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Semiparametric Inference in a GARCH-in-Mean Model. / Christensen, Bent Jesper ; Dahl, Christian Møller ; Iglesias, Emma .
In: Journal of Econometrics, Vol. 167, No. 2, 2012, p. 458-472.Publication: Research - peer-review › Journal article
The impact of financial crises on the risk-return tradeoff and the leverage effect. / Christensen, Bent Jesper ; Nielsen, Morten Ørregaard ; Zhu, Jie.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2012. (CREATES Research Papers; 2012-19).Publication: Research › Working paper
The Impact of Health Changes on Labor Supply: Evidence from Merged Data on Individual Objective Medical Diagnosis Codes and Early Retirement Behavior. / Christensen, Bent Jesper ; Kallestrup-Lamb, Malene.
In: Health Economics, 2012.Publication: Research - peer-review › Journal article
Estimating Dynamic Equilibrium Models using Macro and Financial Data. / Christensen, Bent Jesper ; Posch, Olaf ; van der Wel, Michel.
CREATES, Institut for Økonomi, Aarhus Universitet, 2011. (CREATES Research Paper; 2011-21).Publication: Research › Working paper
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction. / Bollerslev, Tim ; Christensen, Bent Jesper ; Haldrup, Niels ; Lunde, Asger.
In: Journal of Time Series Econometrics, Vol. 3, No. 1, Article 1, 2011.Publication: Research - peer-review › Journal article
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. / Busch, Thomas ; Christensen, Bent Jesper ; Nielsen, Morten Ørregaard.
In: Journal of Econometrics, Vol. 160, No. 1, 2011, p. 48-57.Publication: Research - peer-review › Journal article
Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach. / Bach, Christian ; Christensen, Bent Jesper.
Aarhus : CREATES, Institut for Økonomi, Aarhus Universitet, 2010. (CREATES Research Papers; 2010-61).Publication: Research › Working paper
An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses. / Christensen, Bent Jesper ; van der Wel, Michel.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2010. (CREATES Research Papers; 2010-14).Publication: Research › Working paper
Level Shifts in Volatility and the Implied-Realized Volatility Relation. / Christensen, Bent Jesper ; de Magistris, Paolo Santucci.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2010. (CREATES Research Papers; 2010-60).Publication: Research › Working paper
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model. / Christensen, Bent Jesper ; Nielsen, Morten Ørregaard ; Zhu, Jie.
In: Journal of Empirical Finance, Vol. 17, No. 3, 2010, p. 460-470.Publication: Research - peer-review › Journal article
The Impact of Health Changes on Labor Supply: Evidence from Merged Data on Individual Objective Medical Diagnosis Codes and Early Retirement Behavior. / Christensen, Bent Jesper ; Kallestrup-Lamb, Malene.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2010. (CREATES Research Papers; 2010-62).Publication: Research › Working paper
The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model. / Christensen, Bent Jesper ; Posedel, Petra.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2010. (CREATES Research Papers; 2010-50).Publication: Research › Working paper
The SR Approach: a new Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models. / Andreasen, Martin Møller ; Christensen, Bent Jesper.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2010. (CREATES Research Papers; 2010-12).Publication: Research › Working paper
Economic Modeling and Inference. / Christensen, Bent Jesper ; Kiefer, Nicholas M..
1 ed. Princeton, N.J. : Princeton University Press, 2009. 488 p.Publication: Research › Book
Optimal inference in dynamic models with conditional moment restrictions. / Christensen, Bent Jesper ; Sørensen, Michael.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2008. (CREATES Research Papers; 2008-51).Publication: Research › Working paper
Semiparametric Inference in a GARCH-in-Mean Model. / Christensen, Bent Jesper ; Dahl, Christian Møller ; Iglesias, Emma M..
