Member of Section: Econometrics and Business Analytics
Research Secretary: Solveig Nygaard Sørensen

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Research and Teaching Areas

financial econometrics, machine learning and statistics, microeconometrics.

Selected Publications

• A GMM approach to estimate the roughness of stochastic volatility. forthcoming in Journal of Econometrics (with A. E. Bolko, K. Christensen, M. S. Pakkanen).
• Treatment recommendation with distributional targets. forthcoming in Journal of Econometrics (with A. B. Kock, D. Preinerstorfer).

• A machine learning approach to volatility forecasting. forthcoming in Journal of Financial Econometrics (with K. Christensen, M. Siggaard). 

• Functional sequential treatment allocation. Journal of the American Statistical Association, 2022, 117, 1311-1323 (with A. B. Kock, D. Preinerstorfer).

• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. Journal of Econometrics, 2019, 212, 556-583, (with K. Christensen, M. Thyrsgaard).

• Inference from high-frequency data: A subsampling approach. Journal of Econometrics, 2017, 197, 245-272, (with K. Christensen, M. Podolskij, N. Thamrongrant).

• Validity of Edgeworth expansions for realized volatility estimators. Econometrics Journal, 2016, 19, 1-32 (with U. Hounyo).