012). Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options. Journal of Financial Economics, 106(3), 447-472. https://doi.org/10.1016/j.jfineco.2012.05.017

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

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Solveig Nygaard Sørensen

Revised 25.09.2020