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Content
2015
- 2015-40 Forecasting the Global Mean Sea Level, a Continuous-Time State-Space Approach
by Lorenzo Boldrini - 2015-39 The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach
by Lorenzo Boldrini & Eric Hillebrand - 2015-38 Supervision in Factor Models Using a Large Number of Predictors
by Lorenzo Boldrini & Eric Hillebrand - 2015-37 Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints
by Markku Lanne & Jani Luoto - 2015-36 Nonlinear dynamic interrelationships between real activity and stock returns
by Markku Lanne & Henri Nyberg - 2015-35 Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence
by Yunus Emre Ergemen & Carlos Velasco - 2015-34 A Jump-Diffusion Model with Stochastic Volatility and Durations
by Wei Wei & Denis Pelletier - 2015-33 Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval
by Nina Munkholt Jakobsen & Michael Sørensen - 2015-32 Which pricing approach for options under GARCH with non-normal innovations?
by Jean-Guy Simonato & Lars Stentoft - 2015-31 Treatment Effects with Many Covariates and Heteroskedasticity
by Matias D. Cattaneo & Michael Jansson & Whitney K. Newey - 2015-30 Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach
by Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris - 2015-29 Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation
by Laurent Callot & Johannes Tang Kristensen - 2015-28 Seasonal Changes in Central England Temperatures
by Tommaso Proietti & Eric Hillebrand - 2015-27 Nonstationary ARCH and GARCH with t-distributed Innovations
by Rasmus Søndergaard Pedersen & Anders Rahbek - 2015-26 A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation
by Ulrich Hounyo & Rasmus T. Varneskov - 2015-25 Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination
by Bent Jesper Christensen & Rasmus T. Varneskov - 2015-24 Generalised partial autocorrelations and the mutual information between past and future
by Tommaso Proietti & Alessandra Luati - 2015-23 Data revisions and the statistical relation of global mean sea-level and temperature
by Eric Hillebrand & Søren Johansen & Torben Schmith - 2015-22 Space-time modeling of electricity spot prices
by Girum D. Abate & Niels Haldrup - 2015-21 Validity of Edgeworth expansions for realized volatility estimators
by Ulrich Hounyo & Bezirgen Veliyev - 2015-20 International Sign Predictability of Stock Returns: The Role of the United States
by Henri Nyberg & Harri Pönkä - 2015-19 A Markov Chain Estimator of Multivariate Volatility from High Frequency Data
by Peter Reinhard Hansen & Guillaume Horel & Asger Lunde & Ilya Archakov - 2015-18 A Martingale Decomposition of Discrete Markov Chains
by Peter Reinhard Hansen - 2015-17 Counting Processes for Retail Default Modeling
by Nicholas M. Kiefer & C. Erik Larson - 2015-16 Identification and estimation of non-Gaussian structural vector autoregressions
by Markku Lanne & Mika Meitz & Pentti Saikkonen - 2015-15 Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets
by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou - 2015-14 Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting
by Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg - 2015-13 Dynamic Factor Models for the Volatility Surface
by Michel van der Wel & Sait R. Ozturk & Dick van Dijk - 2015-12 EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area
by Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi - 2015-11 Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
by Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek - 2015-10 Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models
by Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme - 2015-09 Unbalanced Regressions and the Predictive Equation
by Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés - 2015-08 Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis
by Alfonso Irarrazabal & Juan Carlos Parra-Alvarez - 2015-04 Understanding volatility dynamics in the EU-ETS market
by Maria Eugenia Sanin & Maria Mansanet-Bataller & Francesco Violante - 2015-03 Weak diffusion limits of dynamic conditional correlation models
by Christian M. Hafner & Sebastien Laurent & Francesco Violante - 2015-02 Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions
