Research

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On this page you will find my papers and ongoing projects. Any comments concerning the papers are most welcome.

Research Areas

   

Volatility modeling

Analysis of long memory processes (parametric and semiparametric)

(Perturbed) fractional processes

Fractional cointegration (Implied/realized volatility relation)

Mixture of distributions hypothesis (Volume-volatility relations)

Financial decision making (Risk Management)

 

Published Papers

Volatility Modeling

    

Finite Sample Accuracy and Choice of Sampling Frequency in Integrated Volatility Estimation (with M. Ø. Nielsen). Journal of Empirical Finance, 2008, 15, 265-286. Download working paper version here.

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns (with T. G. Andersen, T. Bollerslev and M. Ø. Nielsen). Journal of Applied Econometrics, 2010, 25, 233-261. Download working paper version here.

A Comment on "Realized Variance and Market Microstructure Noise" by P. Hansen & A. Lunde (JBES Invited Session paper) (with T. G. Andersen, T. Bollerslev and M. Ø. Nielsen). Journal of Business and Economic Statistics, 24, 173 - 179. Download working paper version here.

 

Long-Memory Modeling

   

Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration (with M. Ø. Nielsen). Econometric Reviews, 2005, 24, 405-443. Download working paper version here. Download seperate appendix here.

Local Polynomial Whittle Estimation of Perturbed Fractional Processes (with M. Ø. Nielsen and F. S. Nielsen). Submitted. Forthcoming in Journal of Econometrics. Download working paper version here.

Bias-Reduced Estimation of Long-Memory Stochastic Volatility (with M. Ø. Nielsen). Journal of Financial Econometrics, 2008, 6, 496-512. Download working paper version here.

Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration (with M. Ø. Nielsen). Forthcoming in Econometrics JournalDownload working paper version here.

Testing for Spurious Long Memory in Potentially Nonstationary Perturbed Fractional Processes (with F. S. Nielsen). Forthcoming in Journal of Financial Econometrics. Download working paper version here.

 

Working Papers

  

The Information Content of Realized Volatility Forecasts (with T. G. Andersen and A. D. Staal). [Paper] 

On the Generalized Brownian Motion and its Applications in Finance (with E. P. Høg and Daniel Schiemert) (Note: This paper is a revision of the theory developed and applied in the paper "The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application, which is found here"). Submitted. [Paper].

A Dynamic Long-Memory Bivariate Mixture Model (with F. S. Nielsen). Work in progress.

MSc & BSc Projects

   

Pricing Defaultable Bonds. MSc thesis. [Paper]

A Study of the Theoretical and Practical Application of State-Space Models: Are Professional Investment Recommendations in Consensus with the Theory of Rational, Risk Averse Investors? [Paper]

Fordelinger for realiseret volatilitet for aktieafkast - eksemplificeret gennem Novo Nordisk og Tele Danmark [Paper]

Indekserede Obligationer - En analyse af den implicitte options tekniske aspekter og anvendelsesmuligheder [Paper]

En fundamentalanalyse af det danske aktiemarked 1988 - 1998 - med udgangspunkt i top-down værdiansættel-sesprocessen. BSc thesis. [Paper]

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