Working papers and work in progress »

Insurance and Banking Interconnectedness in Europe: the Opinion of Equity Markets. Download here.

Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting? (R. Vidova-Koleva). Download here (an updated version is forthcoming in Journal of forecasting).

How arbitrage-free is the Nelson-Siegel model? (with L. Coroneo and R. Vidova-Koleva), ECB working paper no 874, February 2008. Download here (an updated version is published in Journal of Empirical Finance).

Ensuring positivity when projecting yield curves: another look at the Nelson-Siegel model (with C.Tanggaard, R. Vidova-Koleva and F. Monar).

Joint modeling of international yield curves (with M. Koivu and J. Stromberg). Download here

A factor risk model with reference returns (with C. Bernadell and J. Coche), ECB working paper no 641, June 2006. Download here

Foreign reserve management subject to a policy objective (with J. Coche, M. Koivu and V. Poikonen), ECB working paper no 624, May 2006. Download here

Yield curve prediction for the strategic investor (with C. Bernadell and J. Coche), ECB working paper no 472, April 2005. Download here

The Use of Portfolio Credit Risk Models in Central Banks, ECB Occasional Paper No. 64 (with U. Bindseil, H. Van der Hoorn, H. Schwartzlose). Download here

Refereed publications »

Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting? (R. Vidova-Koleva), 2011, Journal of Forecasting, forthcoming.

How arbitrage-free is the Nelson-Siegel model? (with L. Coroneo and R. Vidova-Koleva), 2011, Journal of Empirical Finance, Vol18(3), 393-407.

Long horizon yield curve forecasts: comparison of parametric and semi-parametric approaches, (with R. Rebonato), Applied Financial Economics, 2008, Vol 18(20), 1597-1611

The yield curve and macro fundamentals in forecasting exchange rates (with M. Koivu and J. Stromberg), Journal of Financial Forecasting, 2007, Vol. 1(2), 63-83

A new approach to predicting recessions, Economic Notes, 2007, Vol. 36, 27-42

Evolving yield curves in the real-world measure: a semi-parametric approach, Journal of Risk, 2005, Vol. 7(3), 29-61, (with R. Rebonato, S. Mahal, M. Joshi, L.-D. Bucholz)

Inferring the private information content of trades: a regime switching approach, Journal of Applied Econometrics, 2003, Vol. 18, 457-470

Estimating the probability of informed trading, Journal of Financial Research, 2002, Vol. 25(4), 485-505

Regime shifts in the Danish term structure of interest rates, Empirical Economics, 2000, 25(1), 1-13, (with T. Engsted)

Estimation of the effective bid-ask spread on high frequency Danish bond data, European Journal of Finance, 1999, 5, 109-122

Estimation of the bid/ask spread on Danish stocks, and evaluation of Roll’s estimator, Applied Financial Economics, 1997, 7, 605-610

Books and contributions to books »

Central Bank Reserves and Sovereign Wealth Management, Palgrave Macmillan, 2009, (co-editors A. Berkelaar and J. Coche)

Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, Palgrave Macmillan, 2009, (co-editors A. Berkelaar and J. Coche)

Risk Management for Central Banks and Other Public Investors, Cambridge University Press (Eds. Bindseil, Tabakis, Gonzalez), Cambridge University Press, 2009, (Chapter 2: Strategic Asset Allocation for Fixed Income Investors, with M. Koivu and F. Monar)

Strategic Asset Allocation in Fixed Income Markets: A Matlab Based User’s Guide, John Wiley, 2008

Dissertations »

Essays on empirical market microstructure (Ph.D.)

Estimating the components of the spread on Danish stocks (M.Sc., in Danish)