Kristoffer Pons Bertelsen

CREATES

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

Department of Economics

Fuglesangs Allé 4

Aarhus V

Denmark

SCHOLARLY PAPERS

3

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510

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Scholarly Papers (3)

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1.

Stock Market Volatility and Public Information Flow: A Non-linear Perspective

Economics Letters, Forthcoming
Number of pages: 43 Posted: 10 May 2021
Kristoffer Pons Bertelsen, Daniel Borup and Johan Stax Jakobsen
CREATES, Aarhus University, CREATES, DFI and CREATES
Downloads 279 (169,765)

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News analytics, mixture-distribution hypothesis, realized GARCH, smooth transitioning, stock market volatility, GARCH-MIDAS

2.

Comparing the Supremum Augmented Dickey Fuller and Log Periodic Power Law Frameworks for Identifying Bubbles

Number of pages: 74 Posted: 07 Jun 2019 Last Revised: 12 Nov 2020
Kristoffer Pons Bertelsen
CREATES
Downloads 162 (280,920)

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rational bubbles, explosive processes, log periodic power law, critical points theory

3.

The Prior Adaptive Group Lasso with an Application to Risk Factor Selection

Number of pages: 73 Posted: 01 Apr 2021
Kristoffer Pons Bertelsen
CREATES
Downloads 69 (503,215)

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Lasso, Asset Pricing, Prior Information, Variable Selection, High-Dimensional Modeling, Factor Selection, Factor Zoo