Morten Ørregaard Nielsen
Names
| first: |
Morten |
| middle: |
Ørregaard |
| last: |
Nielsen |
Identifer
Contact
Affiliations
-
Aarhus Universitet
/ Institut for Økonomi
Research profile
author of:
- Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data (RePEc:aah:aarhec:2001-4)
by Bent Jesper Christensen & Morten Ø. Nielsen - Efficient Likelihold Inference in Nonstationary Univariate Models (RePEc:aah:aarhec:2001-8)
by Morten Oe. Nielsen - Spectral Analysis of Fractionally Cointegrated Systems (RePEc:aah:aarhec:2002-12)
by Nielsen, Morten Oe. - Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence (RePEc:aah:aarhec:2002-16)
by Nielsen, Morten Oe. - Semiparametric Estimation in Time Series Regression with Long Range Dependence (RePEc:aah:aarhec:2002-17)
by Nielsen, Morten Oe. - Multivariate Lagrange Multiplier Tests for Fractional Integration (RePEc:aah:aarhec:2002-18)
by Nielsen, Morten Oe. - Efficient Inference in Multivariate Fractionally Integrated Time Series Models (RePEc:aah:aarhec:2002-6)
by Morten Oerregaard Nielsen - Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics (RePEc:aah:aarhec:2002-7)
by Morten Oerregaard Nielsen - Local Whittle Analysis of Stationary Fractional Cointegration (RePEc:aah:aarhec:2002-8)
by Morten Oerregaard Nielsen - Estimation of Fractional Integration in the Presence of Data Noise (RePEc:aah:aarhec:2003-10)
by Haldrup, Niels & Nielsen, Morten Oe. - A Regime Switching Long Memory Model for Electricity Prices (RePEc:aah:aarhec:2004-2)
by Niels Haldrup & Morten O. Nielsen - Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices (RePEc:aah:aarhec:2005-18)
by Haldrup; Niels & Morten Oerregaard Nielsen - The Effect of Long Memory in Volatility on Stock Market Fluctuations (RePEc:aah:create:2007-03)
by Bent Jesper Christensen & Morten Ørregaard Nielsen - The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets (RePEc:aah:create:2007-09)
by Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen - Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model (RePEc:aah:create:2007-10)
by Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu - Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns (RePEc:aah:create:2007-21)
by Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen - A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching (RePEc:aah:create:2007-29)
by Niels Haldrup & Frank S. Nielsen & Morten Ørregaard Nielsen - Likelihood inference for a nonstationary fractional autoregressive model (RePEc:aah:create:2007-33)
by Søren Johansen & Morten Ørregaard Nielsen - Local polynomial Whittle estimation of perturbed fractional processes (RePEc:aah:create:2008-29)
by Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen - Bias-reduced estimation of long memory stochastic volatility (RePEc:aah:create:2008-35)
by Per Frederiksen & Morten Ørregaard Nielsen - A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic (RePEc:aah:create:2008-36)
by Morten Ørregaard Nielsen - Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders (RePEc:aah:create:2009-02)
by Morten Ørregaard Nielsen - Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis (RePEc:aah:create:2009-37)
by Michael Jansson & Morten Ørregaard Nielsen - Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots (RePEc:aah:create:2009-55)
by Michael Jansson & Morten Ørregaard Nielsen - Likelihood inference for a fractionally cointegrated vector autoregressive model (RePEc:aah:create:2010-24)
by Søren Johansen & Morten Ørregaard Nielsen - Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration (RePEc:aah:create:2010-31)
by Morten Ørregaard Nielsen & Per Frederiksen - Numerical distribution functions of fractional unit root and cointegration tests (RePEc:aah:create:2010-59)
by James G. MacKinnon & Morten Ørregaard Nielsen - A necessary moment condition for the fractional functional central limit theorem (RePEc:aah:create:2010-70)
by Søren Johansen & Morten Ørregaard Nielsen - The impact of financial crises on the risk-return tradeoff and the leverage effect (RePEc:aah:create:2012-19)
by Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu - Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model (RePEc:aah:create:2012-39)
by H. Peter Boswijk & Michael Jansson & Morten Ørregaard Nielsen - The role of initial values in nonstationary fractional time series models (RePEc:aah:create:2012-47)
by Søren Johansen & Morten Ørregaard Nielsen - Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets (RePEc:aah:create:2014-22)
