Center for Statistics

Research

The Center for Statistics conducts research on both the theoretical foundations and practical applications of statistics and probability. Our work spans a broad range of topics, including causal inference, econometrics, empirical process theory, extreme value theory, financial econometrics, probability theory, stochastic processes, and statistical computing, among other topics.

SELECTED RESEARCH PUBLICATIONS BY CURRENT FACULTY MEMBERS

Mogensen, S. W. (2025). Weak equivalence of local independence graphs, Bernoulli (to appear) 

Beyhum, J., and Striaukas, J. (2024). Testing for sparse idiosyncratic components in factor-augmented regression models, Journal of Econometrics, 244(1), 105845.

Boyarchenko, N., Larsen, L. C., and Whelan, P. (2023). The overnight drift, The Review of Financial Studies, 36(9), 3502-3547.

Rønn-Nielsen, A., and Stehr, M. (2023). Extremal clustering and cluster counting for spatial random fields, Bernoulli, 29(4), 2771-2796.

Christoffersen, B., Lando, D., and Nielsen, S. F. (2022). Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood, Mathematical Finance, 32(4), 1214-1230.

Rønn-Nielsen, A., and Stehr, M. (2022). Extremes of Lévy-driven spatial random fields with regularly varying Lévy measure, Stochastic Processes and their Applications, 150, 19-49.

Andersen, T. G., and Varneskov, R. T. (2022). Consistent Local Spectrum Inference for Predictive Return Regressions, Econometric Theory, 38(6), 1253-1307.

Fabozzi, F. J., Klingler, S., Mølgaard, P., & Nielsen, M. S. (2021). Active loan trading. Journal of Financial Intermediation, 46, 100868.

Mogensen, S. W., and Hansen, N. R. (2020). Markov equivalence of marginalized local independence graphs. The Annals of Statistics, 48(1), 539-559.

Asmild, M., Kronborg, D., and Matthews, K. (2016). Introducing and modeling inefficiency contributions, European Journal of Operational Research, 248(2), 725-730.

Dalgaard, P. (2008). Introductory statistics with R. Springer.

The page was last edited by: Department of Finance // 04/16/2025

Contact

Center for Statistics
Solbjerg Plads 3, A4
2000 Frederiksberg