Ausgewählte Publikationen (siehe CV für eine vollständige Liste)
- 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)