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor - A fractionally cointegrated VAR analysis of economic voting and political support (RePEc:aah:create:2014-23)
by Maggie E. C. Jones & Morten Ørregaard Nielsen & Michael Ksawery Popiel - A fractionally cointegrated VAR analysis of price discovery in commodity futures markets (RePEc:aah:create:2014-24)
by Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu - Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models (RePEc:aah:create:2014-34)
by Morten Ørregaard Nielsen - The cointegrated vector autoregressive model with general deterministic terms (RePEc:aah:create:2016-22)
by Søren Johansen & Morten Ørregaard Nielsen - Forecasting daily political opinion polls using the fractionally cointegrated VAR model (RePEc:aah:create:2016-30)
by Morten Ørregaard Nielsen & Sergei S. Shibaev - Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form (RePEc:aah:create:2017-02)
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor - Testing the CVAR in the fractional CVAR model (RePEc:aah:create:2017-37)
by Søren Johansen & Morten Ørregaard Nielsen - Nonstationary cointegration in the fractionally cointegrated VAR model (RePEc:aah:create:2018-17)
by Søren Johansen & Morten Ørregaard Nielsen - Fast and Wild: Bootstrap Inference in Stata Using boottest (RePEc:aah:create:2018-34)
by James G. MacKinnon & Morten Ørregaard Nielsen & David Roodman & Matthew D. Webb - Economic significance of commodity return forecasts from the fractionally cointegrated VAR model (RePEc:aah:create:2018-35)
by Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu - Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors (RePEc:aah:create:2019-05)
by Antoine A. Djogbenou & James G. MacKinnon & Morten Ørregaard Nielsen - Wild Bootstrap and Asymptotic Inference with Multiway Clustering (RePEc:aah:create:2020-06)
by James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb - Truncated sum of squares estimation of fractional time series models with deterministic trends (RePEc:aah:create:2020-07)
by Javier Hualde & Morten Ørregaard Nielsen - Adaptive Inference in Heteroskedastic Fractional Time Series Models (RePEc:aah:create:2020-08)
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor - To infinity and beyond: Efficient computation of ARCH(1) models (RePEc:aah:create:2020-13)
by Morten Ørregaard Nielsen & Antoine L. Noël - Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks (RePEc:aah:create:2021-04)
by Fabrizio Iacone & Morten Ørregaard Nielsen & Robert Taylor - Fractional integration and cointegration (RePEc:aah:create:2022-02)
by Javier Haulde & Morten Ørregaard Nielsen - Inference on the dimension of the nonstationary subspace in functional time series (RePEc:aah:create:2022-04)
by Morten Ørregaard Nielsen & Wonk-ki Seo & Dakyung Seong - Truncated sum-of-squares estimation of fractional time series models with generalized power law trend (RePEc:aah:create:2022-07)
by Javier Hualde & Morten Ørregaard Nielsen - Cluster-Robust Inference: A Guide to Empirical Practice (RePEc:aah:create:2022-08)
by James MacKinnon & Morten Ørregaard Nielsen - Cluster-Robust Inference: A Guide to Empirical Practice (RePEc:arx:papers:2205.03285)
by James G. MacKinnon & Morten {O}rregaard Nielsen & Matthew D. Webb - Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust (RePEc:arx:papers:2205.03288)
by James G. MacKinnon & Morten {O}rregaard Nielsen & Matthew D. Webb - Bootstrap inference in the presence of bias (RePEc:arx:papers:2208.02028)
by Giuseppe Cavaliere & S'ilvia Gonc{c}alves & Morten {O}rregaard Nielsen & Edoardo Zanelli - Weak convergence to derivatives of fractional Brownian motion (RePEc:arx:papers:2208.02516)
by S{o}ren Johansen & Morten {O}rregaard Nielsen - Fractional integration and cointegration (RePEc:arx:papers:2211.10235)
by Javier Hualde & Morten {O}rregaard Nielsen - Testing for the appropriate level of clustering in linear regression models (RePEc:arx:papers:2301.04522)
by James G. MacKinnon & Morten {O}rregaard Nielsen & Matthew D. Webb - Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference (RePEc:arx:papers:2301.04527)
by James G. MacKinnon & Morten {O}rregaard Nielsen & Matthew D. Webb - Inference on common trends in functional time series (RePEc:arx:papers:2312.00590)
by Morten {O}rregaard Nielsen & Won-Ki Seo & Dakyung Seong - Cluster-robust jackknife and bootstrap inference for binary response models (RePEc:arx:papers:2406.00650)
