112 citations · 147 across the 20 of their papers we have counts for
21 papers
The "Rough" HAR Model
Mikkel Bennedsen, Kim Christensen, Peter Korsbakke Christensen +2
This paper proposes discrete-time approximations to rough continuous-time models of realized variance (RV). The leading rough models can be viewed as autoregressive processes drive…
The kinematics of global warming: Semiparametric analysis of warming level, rate, and acceleration
Mikkel Bennedsen, J. Eduardo Vera-Valdés
We develop a semiparametric kinematic state-space framework for estimating the latent dynamics of global warming from noisy monthly temperature observations. The framework estimate…
Auditing the Global Carbon Budget: Exploring the 2024--2025 Vintage Shift
Mikkel Bennedsen, Eric Hillebrand, Siem Jan Koopman
The Global Carbon Budget (GCB), the community reference dataset for the carbon cycle, is reissued annually. The 2025 release introduces several adjustments to the published series…
Continuous-time state space analysis of d18O, d13C, and CO2 in the Cenozoic Era
Mikkel Bennedsen, Eric Hillebrand, Kathrine Larsen +2
We develop a continuous-time state-space framework for the joint reconstruction of three Cenozoic climate proxies, benthic foraminiferal d18O and d13C and atmospheric CO2, from irr…
The Global Carbon Budget as a cointegrated system
Mikkel Bennedsen, Eric Hillebrand, Morten Ørregaard Nielsen
The Global Carbon Budget, maintained by the Global Carbon Project, summarizes Earth's global carbon cycle through four annual time series beginning in 1959: atmospheric CO conc…
A Statistical Reduced Complexity Climate Model for Probabilistic Analyses and Projections
Mikkel Bennedsen, Eric Hillebrand, Siem Jan Koopman
We propose a new statistical reduced complexity climate model. The centerpiece of the model consists of a set of physical equations for the global climate system which we show how…
Estimating breakpoints between climate states in the Cenozoic Era
Mikkel Bennedsen, Eric Hillebrand, Siem Jan Koopman +1
This study presents a statistical time-domain approach for identifying transitions between climate states, referred to as breakpoints, using well-established econometric tools. We…
Continuous-time state-space methods for d18O and d13C in the Cenozoic Era
Mikkel Bennedsen, Eric Hillebrand, Siem Jan Koopman +2
Time series analysis of d18O and d13C from benthic foraminifera for paleoclimatology poses significant challenges. The data span tens of millions of years, with sparse early record…
To be or not to be: Roughness or long memory in volatility?
Mikkel Bennedsen, Kim Christensen, Peter Christensen
We develop a framework for composite likelihood estimation of parametric continuous-time stationary Gaussian processes. We derive the asymptotic theory of the associated maximum co…
Income and emotional well-being: Evidence for well-being plateauing around $200,000 per year
Mikkel Bennedsen
Is emotional well-being monotonically increasing in the level of income or does it reach a plateau at some income threshold, whereafter additional income does not contribute to fur…
Energy, economy, and emissions: A non-linear state space approach to projections
Mikkel Bennedsen, Eric Hillebrand, Jingying Zhou Lykke
We propose a non-linear state-space model to examine the relationship between CO emissions, energy sources, and macroeconomic activity, using data from 1971 to 2019. CO emi…
A Regression-Based Approach to the CO2 Airborne Fraction: Enhancing Statistical Precision and Tackling Zero Emissions
Mikkel Bennedsen, Eric Hillebrand, Siem Jan Koopman
The global fraction of anthropogenically emitted carbon dioxide (CO) that stays in the atmosphere, the CO airborne fraction, has been fluctuating around a constant value ov…
Global temperature projections from a statistical energy balance model using multiple sources of historical data
Mikkel Bennedsen, Eric Hillebrand, Jingying Zhou Lykke
This paper estimates the two-component energy balance model as a linear state space system (EBM-SS model) using historical data. It is a joint model for the temperature in the mixe…
Is there evidence of a trend in the CO2 airborne fraction?
Mikkel Bennedsen, Eric Hillebrand, Siem Jan Koopman
In a paper recently published in this journal, van Marle et al. (van Marle et al., 2022) introduce an interesting new data set for land use and land cover change CO2 emissions (LUL…
Inference and forecasting for continuous-time integer-valued trawl processes
Mikkel Bennedsen, Asger Lunde, Neil Shephard +1
This paper develops likelihood-based methods for estimation, inference, model selection, and forecasting of continuous-time integer-valued trawl processes. The full likelihood of i…
Designing a statistical procedure for monitoring global carbon dioxide emissions
Mikkel Bennedsen
Following the Paris Agreement of , most countries have agreed to reduce their carbon dioxide (CO) emissions according to individually set Nationally Determined Contributi…
Decoupling the short- and long-term behavior of stochastic volatility
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrela…
Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
Mikkel Bennedsen
We study a well-known estimator of the fractal index of a stochastic process. Our framework is very general and encompasses many models of interest; we show how to extend the theor…
The Local Fractional Bootstrap
Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde +1
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample p…
Hybrid scheme for Brownian semistationary processes
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
We introduce a simulation scheme for Brownian semistationary processes, which is based on discretizing the stochastic integral representation of the process in the time domain. We…
Discretization of Lévy semistationary processes with application to estimation
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
Motivated by the construction of the Itô stochastic integral, we consider a step function method to discretize and simulate volatility modulated Lévy semistationary processes. More…