A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model (joint with J. Kang, A. Silvennoinen, T. Teräsvirta, G. Wade), 2022, Econometrics, 10.
Stock market volatility and public information flow: A non-linear perspective (joint with K. P. Bertelsen and D. Borup), 2021, Economics Letters, 204.
Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model (joint with D. Borup), 2019, Quantitative Finance, 19, pp. 1839-1855.