Aarhus : Institut for Økonomi, Aarhus Universitet, 2008. (CREATES Research Papers; 2008-46).Publication: Research › Working paper
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model. / Christensen, Bent Jesper ; Nielsen, Morten Ørregaard ; Zhu, Jie.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2007. (CREATES Research Papers; 2007-10).Publication: Research › Working paper
Market Power in Power Markets: Evidence from Forward Prices of Electricity. / Christensen, Bent Jesper ; Jensen, Thomas Elgaard ; Mølgaard, Rune.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2007. (CREATES Research Paper; 2007-30).Publication: Research › Working paper
The Effect of Long Memory in Volatility on Stock Market Fluctuations. / Christensen, Bent Jesper ; Nielsen, Morten Ørregaard.
Aarhus : CREATES, Institut for Økonomi, Aarhus Universitet, 2007. (CREATES Research Papers; 2007-3).Publication: Research › Working paper
The Effect of Long Memory in Volatility on Stock Market Fluctuations. / Christensen, Bent Jesper ; Nielsen, Morten Ørregaard.
In: Review of Economics and Statistics, Vol. 89, No. 4, 2007, p. 684-700.Publication: Research - peer-review › Journal article
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock and Bond Markets. / Christensen, Bent Jesper.
University of Aarhus, 2007. (CREATES Research Papers; 2007-9).Publication: Research › Working paper
Asymptotic Normality of Narrow-Band Least Squares in the Stationary Fractional Cointegration Model and Volatility Forecasting. / Christensen, Bent Jesper ; Nielsen, Morten Ørregaard.
In: Journal of Econometrics, Vol. 133, 2006, p. 343-371.Publication: Research - peer-review › Journal article
Forecasting Exchange Rate Volatility in the Presence of Jumps. / Busch, Thomas ; Christensen, Bent Jesper ; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2006. (Working Papers - Afdeling for Virksomhedsledelse; 2006-2).Publication: Research › Working paper
Investment in Advertising Campaigns and Search: Identification and Inference in Marketing and Dynamic Programming Models. / Christensen, Bent Jesper ; Kiefer, Nicholas M..
In: Structural Models of Wage and Employment Dynamics. ed. / Henning Bunzel ; Bent Jesper Christensen ; George R. Neumann ; Jean-Marc Rubin. Amsterdam : Pergamon Press, 2006. p. 331-364.Publication: Research › Book chapter
Labor Mobility in Bolivia: A Comparison of Public and Private Sector Employees. / Christensen, Bent Jesper ; Andersen, Lykke E..
2006. Paper presented at Econometric Society North-American Winter Meeting, Boston, United States.Publication: Research - peer-review › Paper
Structural Models of Wage and Employment Dynamics. / Christensen, Bent Jesper (Editor) ; Bunzel, Henning (Editor) ; Neumann, George R. (Editor) ; Rubin, Jean-Marc (Editor).
Amsterdam : Pergamon Press, 2006. 612 p.Publication: Research › Anthology
The Implied-Realized Volatility Relation With Jumps in Underlying Asset Prices. / Christensen, Bent Jesper ; Nielsen, Morten Ørregaard.
2006. Paper presented at American Finance Association Annual Meeting, Boston, United States.Publication: Research - peer-review › Paper
The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps. / Busch, Thomas ; Christensen, Bent Jesper ; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2006. (Working Papers - Afdeling for Virksomhedsledelse; 2006-1).Publication: Research › Working paper
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. / Christensen, Bent Jesper ; Busch, Thomas ; Nielsen, Morten Ørregaard.
2006. Paper presented at CIRANO-CIREQ Financial Econometrics Conference, Montreal, Canada.Publication: Research - peer-review › Paper
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. / Christensen, Bent Jesper ; Busch, Thomas ; Nielsen, Morten Ørregaard.
2006. (Management Working Papers; 2006-3).Publication: Research › Working paper
Forward and Spot prices: the "En primeur" Bordeaux Wine Market. / Meunier, Valerie ; Christensen, Bent Jesper.
2005. (Working Paper).Publication: Research › Working paper
Labor Mobility in Bolivia: A Comparison of Public and Private Sector Employees. / Andersen, Lykke Eg ; Christensen, Bent Jesper ; Delgadillo, Claudia.
In: Latin American Journal of Economic Development, 2005, p. 43-64.Publication: Research - peer-review › Journal article
On the Job Search and the Wage Distribution. / Christensen, Bent Jesper ; Lentz, Rasmus ; Mortensen, Dale ; Neumann, George ; Werwatz, Axel.
