Research

Peer Review

N.S. Grønborg, A. Lunde, K.V. Olesen and H.V. Elst (2022)

Realizing Commodity Correlations.

Forthcoming, Journal of Financial Markets.

Working Paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3301322

S. Bodilsen, J. N. Eriksen and N.S. Grønborg (2021)

Asset Pricing and FOMC Press Conferences.

Journal of Banking and Finance, volume 128, 106163.

DOI: https://doi.org/10.1016/j.jbankfin.2021.106163

N.S. Grønborg, A. Lunde, A. Timmermann and R. Wermers (2021)

Picking Funds with Confidence.

Journal of Financial Economics, volume 139, issue 1, pages 1-28.

DOI: https://doi.org/10.1016/j.jfineco.2020.07.003

C. Christiansen, N.S. Grønborg and O.L. Nielsen (2019)

Mutual Fund Selection for Realistically Short Samples

Journal of Empirical Finance, forthcoming.

SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3300715

N.S. Grønborg and A. Lunde (2016)

Analyzing Oil Futures with a Dynamic Nelson-Siegel Model.

Journal of Futures Markets, Volume 36, Issue 2, pages 153-173.

DOI: http://dx.doi.org/10.1002/fut.21713

Work in progress

N. Grønborg

Quiet, the dog is barking: Evidence of predictability from frequency-specific components

Working Paper: SSRN

R. Davidson and N.S. Grønborg

Time-Varying Parameters: New Test Tailored to Applications to in Finance and Macroeconomics.

O. Nielsen, N. Grønborg, J. Joenväärä, and A. Timmermann

Hedge Fund Selection. Best athletes or portfolio gains?