Forthcoming Publications

Forthcoming publications

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Aiolfi, Mark, C. Capistran and Allan Timmermann, Forecast Combinations, In Michael Clements and David Hendry(eds): Forecast Handbook, Oxford

Barndorff-Nielsen, Ole E.; Hedevang, Emil; Schmiegel, Jürgen, Incremental similarity and turbulence, Theory of Probability and Its Applications

Barnett, R., Helle Bunzel, and J. Bhattacharya, Voting for income-immiserizing redistribution in the Meltzer-Richard model, Economic Inquiry

Basse-O'Connor, Andreas; Heinrich, Claudio; Podolskij, Mark, On limit theory for Levy semistationary processes, Bernoulli

Bastürk, Nalan, Stefano Grassi, Lennart Hoogerheide, Anne Opschoor, and Herman K. Van Dijk, The R package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference, Journal of Statistical Software

Beheshti, N., J.S. Racine and E.S. Soofi, Information Measures of Kernel Estimation, Econometric Reviews

Bhattacharya, Debopam, Shin Kanaya, and Margaret Stevens, Are University Admissions Academically Fair? Review of Economics and Statistics

Boyer, Martin M., Christian Dorion, and Lars Stentoft, Les Modèles factoriels et la gestion du risque de longévité, Actualité Économique

Callot, Laurent and Johannes Tang Kristensen, Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation; In Eric Hillebrand and Siem Jan Koopman, Dynamic Factor Models, Emerald Group Publishing

Callot, Laurent, Mehmet Caner, Anders Bredahl Kock, and Juan Andres Riquelme, Sharp threshold detection based on sup-norm error rates in high-dimensional models, Journal of Business and Economic Statistics

Caporin, Massimiliano, Eduardo Rossi, Eduardo, and Paolo Santucci de Magistris, Chasing Volatility: A Persistent Multiplicative Error Model with Jumps, Journal of Econometrics

Carlini, Federico and Paolo Santucci de Magistris, On the Identification of Fractionally Cointegrated VAR Models with the F(d) Condition, Journal of Business and Economic Statistics

Cattaneo, Matias, Michael Jansson, and Whitney Newey, Alternative Asymptotics and the Partially Linear Model with Many Regressors, Econometric Theory

Cavaliere, Giuseppe, Luca de Angelis, Anders Rahbek, A.M. Robert Taylor, Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order, Econometric Theory

Centorrino, S. and J.S. Racine, Semiparametric Varying Coefficient Models With Endogenous Covariates, Annals of Economics and Statistics

Commandeur, Jacques J.F. and Siem Jan Koopman, Time Series: State Space Models, in James D. Wright and Kenneth Land, International Encyclopedia of the Social & Behavorial Sciences, New York, Elsevier Dissanayake,

G. Sanjaya, M.S. Peiris, and Tommaso Proietti, State space modeling of Gegenbauer processes with long memory, Computational Statistics & Data Analysis

Dolatabadi, S., M.Ø. Nielsen, and K. Xu, A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets, Journal of Empirical Finance

Elliott, Graham and Allan Timmermann, Forecasting in Economics and Finance, Annual Review of Economics

Ergemen, Yunus Emre, System Estimation of Panel Data Models under Long-Range Dependence, Journal of Business and Economic Statistics

Fissler, Tobias; Podolskij, Mark, Testing the maximal rank of the volatility process for continuous diffusions observed with noise, Bernoulli

Frederiksen, Per and Frank S. Nielsen, Testing for Long Memory in Potentially Nonstationary Perturbed Fractional Processes, Journal of Financial Econometrics

Gonçalves, Sílvia, Ulrich Hounyo, and Nour Meddahi, Bootstrapping pre-averaged realized volatility under market microstructure noise, Econometric Theory

Granelli, Andrea and Almut E.D. Veraart, Modelling the variance risk premium: the role of dependence and contagion, SIAM Journal on Financial Mathematics

Hylleberg, Svend, Seasonal Integration and Cointegration in Economic Time Series, International Encyclopedia of Statistical Science, Springer

Jakobsen, Nina M. and Michael Sørensen, Efficient estimation for diffusions sampled at high frequency over a fixed time interval, Bernoulli

Jensen, Ulrich Thy; Andersen, Lotte Bøgh; Ladegaard, Louise; Bøllingtoft, Anne; Mundbjerg Eriksen, Tine Louise; Holten, Ann-Louise; Jacobsen, Christian Bøtcher; Ladenburg, Jacob; Nielsen, Poul Aaes; Salomonsen, Heidi Houlberg; Westergård-Nielsen, Niels; Würtz, Allan, Conceptualizing and Measuring Transformational and Transactional Leadership, Administration & Society

Koopman, Siem Jan (ed), Durbin, James [Jim] (1923-2012), Entry in `Oxford Dictionary of National Biography’, Oxford University Press

Koopman, Siem Jan and Neil Shephard, Unobserved Components and Time Series Econometrics, Oxford University Press

Kristensen, Dennis and B. Salanié, Higher Order Properties of Approximate Estimators, Journal of Econometrics

Kruse, Robinson, Antonio Noriega, and Daniel Ventosa-Santaularia, Changes in persistence, spurious regressions and the Fisher hypothesis, Studies in Nonlinear Dynamics & Econometrics

Menkhoff, Lukas, Lucio Sarno, Maik Schmeling and Andreas Schrimpf, Information Flows in Dark Markets: Dissecting Customer Currency Trades, Journal of Finance

Møller, Stig Vinther and Jesper Rangvid, Global economic growth and expected returns around the world: The end-of-the-year effect, Management Science

Møller, Stig Vinther and Lasse Bork, Housing price forecastability: A factor analysis, Real Estate Economics

Nguyen, M. and Almut E.D. Veraart, Spatio-temporal Ornstein-Uhlenbeck processes: theory, simulation and statistical inference, Scandinavian Journal of Statistics

Podolskij, M. and Lebovits, J., Estimation of the global regularity of a multifractional Brownian motion, Electronic Journal of Statistics

Preinerstorfer, David and Benedikt M. Pötscher, On the Power of Invariant Tests for Hypotheses on a Covariance Matrix, Econometric Theory

Proietti, Tommaso and Alessandra Luati, Generalised Linear Spectral Models; In Shephard, N. and Koopman, S.J. (eds), Unobserved Components and Time Series Econometrics, Oxford University Press"

Proietti, Tommaso, The Multistep Beveridge-Nelson Decomposition, Econometric Reviews

Rangvid, Jesper, Maik Schmeling and Andreas Schrimpf, Dividend Predictability Around the World, Journal of Financial and Quantitative Analysis"

Rossi, A.G., D. Blake, A. Timmermann, I. Tonks, and R. Wermers, Network centrality and delegated investment performance, Journal of Financial Economics

Schmidt, Larry, Allan Timmermann, and Russ Wermers, Runs on Money Market Mutual Funds, American Economic Review

Schwaab, Bernd, Siem Jan Koopman, and Andre Lucas, Global Credit Risk: World, Country and Industry Factors, Journal of Applied Econometrics

Vujić, Suncica, Jacques Commandeur, and Siem Jan Koopman, Intervention Time Series Analysis of Crime Rates: The Case of Sentence Reform in Virginia, Economic Modelling