Member of the Accounting and Finance Section and CREATES

Personal website

Research Secretary: Pernille Vorsø Jachobsen

Main Publications:

Search and predictability of prices in the housing market, with Stig V. Møller, Thomas Q. Pedersen and Allan Timmermann. Management Science, forthcoming.

In search of a job: Forecasting employment growth using Google trends, with Daniel Borup. Journal of Business and Economic Statistics, Vol. 40, 2022. MATLAB programs and data reproducing the main results are available for download here.

Other Publications:

Quantifying investor narratives and their role during COVID-19, with Daniel Borup, Jorge Hansen, and Benjamin Liengaard. Journal of Applied Econometrics, forthcoming.

Mixed-frequency machine learning: Now- and backcasting weekly initial claims wih daily internet seach-volume data, with Daniel Borup and David E. Rapach. International Journal of Forecasting, forthcoming. Python code and data available here.

Asset pricing with data revisions, with Daniel Borup. Journal of Financial Markets, Vol. 59, 2022.

Testing for explosive bubbles in the presence of autocorrelated innovations, with Thomas Quistgaard Pedersen. Journal of Empirical Finance, Vol. 58, 2020. MATLAB programs implementing the bootstrap tests are available for download here.