by Tim Bollerslev & Andrew J. Patton & Wenjing Wang - 2015-01 Explosive bubbles in house prices? Evidence from the OECD countries
by Tom Engsted & Simon J. Hviid & Thomas Q. Pedersen
2014
- 2015-55 Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels
by Kadir G. Babaoglou & Peter Christoffersen & Steven L. Heston & Kris Jacobs - 2015-07 Option Valuation with Observable Volatility and Jump Dynamics
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon - 2015-06 Oil Volatility Risk and Expected Stock Returns
by Peter Christoffersen & Xuhui (Nick) Pan - 2015-05 Equity Portfolio Management Using Option Price Information
by Peter Christoffersen & Xuhui (Nick) Pan - 2014-58 Inference in High-dimensional Dynamic Panel Data Models
by Anders Bredahl Kock & Haihan Tang - 2014-57 Indirect inference with time series observed with error
by Eduardo Rossi & Paolo Santucci de Magistris - 2014-56 The Risk Premia Embedded in Index Options
by Torben G. Andersen & Nicola Fusari & Viktor Todorov - 2014-55 Forecasting Long Memory Series Subject to Structural Change: A Two-Stage Approach
by Gustavo Fruet Dias & Fotis Papailias - 2014-54 On spectral distribution of high dimensional covariation matrices
by Claudio Heinrich & Mark Podolskij - 2014-53 Cross listing: price discovery dynamics and exchange rate effects
by Cristina M. Scherrer - 2014-52 Testing the maximal rank of the volatility process for continuous diffusions observed with noise
by Tobias Fissler & Mark Podolskij - 2014-51 Ambit fields: survey and new challenges
by Mark Podolskij - 2014-50 On non-standard limits of Brownian semi-stationary
by Kerstin Gärtner & Mark Podolskij - 2014-49 Tail Risk Premia and Return Predictability
by Tim Bollerslev & Viktor Todorov & Lai Xu - 2014-48 Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns
by Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov - 2014-47 Dynamic term structure models: The best way to enforce the zero lower bound
by Martin M. Andreasen & Andrew Meldrum - 2014-46 On the Selection of Common Factors for Macroeconomic Forecasting
by Alessandro Giovannelli & Tommaso Proietti - 2014-45 Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors
by Nektarios Aslanidis & Charlotte Christiansen & Neophytos Lambertides & Christos S. Savva - 2014-44 Deterministic and stochastic trends in the Lee-Carter mortality model
by Laurent Callot & Niels Haldrup & Malene Kallestrup Lamb - 2014-43 On the identification of fractionally cointegrated VAR models with the F(d) condition
by Paolo Santucci de Magistris & Federico Carlini - 2014-42 Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
by Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros - 2014-41 Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy
by Laurent Callot & Johannes Tang Kristensen - 2014-40 Optimal hedging with the cointegrated vector autoregressive model
by Søren Johansen & Lukasz Gatarek - 2014-39 Outlier detection algorithms for least squares time series regression
by Søren Johansen & Bent Nielsen - 2014-38 Times Series: Cointegration
by Søren Johansen - 2014-37 Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets
by Gustavo Fruet Dias & George Kapetanios - 2014-36 Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso
by Mehmet Caner & Anders Bredahl Kock - 2014-35 Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
by Ulrich Hounyo - 2014-34 Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
by Morten Ørregaard Nielsen - 2014-33 Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500
by Massimiliano Caporin & Luca Corazzini & Michele Costola - 2014-32 The wild tapered block bootstrap
by Ulrich Hounyo - 2014-31 Factor Structure in Commodity Futures Return and Volatility
by Peter Christoffersen & Asger Lunde & Kasper V. Olesen - 2014-30 ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
by Michael Creel & Dennis Kristensen - 2014-29 Chasing volatility - A persistent multiplicative error model with jumps
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - 2014-28 Fama on bubbles
by Tom Engsted - 2014-27 Volatility jumps and their economic determinants
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - 2014-26 Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation?