In: Journal of Labor Economics, Vol. 23, 2005, p. 31-58.Publication: Research - peer-review › Journal article
The Effect of Long Memory in Volatility on Stock Market Fluctuations. / Christensen, Bent Jesper ; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2005. (Working Papers - Afdeling for Virksomhedsledelse; 2005-5).Publication: Research › Working paper
The implied-realized volatility relation with jumps in underlying asset prices. / Christensen, Bent Jesper ; Nielsen, Morten Ørregaard.
2005. (CAF Working Paper; 202).Publication: Research › Working paper
Introduction to Special Issue on the Econometrics of Social Insurance. / Christensen, B.J. ; Datta Gupta, N. ; Rust, J..
In: Journal of Applied Econometrics, 2004, p. 647-648.Publication: Research › Journal article
Invariance Tests of Forward Rate Models. / Christensen, B.J. ; Jensen, M.S..
2004.Publication: Research › Working paper
Latent Utility Shocks in a Structural Empirical Asset Pricing Model. / Christensen, B.J. ; Raahauge, P..
Afdeling for Virksomhedsledelse, Institut for Økonomi, Aarhus Universitet, 2004. (Working Paper No. 2004-11).Publication: Research › Working paper
Multivariate Mixed Proportional Hazard Modelling of the Joint Retirement of Married Couples. / Christensen, B.J. ; An, M. ; Datta Gupta, N..
In: Journal of Applied Econometrics, Vol. 19, 2004, p. 687-704.Publication: Research - peer-review › Journal article
Financial risk modelling and econometric inference. / Christensen, B.J..
In: Acta Applicanda Mathematicae, 2003, p. 73-85.Publication: Research - peer-review › Journal article
Financial risk, volatility modelling and econometric inference. / Christensen, B.J..
Afdeling for Virksomhedsledelse, IfØ, Aarhus Universitet, 2003.Publication: Research › Working paper
On pensions and retirement: bivariate mixed proportional hazard modelling of the joint retirement of married couples. / Christensen, B.J. ; Gupta, N.D..
Afdeling for Virksomhedsledelse, IfØ, Aarhus Universitet, 2003.Publication: Research › Working paper
Finansiering, kapitalstruktur og investeringsplanlægning for små og mellemstore danske virksomheder. / Christensen, B.J..
Afdeling for Virksomhedsledelse, Aarhus Universitet, 2002.Publication: Research › Working paper
Finansiering og investeringsplanlægning for små og mellemstore danske virksomheder. / Christensen, B.J. ; Voxted, Søren (Editor).
In: Den ledelsesmæssige udfordring i små og mellemstore virksomheder. ISBN: 87-593-31015-4. ed. Frederiksberg : Samfundslitteratur, 2002. p. 123-146.Publication: Research › Book chapter
New Evidence on the Implied-Realized Volatility Relation. / Christensen, B.J. ; Hansen, C.S..
In: The European Journal of Finance, 2002, p. 187-205.Publication: Research - peer-review › Journal article
Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation. / Christensen, B.J. ; Nielsen, M.Ø..
Afdeling for Virksomhedsledelse, Aarhus Universitet, 2002.Publication: Research › Working paper
Discussion of 'Non-Gaussian Ornstein-Uhlenbeck Based Stochastic Volatility Models and Some of their Uses in Financial Econometrics'. / Christensen, B.J..
In: Journal of the Royal Statistical Society, Series B, Vol. 63, 2001, p. 219-219.Publication: Research › Letter
Estimation and inference in optimal stopping models of options and search. / Christensen, Bent Jesper ; Kiefer, N.M..
2001. (Working Paper; 2001-13).Publication: Research › Working paper
Management and Employee Compensation Policy, and matched Data on Private Firms: A No Arbitrage Asset Pricing Approach to On-the Job Search and the Wage Distribution. / Christensen, Bent Jesper ; Lentz, R. ; Mortensen, D.T. ; Neumann, G.R. ; Wervatz, A..
