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| Date | Title |
Authors |
| 2004 | Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter | Schlicht, Ekkehart |
| 2008 | Models for time-varying moments using maximum entropy applied to a generalized measure of volatility | Herrmann, Klaus |
| 2009 | Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results | Herrmann, Klaus |
| 2010 | A necessary moment condition for the fractional functional central limit theorem | Johansen, Søren / Ørregaard Nielsen, Morten |
| 2010 | Long memory and fractional integration in high frequency financial time series | Caporale, Guglielmo Maria / Gil-Alana, Luis A. |
| 2006 | A new mixed multiplicative-additive model for seasonal adjusment | Arz, Stephanus |
| 2004 | Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments | Chao, John C. / Swanson, Norman R. |
| 2008 | A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic | Nielsen, Morten Ørregaard |
| 2009 | Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M model | Christensen, Bent Jesper / Nielsen, Morten Ørregaard / Zhu, Jie |
| 2012 | The role of initial values in nonstationary fractional time series models | Johansen, Søren / Ørregaard Nielsen, Morten |
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