• Demetrescu, M. and U. Homm (2016), Tests for No Cross-Sectional Error Correlation in Large-N Panel Data Models. Journal of Applied Econometrics  31 (1), 4-31. 
• Demetrescu, M. and U. Hassler (2016), (When) Do Long Autoregressions Account for Neglected Changes in Parameters? Econometric Theory 32(6), 1317-1348.
• Breitung, J. and M. Demetrescu (2015), Instrumental Variable and Variable Addition Based Inference in Predictive Regressions. Journal of Econometrics 187 (1), 358-375. Companion working paper.
• Demetrescu, M. and C. Hanck  (2012), Unit Root Testing in Heteroskedastic Panels using the Cauchy Estimator. Journal of Business and Economic Statistics 30 (2), 256-264.
• Demetrescu, M., V. Kuzin and U. Hassler (2008), Long Memory Testing in the Time Domain. Econometric Theory 24 (1), 176-215. Companion working paper

• Demetrescu, M. (2007), Optimal Forecast Intervals under Asymmetric Loss. Journal of Forecasting 26 (4), 227-238.

Working papers

• Nonlinear Predictability of Stock Returns? Parametric vs. nonparametric inference in predictive regressions, with B. Hillmann
• Robust Inference under Time-Varying Volatility: A Real-Time Evaluation of Professional Forecasters, with C. Hanck and R. Kruse
• Inference on the Asymmetry of Loss Functions with Persistent Instruments, with C. Roling
• Testing for constant correlation of filtered series under structural change, with D. Wied
• Finite-sample size control of IVX-based tests in predictive regressions, with M. Hosseinkouchack
• Robust fixed-b testing under time-varying volatility, with C. Hanck and R. Kruse
• Residual-augmented IVX predictive regression, with P.M.M. Rodrigues
• Homogenous vs. Heterogenous Transition Functions in Smooth Transition Regressions: An LM-Type Test, with J. Leppin and S. Reitz
• Bias Corrections for Exponentially Transformed Forecasts: Are they worth the effort? with V. Golosnoy and A. Titova
• Testing the Fractionally Integrated Hypothesis using M Estimation, with P.M.M. Rodrigues and A. Rubia
• On the Long-Memory Properties of Modulated Processes, with P. Sibbertsen; published as "Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility"; Economics Letters 144, 80–84
• Nonstationary-Volatility Robust Non-Cointegration Tests with an Application to Cross-Dependent Panels, with C. Hanck; published as "Multiple Testing for No Cointegration under Nonstationary Volatility"; Oxford Bulletin of Economics and Statistics

• Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss, with C. Roling (we're currently revising)

• Regression-Based Fractional Cointegration Testing under Estimated Degree of Integration, with V. Kuzin and N. Salish (we're currently revising)
• Factor-Based Forecasting under Asymmetric Loss, with S. Hacioglu

Work in progress & andere

• Cross-Sectional Error Dependence in Panel Quantile Regressions, with M. Hosseinkouchak
• Robust Inference in Panel Predictive Regressions, with D. Floro
• On the use of VAR models with ignored changes in mean and variance, with N. Salish
• Identification and estimation of dynamic factor models, with J. Breitung
• Monitoring Value-at-Risk and Expected Shortfall Forecasts, with Y. Hoga
• Robust Inference in Dynamic Regression Models with Persistent Regressors, with J. Breitung
• Spurious Long-Range Dependence in Realized Volatilities? A panel examination, with C. Pigorsch and A.I. Tarcolea

• Long Autoregressions under Asymmetric Loss, with A. Titova
• Testing the Marginal Normality of Heteroskedastic Series, with R. Kruse
• Fractional Integration and Cointegration Testing Using the Sample Mean (not working on it anymore)
• Corrigendum to "Testing predictive regression models with nonstationary regressors" (Zongwu Cai and Yunfei Wang, Journal of Econometrics 178, 4-14)