Institut for Økonomi, 2001. (Working Paper No. 2001-17).Publication: Research › Working paper
Monte Carlo Improvement of Estimates of the Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion. / Christensen, B.J. ; Poulsen, R..
In: Monte Carlo Methods and Applications, 2001, p. 111-124.Publication: Research › Journal article
Optimal Inference in Diffusion Models of the Short Rate of Interest. / Christensen, Bent Jesper ; Poulsen, R. ; Sørensen, M..
2001. (Working Paper No. 2001-19, Afdeling for Virksomhedsledelse).Publication: Research › Working paper
Specification and Estimation of Equilibrium Search Models. / Bunzel, H. ; Christensen, B.J. ; Jensen, Peter ; Kiefer, N.M. ; Korsholm, L. ; Muus, L. ; Neumann, G. ; Rosholm, Michael.
In: Review of Economic Dynamics, 2001, p. 90-126.Publication: Research - peer-review › Journal article
Equilibrium Search with Human Capital Accumulation. / Christensen, Bent Jesper ; Bunzel, Henning ; Kiefer, Nicholas M. ; Korsholm, Lars.
In: Panel Data and Structural Labour Market Models. ed. / Henning Bunzel ; Bent Jesper Christensen ; Peter Jensen ; Nicholas M. Kiefer ; Dale T. Mortensen. Amsterdam : North Holland, 2000. p. 107-144.Publication: Research › Book chapter
Panel Data and Structural Labour Market Models. / Christensen, Bent Jesper (Editor) ; Bunzel, Henning (Editor) ; Jensen, Peter (Editor) ; Kiefer, Nicholas M. (Editor) ; Mortensen, Dale (Editor).
Amsterdam : North Holland, 2000. 312 p.Publication: Research › Anthology
Panel Data and Structural Labour Market Models : Contributions to Economic Analysis. / Bunzel, Henning ; Jensen, Peter (Editor) ; Christensen, Bent Jesper ; Kiefer, Nicholas M. (Editor) ; Mortensen, Dale T. (Editor).
first ed. Amsterdam : Pergamon Press, 2000. 292 p.Publication: Research › Anthology
Panel Data, Local Cuts, and Orthogeodesic Models. / Christensen, Bent Jesper ; Kiefer, Nicholas M..
In: Bernoulli, Vol. 6, 2000, p. 667-678.Publication: Research - peer-review › Journal article
Simulated Moment Methods for Empirical Equivalent Martingale Measures. / Christensen, Bent Jesper ; Kiefer, Nicholas M..
In: Simulation-Based Inference in Econometrics. ed. / Roberto Mariano ; Til Schuermann ; Melvyn J. Weeks. Cambridge : Cambridge University Press, 2000. p. 183-204.Publication: Research › Book chapter
The Effect of Pension Reform on Danish Married Couples' Withdrawal from the Labour Market. / Christensen, Bent Jesper ; Datta Gupta, Nabanita.
In: Danish Journal of Economics, Vol. 138, 2000, p. 222-242.Publication: Research - peer-review › Journal article
The Equilibrium Search Model with Productivity Dispersion and Structural Unemployment: An Application to Danish Data. / Christensen, Bent Jesper ; Jensen, Peter ; Svarer, Michael ; Poulsen, Kim ; Rosholm, Michael.
In: Panel Data and Structural Labour Market Models. ed. / Henning Bunzel ; Bent Jesper Christensen ; Peter Jensen ; Nicholas M. Kiefer ; Dale T. Mortensen. Amsterdam : North Holland, 2000. p. 85-106.Publication: Research › Book chapter
Udviklingslinier i Økonometrien. / Bunzel, Henning ; Christensen, Bent Jesper ; Haldrup, Niels ; Hylleberg, Svend ; Høst, Viggo ; Jensen, Peter ; Wurtz, Allan.
In: Udviklingslinier i Økonomisk Teori. ed. / Christian Hjort-Andersen. København : Djøf / Jurist- og Økonomforbundet, 2000. p. 47-105.Publication: Research › Book chapter
Comment on ‘Stochastic Volatility and Stochastic Interest Rates in Index Option Pricing'. / Christensen, Bent Jesper.
