• Demetrescu, M. and U. Hassler (2016), (When) Do Long Autoregressions Account for Neglected Changes in Parameters? Econometric Theory 32(6), 1317-1348.
• 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. 
• 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

• Inference on the Asymmetry of Loss Functions with Persistent Instruments, with C. Roling
• Residual-based inference on moment hypotheses, with an application to testing for constant correlation, with D. Wied
• Finite-sample size control of IVX-based tests in predictive regressions, with M. Hosseinkouchack
• Inference in Additive Nonlinear Predictive Models with Regressors of Uncertain Persistence, with B. Hillmann
• Fixed-b Inference in the Presence of Time-Varying Volatility, with C. Hanck and R. Kruse
• Residual-augmented IVX predictive regression, with P.M.M. Rodrigues
• 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

• 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 (we're currently revising)

Work in progress & andere

• On the use of VAR models with ignored changes in mean and variance, with N. Salish
• 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
• Robust Inference in Dynamic Regression Models with Persistent Regressors, with J. Breitung
• Robust Inference in Panel Predictive Regressions, with D. Floro

• 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)