Publications in international refereed Journals

• Subsampling Realized Kernels,  Forthcoming in Journal of Econometrics , with Ole E. Barndorff-Nielsen, Peter R. Hansen and Neil Shephard.

  [appendix webpage]

   

• Realized Kernels in Practice: Trades and Quotes, Forthcoming in Econometrics Journal, with Ole E. Barndorff-Nielsen, Peter R. Hansen and Neil Shephard.

• Designing Realized Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise,, Econometrica, 2008, Vol. 76, No. 6, 1481–1536, with Ole E. Barndorff-Nielsen, Peter R. Hansen and Neil Shephard.

  [appendix webpage]

   

• Moving average-based Estimators of Integrated Variance, Econometric Reviews, 2008, Vol. 27, No. 1, pp. 79-111, with Peter R. Hansen and Jeremy Large.

   

• The Greenspan Years: An Analysis of the Magnitude and speed of the Equity Market Response to FOMC Announcements, Financial Markets and Potfolio Management, 2008, Vol. 22, pp. 3-20, with Allan A. Zebedee, Eric Bentzen and Peter R. Hansen.

   

• Integrated Covariance Estimation Using High-Frequency Data in the Presence of Noise, Journal of Financial Econometrics, 2007, Vol. 5, No. 1, pp. 68-104, with Valeri Voev.

   

• Realized Variance and Market Microstructure Noise, Journal of Business and Economic Statistics, 2006, Vol. 24, pp. 127-218 (inc. Comments and Rejoinder), with Peter R. Hansen.

   

• Consistent Ranking of Volatility Models, Journal of Econometrics, 2006, Vol. 131, No 1-2, pp. 97-121, with Peter R. Hansen.

   

• A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?, Journal of Applied Econometrics,  2005, Vol. 20, No 7, pp. 873-889, with Peter R. Hansen.

  Technical appendix 

   

• A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data*, Journal of Financial Econometrics, 2005, Vol. 3, No 4, pp. 525-554, with Peter R. Hansen.

   

• Completion Time Models for Stock Prices, Annals of Finance, 2005, Vol. 1, No. 3, pp. 293-326, with Allan Timmermann.

   

• Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets, Journal of Business and Economic Statistics, 2004, Vol. 22, No. 3, pp. 253-273, with Allan Timmermann.

• Choosing the Best Volatility Models: The Model Confidence Set Approach, Oxford Bulletin of Economics and Statistics, 2003, vol. 65, p 839-861, with Peter R. Hansen and James M. Nason.
   

• Trades and Quotes: A Bivariate Point Process, Journal of Financial Econometrics, 2003, vol. 1 no. 2, p 159-188, with Robert F. Engle.
   

• The NIG-S&ARCH Model: A Fat Tailed, Stochastic, and Autoregressive Conditional Heteroskedastic Volatility Model,  Econometrics Journal, 2001, vol. 4 no. 2, pp 319-342, with Morten B. Jensen.
   

• The hazards of mutual fund underperformance: A Cox regression analysis, Journal of Empirical Finance, April 1999, vol. 6 no. 2, with Allan Timmermann and David Blake.

* parts of this paper were formerly contained in a paper entitled: An Optimal Measure of Realized Variance based on Partial Available High-Frequency Data.

Conference Proceedings

• Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability, Proceedings for The 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, pp. 301-307 (2003),  with Peter R. Hansen.

Working Papers

• Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading, with Ole E. Barndorff-Nielsen, Peter R. Hansen and Neil Shephard.

  Version: August 2008.

  [paper] [appendix webpage]

   

• Convertible bond calls,
  with Ken Bechmann and Allan Zebedee

  Version: October 2005.

   

• The Greenspan Effect on Equity Markets: An Intraday Examination of US Monetary Policy Announcements,
  with Allan A. Zebedee, Eric Bentzen and Peter R. Hansen.

  Version: October 2005.

  [paper]

   

• Model Confidence Sets for Forecasting Models, with Peter R. Hansen and James M. Nason.

  First version: Marts 2004.

  [paper]

   

• An Unbiased Measure of Realized Variance*, with Peter R. Hansen.

  Main results of this paper have become part of “Realized Variance and Market Microstructure Noise”.

  [paper] [Technical appendix, 5mb]

   

• Testing the Significance of Calendar Effects, with Peter R. Hansen.

  This version: January 2003, First version: September 2002

  [paper]

   

• A Generalized Gamma Autoregressive Conditional Duration Model

  This version: February 1999, First version: November 1996

  [paper]

   

• A Conjugate Gamma Model for Durations in Transaction Data

  This version: February 1999, First version: November 1995

  [paper]