by Markku Lanne & Jani Luoto & Henri Nyberg - 2014-25 Bootstrapping Kernel-Based Semiparametric Estimators
by Matias D. Cattaneo & Michael Jansson - 2014-24 A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
by Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu - 2014-23 A fractionally cointegrated VAR analysis of economic voting and political support
by Maggie E. C. Jones & Morten Ørregaard Nielsen & Michael Ksawery Popiel - 2014-22 Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor - 2014-21 Discretization of Lévy semistationary processes with application to estimation
by Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen - 2014-20 Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach
by Martyna Marczak & Tommaso Proietti - 2014-19 Discriminating between fractional integration and spurious long memory
by Niels Haldrup & Robinson Kruse - 2014-18 Extreme negative coexceedances in South Eastern European stock markets
by Dragan Tevdovski - 2014-17 Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models
by Markku Lanne & Henri Nyberg - 2014-16 Simulation of multivariate diffusion bridges
by Mogens Bladt & Samuel Finch & Michael Sørensen - 2014-15 On an Estimation Method for an Alternative Fractionally Cointegrated Model
by Federico Carlini & Katarzyna Lasak - 2014-14 Functional limit theorems for generalized variations of the fractional Brownian sheet
by Mikko S. Pakkanen & Anthony Réveillac - 2014-13 Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou - 2014-12 Forecasting with the Standardized Self-Perturbed Kalman Filter
by Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris - 2014-11 Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition
by Yukai Yang - 2014-10 Price discovery in dual-class shares across multiple markets
by Marcelo Fernandes & Cristina M. Scherrer - 2014-09 A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market
by A.S. Hurn & Annastiina Silvennoinen & Timo Teräsvirta - 2014-08 Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications
by Timo Teräsvirta & Yukai Yang - 2014-07 Noncausal Bayesian Vector Autoregression
by Markku Lanne & Jani Luoto - 2014-06 Are University Admissions Academically Fair?
by Debopam Bhattacharya & Shin Kanaya & Margaret Stevens - 2014-05 Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity
by Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg - 2014-04 Linearity and Misspecification Tests for Vector Smooth Transition Regression Models
by Timo Teräsvirta & Yukai Yang - 2014-03 A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model
by Paul Catani & Timo Teräsvirta & Meiqun Yin - 2014-02 150 Years of Italian CO2 Emissions and Economic Growth
by Barbara Annicchiarico & Anna Rita Bennato & Emilio Zanetti Chini - 2014-01 Bagging Weak Predictors
by Manuel Lukas & Eric Hillebrand - 2013-19 Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange
by Asger Lunde & Kasper V. Olesen
2013
- 2013-52 The Fine Structure of Equity-Index Option Dynamics
by Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen - 2013-51 Oracle Inequalities for Convex Loss Functions with Non-Linear Targets
by Mehmet Caner & Anders Bredahl Kock - 2013-50 Nonparametric Estimation of Cumulative Incidence Functions for Competing Risks Data with Missing Cause of Failure
by Georgios Effraimidis & Christian M. Dahl - 2013-49 Correlation Dynamics and International Diversification Benefits
by Peter Christoffersen & Vihang R. Errunza & Kris Jacobs & Xisong Jin - 2013-48 Illiquidity Premia in the Equity Options Market
by Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui - 2013-47 The Factor Structure in Equity Options
by Peter Christoffersen & Mathieu Fournier & Kris Jacobs - 2013-46 Dynamic Diversification in Corporate Credit
by Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois - 2013-45 Rare Disasters and Credit Market Puzzles
by Peter Christoffersen & Du Du & Redouane Elkamhi - 2013-44 On the identification of fractionally cointegrated VAR models with the F(d) condition
by Federico Carlini & Paolo Santucci de Magistris - 2013-43 Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
by Torben G. Andersen & Oleg Bondarenko - 2013-42 Reflecting on the VPIN Dispute
by Torben G. Andersen & Oleg Bondarenko - 2013-41 Does Realized Skewness Predict the Cross-Section of Equity Returns?
by Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez - 2013-40 Polynomial Regressions and Nonsense Inference
by Daniel Ventosa-Santaulària & Carlos Vladimir Rodríguez-Caballero - 2013-39 A comparison of numerical methods for the solution of continuous-time DSGE models
by Juan Carlos Parra-Alvarez - 2013-38 Sticky continuous processes have consistent price systems
by Christian Bender & Mikko S. Pakkanen & Hasanjan Sayit - 2013-37 Classifying Returns as Extreme: European Stock and Bond Markets
by Charlotte Christiansen - 2013-36 Analyzing Oil Futures with a Dynamic Nelson-Siegel Model
by Niels S. Hansen & Asger Lunde - 2013-35 A unified framework for testing in the linear regression model under unknown order of fractional integration
by Bent Jesper Christensen & Robinson Kruse & Philipp Sibbertsen - 2013-34 The Exponential Model for the Spectrum of a Time Series: Extensions and Applications
by Tommaso Proietti & Alessandra Luati - 2013-33 Edgeworth expansion for functionals of continuous diffusion processes
by Mark Podolskij & Nakahiro Yoshida - 2013-32 Generalizing smooth transition autoregressions
by Emilio Zanetti Chini - 2013-31 Risk-Return Trade-Off for European Stock Markets
by Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva - 2013-30 Bootstrapping realized volatility and realized beta under a local Gaussianity assumption
by Ulrich Hounyo - 2013-29 Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
by Jiti Gao & Shin Kanaya & Degui Li & Dag Tjøstheim - 2013-28 Bootstrapping pre-averaged realized volatility under market microstructure noise
by Ulrich Hounyo & Sílvia Goncalves & Nour Meddahi - 2013-27 Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox
by Nima Nonejad - 2013-26 Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach
by Nima Nonejad - 2013-25 Time-Consistency Problem and the Behavior of US Inflation from 1970 to 2008
by Nima Nonejad - 2013-24 A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory
by Nima Nonejad - 2013-23 Estimating Stochastic Volatility Models using Prediction-based Estimating Functions
by Asger Lunde & Anne Floor Brix - 2013-22 Diffusion Indexes with Sparse Loadings
by Johannes Tang Kristensen - 2013-21 Lassoing the Determinants of Retirement
by Malene Kallestrup-Lamb & Anders Bredahl Kock & Johannes Tang Kristensen - 2013-20 Oracle inequalities for high-dimensional panel data models
by Anders Bredahl Kock - 2013-18 Thresholds and Smooth Transitions in Vector Autoregressive Models
by Kirstin Hubrich & Timo Teräsvirta - 2013-17 Interest Rates with Long Memory: A Generalized Affine Term-Structure Model
by Daniela Osterrieder - 2013-16 Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression
by Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk - 2013-15 Assessing Relative Volatility/Intermittency/Energy Dissipation
by Ole E. Barndorff-Nielsen & Mikko S. Pakkanen & Jürgen Schmiegel - 2013-14 Forecasting US Recessions: The Role of Sentiments
by Charlotte Christiansen & Jonas Nygaard Eriksen & Stig V. Møller - 2013-13 Bond return predictability in expansions and recessions
by Tom Engsted & Stig V. Møller & Magnus Sander - 2013-12 The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications
by Martin M. Andreasen & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez - 2013-11 Changes in persistence, spurious regressions and the Fisher hypothesis
by Robinson Kruse & Daniel Ventosa-Santaulària & Antonio E. Noriega - 2013-10 Bias-corrected estimation in potentially mildly explosive autoregressive models
by Hendrik Kaufmannz & Robinson Kruse - 2013-09 Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
by Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk - 2013-08 Fractional cointegration rank estimation
by Katarzyna Lasak & Carlos Velasco - 2013-07 Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns
by Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi - 2013-06 Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets
by Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya - 2013-05 Asymptotic analysis of the Forward Search
by Søren Johansen & Bent Nielsen - 2013-04 Housing market volatility in the OECD area: Evidence from VAR based return decompositions
by Tom Engsted & Thomas Q. Pedersen - 2013-03 It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model
by Stefano Grassi & Paolo Santucci de Magistris - 2013-02 Risk premia in energy markets
by Almut E. D. Veraart & Luitgard A. M. Veraart - 2013-01 Limit theorems for power variations of ambit fields driven by white noise
by Mikko S. Pakkanen
2012
- 2012-58 Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries
by Tom Engsted & Thomas Q. Pedersen - 2012-57 A test for the rank of the volatility process: the random perturbation approach
by Jean Jacod & Mark Podolskij - 2012-56 And Now, The Rest of the News: Volatility and Firm Specific News Arrival
by Robert F. Engle & Martin Klint Hansen & Asger Lunde - 2012-55 A Non-standard Empirical Likelihood for Time Series