In: European Financial Review, Vol. 3, 1999, p. 311-317.Publication: Research › Letter
Interest Rate Dynamics and Consistent Forward Rate Curves. / Christensen, Bent Jesper ; Bjork, Tomas.
In: Mathematical Finance, Vol. 9, 1999, p. 323-348.Publication: Research - peer-review › Journal article
Some Control Theoretic Aspects of Interest Rate Theory. / Christensen, Bent Jesper ; Bjork, Tomas ; Gombani, Andrea.
In: Insurance: Mathematics and Economics, Vol. 50, 1998, p. 17-23.Publication: Research - peer-review › Journal article
The Implied-Realized Volatility Relation Revisited. / Christensen, Bent Jesper ; Hansen, Charlotte Strunk.
In: Symposium i Anvendt Statistik. ed. / Viggo Høst ; Hans Jørgen Juhl. School of Economics and Management, University of Aarhus, 1998. p. 39-64.Publication: Research › Article in proceedings
The Relation Between Implied and Realized Volatility. / Christensen, Bent Jesper ; Prabhala, Nagpurnanand.
In: Journal of Financial Economics, Vol. 50, 1998, p. 125-150.Publication: Research - peer-review › Journal article
Inference in Non-Linear Panels With Partially Missing Observations: The Case of the Equilibrium Search Model. / Christensen, Bent Jesper ; Kiefer, Nicholas M..
In: Journal of Econometrics, Vol. 79, 1997, p. 201-219.Publication: Research - peer-review › Journal article
Efficiency Gains in Beta-Pricing Models. / Christensen, Bent Jesper.
In: Mathematical Finance, Vol. 4, 1994, p. 143-154.Publication: Research - peer-review › Journal article
Local Cuts and Separate Inference. / Christensen, Bent Jesper ; Kiefer, Nicholas M..
In: Scandinavian Journal of Statistics, Vol. 21, 1994, p. 389-401.Publication: Research - peer-review › Journal article
Measurement Error in the Prototypal Search Model. / Christensen, Bent Jesper ; Kiefer, Nicholas M..
In: Journal of Labor Economics, Vol. 12, 1994, p. 618-639.Publication: Research - peer-review › Journal article
Inferential Separation in the Prototypal Search Model. / Christensen, Bent Jesper ; Kiefer, Nicholas M..
In: Panel Data and Labour Market Dynamics. ed. / Henning Bunzel ; Peter Jensen ; Niels Westergaard-Nielsen. Amsterdam : North Holland, 1993. p. 231-244.Publication: Research › Book chapter
Minimum Variance Estimation in the Canonical Incomplete Information Investment Model. / Christensen, Bent Jesper.
In: Journal of Quantitative Economics, Vol. 7, 1991, p. 323-330.Publication: Research - peer-review › Journal article
The Exact Likelihood Function for an Empirical Job Search Model. / Christensen, Bent Jesper ; Kiefer, Nicholas M..
In: Econometric Theory, Vol. 7, 1991, p. 464-486.Publication: Research - peer-review › Journal article
Aarhus University
Department of Economics and Business
Fuglesangs Allé 4
DK-8210 Aarhus V
Bartholins Allé 10
Building 1322, 3rd floor
DK-8000 Aarhus C
Frichshuset
Hermodsvej 22, 1st and 2nd floor
DK-8230 Åbyhøj
Tåsingegade 1
DK-8000 Aarhus C
| E-mail: oekonomi@au.dk CVR no: 31119103 |
Students
### UNIT NAME ### is part of Business and Social Sciences, which is accredited by EQUIS (European Quality Improvement System).
As part of the academic development process at Aarhus University, the Aarhus School of Business (ASB) and the Faculty of Social Sciences (SAM) merged to become the new main academic area called Business and Social Sciences.
You can still go to www.asb.dk/en (ASB) and samfundsvidenskab.au.dk/en (SAM), but these websites will be closing soon.
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In spring 2011, Aarhus University’s nine main academic areas were reduced to four, and the fifty-five departments became twenty-six. This was to unify the organisation and to strengthen the university’s interdisciplinary approach. We are now following suit by restructuring the entire website to ensure more coherence in the content and design.
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