Department of Economics and Business Economics

Professor, PhD
Member of the Econometrics Section

Research Secretaries: Solveig Nygaard Sørensen and Bodil Krog

Asger Lunde is Professor of Economics. He holds a M.Sc. in Mathematics and Economics from Aarhus University and a Ph.D. in Economics also from Aarhus University. His research interests cover a variety of fields in time series econometrics, financial econometrics, and econometric modelling. His main contributions to econometrics include the Model Confidence Set and the Realized Kernel Estimator.

His is a research fellow at Center for Research in Econometric Analysis of Time Series (CREATES), an associate member of the Oxford-Man Institute, and a research affiliate of the Volatility Institute at Stern School of Business. He is also a council member for the Society for Financial Econometrics (SoFiE).

Asger Lunde has published his research in Econometrica, Journal of Business and Economic Statistics, Journal of Cooperate Finance, Journal of Applied Econometrics, The Econometrics Journal, and Journal of Econometrics He is an associate editor for the Journal of Financial Econometrics.

Teaching Interests

• Econometrics (theoretical, applied and micro)
• Market Microstructure
• Statistics
• Mathematics
• Micro Theory
• Financial Economics

Research Interests

• Econometrics: Model Selection, Multiple Comparisons of Forecasts and Econometric Models
• Financial Econometrics: Realized Variance, Volatility Modeling and Estimation and Mutual Fund Performance
• Dynamic Panel Data models
• Commodity Markets

Selected Publications

• Ken Bechmann, Asger Lunde and Allan Zebedee, 2014, In- and out-of-the-money convertible bond calls: Signaling or price pressure?, 2014, Journal of Corporate Finance  24, pp. 135-148
• Peter R. Hansen and Asger Lunde and James N. Nason, 2011, Model Confidence Sets for Forecasting Models, Econometrica, 79, pp. 456-497.
• Ole E. Barndorff-Nielsen, Peter R. Hansen, Asger Lunde and Neil Shephard, 2008, Designing Realized Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise. Econometrica 76, pp. 1481–1536.
• Peter R. Hansen and Asger Lunde, 2006, Realized Variance and Market Microstructure Noise. Journal of Business and Economic Statistics 24, pp. 127-218 (inc. Comments and Rejoinder).
• Peter R. Hansen and Asger Lunde, 2005, A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? Journal of Applied Econometrics 20, No 7, pp. 873-889.
• Robert F. Engle and Asger Lunde, 2003, Trades and Quotes: A Bivariate Point Process, Journal of Financial Econometrics 1 no. 2, pp. 159-188.