by Daniel J. Nordman & Helle Bunzel & Soumendra N. Lahiri - 2012-54 Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis
by Matthew T. Holt & Timo Teräsvirta - 2012-53 Multivariate Variance Targeting in the BEKK-GARCH Model
by Rasmus Søndergaard Pedersen & Anders Rahbek - 2012-52 Asymptotic theory for Brownian semi-stationary processes with application to turbulence
by José Manuel Corcuera & Emil Hedevang & Mikko S. Pakkanen & Mark Podolskij - 2012-51 Stock Return and Cash Flow Predictability: The Role of Volatility Risk
by Tim Bollerslev & Lai Xu & Hao Zhou - 2012-50 GARCH Option Valuation: Theory and Evidence
by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai - 2012-49 Nonlinear Kalman Filtering in Affine Term Structure Models
by Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui - 2012-48 Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach
by Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois - 2012-47 The role of initial values in nonstationary fractional time series models
by Søren Johansen & Morten Ørregaard Nielsen - 2012-46 The Selection of ARIMA Models with or without Regressors
by Søren Johansen & Marco Riani & Anthony C. Atkinson - 2012-45 Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics
by Peter Reinhard Hansen & Allan Timmermann - 2012-44 Exponential GARCH Modeling with Realized Measures of Volatility
by Peter Reinhard Hansen & Zhuo Huang - 2012-43 Choice of Sample Split in Out-of-Sample Forecast Evaluation
by Peter Reinhard Hansen & Allan Timmermann - 2012-42 End-of-the-year economic growth and time-varying expected returns
by Stig V. Møller & Jesper Rangvid - 2012-41 Let's Do It Again: Bagging Equity Premium Predictors
by Eric Hillebrand & Tae-Hwy Lee & Marcelo C. Medeiros - 2012-40 Limit theorems for non-degenerate U-statistics of continuous semimartingales
by Mark Podolskij & Christian Schmidt & Johanna Fasciati Ziegel - 2012-39 Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
by H. Peter Boswijk & Michael Jansson & Morten Ørregaard Nielsen - 2012-38 Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions
by Anders Bredahl Kock & Laurent A.F. Callot - 2012-37 Estimating High-Dimensional Time Series Models
by Marcelo C. Medeiros & Eduardo F. Mendes - 2012-36 Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
by Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor - 2012-35 The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums
by Daniela Osterrieder & Peter C. Schotman - 2012-34 Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy
by Nektarios Aslanidis & Charlotte Christiansen - 2012-33 Integration of European Bond Markets
by Charlotte Christiansen - 2012-32 Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM
by Olaf Posch & Andreas Schrimpf - 2012-31 Asymptotic Theory for Regressions with Smoothly Changing Parameters
by Eric Hillebrand & Marcelo C. Medeiros & Junyue Xu - 2012-30 Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
by Eric Hillebrand & Marcelo C. Medeiros - 2012-29 Unit Root Vector Autoregression with volatility Induced Stationarity
by Anders Rahbek & Heino Bohn Nielsen - 2012-28 Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?
by Johannes Tang Kristensen - 2012-27 Housing price forecastability: A factor analysis
by Lasse Bork & Stig V. Møller - 2012-26 Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces
by Lei Pan & Olaf Posch & Michel van der Wel - 2012-25 Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates
by Heejoon Han & Dennis Kristensen - 2012-24 Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs
by Zhenjiang Qin - 2012-23 Heterogeneous Beliefs, Public Information, and Option Markets
by Zhenjiang Qin - 2012-22 Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare
by Peter O. Christensen & Zhenjiang Qin - 2012-21 On the estimation of the volatility-growth link
by Andrey Launov & Olaf Posch & Klaus Wälde - 2012-20 On tests for linearity against STAR models with deterministic trends
by Hendrik Kaufmann & Robinson Kruse & Philipp Sibbertsen - 2012-19 The impact of financial crises on the risk-return tradeoff and the leverage effect
by Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu - 2012-18 Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors
by Eric Hillebrand & Tae-Hwy Lee - 2012-16 Oracle Inequalities for High Dimensional Vector Autoregressions
by Anders Bredahl Kock & Laurent A.F. Callot - 2012-15 Heterogeneous Computing in Economics: A Simplified Approach
by Matt P. Dziubinski & Stefano Grassi - 2012-14 Unit roots, nonlinearities and structural breaks
by Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov - 2012-13 Modelling electricity day–ahead prices by multivariate Lévy semistationary processes
by Almut E. D. Veraart & Luitgard A. M. Veraart - 2012-12 Goodness-of-fit testing for fractional diffusions
by Mark Podolskij & Katrin Wasmuth - 2012-10 Model Selection in Kernel Ridge Regression
by Peter Exterkate