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Department of Economics and Business Economics

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Papers in peer-reviewed journals

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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

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

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Solveig Nygaard Sørensen

Revised 29.01.2020