by James G. MacKinnon & Morten {O}rregaard Nielsen & Matthew D. Webb - Jackknife inference with two-way clustering (RePEc:arx:papers:2406.08880)
by James G. MacKinnon & Morten {O}rregaard Nielsen & Matthew D. Webb - The Global Carbon Budget as a cointegrated system (RePEc:arx:papers:2412.09226)
by Mikkel Bennedsen & Eric Hillebrand & Morten {O}rregaard Nielsen - Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics (RePEc:bes:jnlbes:v:22:y:2004:p:331-345)
by Nielsen M.O. - Comment (RePEc:bes:jnlbes:v:24:y:2006:p:173-179)
by Andersen, Torben G. & Bollerslev, Tim & Frederiksen, Per Houmann & Nielsen, Morten Orregaard - Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation (RePEc:bes:jnlbes:v:25:y:2007:p:427-446)
by Nielsen, Morten Orregaard - Asset Market Perspectives on the Israeli–Palestinian Conflict (RePEc:bla:econom:v:75:y:2008:i:297:p:84-115)
by Asaf Zussman & Noam Zussman & Morten Ørregaard Nielsen - Forecasting daily political opinion polls using the fractionally cointegrated vector auto‐regressive model (RePEc:bla:jorssa:v:181:y:2018:i:1:p:3-33)
by Morten Ørregaard Nielsen & Sergei S. Shibaev - Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence (RePEc:bla:jtsera:v:26:y:2005:i:2:p:279-304)
by Morten Ørregaard Nielsen - A Fast Fractional Difference Algorithm (RePEc:bla:jtsera:v:35:y:2014:i:5:p:428-436)
by Andreas Noack Jensen & Morten Ørregaard Nielsen - Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models (RePEc:bla:jtsera:v:36:y:2015:i:2:p:154-188)
by Morten Ørregaard Nielsen - Testing the CVAR in the Fractional CVAR Model (RePEc:bla:jtsera:v:39:y:2018:i:6:p:836-849)
by Søren Johansen & Morten Ørregaard Nielsen - Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction (RePEc:bla:jtsera:v:40:y:2019:i:4:p:386-387)
by Morten Ørregaard Nielsen & Javier Hualde - Nonstationary Cointegration in the Fractionally Cointegrated VAR Model (RePEc:bla:jtsera:v:40:y:2019:i:4:p:519-543)
by Søren Johansen & Morten Ørregaard Nielsen - To infinity and beyond: Efficient computation of ARCH(∞) models (RePEc:bla:jtsera:v:42:y:2021:i:3:p:338-354)
by Morten Ørregaard Nielsen & Antoine L. Noël - SUMMCLUST: Stata module to compute cluster level measures of leverage, influence, and a cluster jackknife variance estimator (RePEc:boc:bocode:s459072)
by James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb - LOGITJACK: Stata module to provide cluster robust inference for logit models (RePEc:boc:bocode:s459337)
by James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb - Cluster–robust inference: A guide to empirical practice (RePEc:boc:econ21:6)
by Matthew D. Webb & James MacKinnon & Morten Nielsen - Asset Market Perspectives on the Israeli-Palestinian Conflict (RePEc:boi:wpaper:2006.02)
by Asaf Zussman & Noam Zussman & Morten Nielsen - Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots (RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:5)
by Jansson Michael & Nielsen Morten Ørregaard - Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices (RePEc:bpj:sndecm:v:10:y:2006:i:3:n:1)
by Haldrup Niels & Nielsen Morten Ø. - A fractionally cointegrated VAR analysis of economic voting and political support (RePEc:cje:issued:v:47:y:2014:i:4:p:1078-1130)
by Maggie E. C. Jones & Morten Ørregaard Nielsen & Micha Ksawery Popiel - Efficient Likelihood Inference In Nonstationary Univariate Models (RePEc:cup:etheor:v:20:y:2004:i:01:p:116-146_20)
by Nielsen, Morten Ørregaard - A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic (RePEc:cup:etheor:v:25:y:2009:i:06:p:1515-1544_99)
by Nielsen, Morten Ørregaard - A Necessary Moment Condition For The Fractional Functional Central Limit Theorem (RePEc:cup:etheor:v:28:y:2012:i:03:p:671-679_00)
by Johansen, Søren & Ørregaard Nielsen, Morten - The Role Of Initial Values In Conditional Sum-Of-Squares Estimation Of Nonstationary Fractional Time Series Models (RePEc:cup:etheor:v:32:y:2016:i:05:p:1095-1139_00)
by Johansen, Søren & Nielsen, Morten Ørregaard - Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends (RePEc:cup:etheor:v:36:y:2020:i:4:p:751-772_6)
by Hualde, Javier & Nielsen, Morten Ørregaard - Inference On The Dimension Of The Nonstationary Subspace In Functional Time Series (RePEc:cup:etheor:v:39:y:2023:i:3:p:443-480_1)
by Nielsen, Morten Ørregaard & Seo, Won-Ki & Seong, Dakyung - A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis (RePEc:ecl:corcae:08-05)
by Nielsen, Morten - Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis (RePEc:ecm:emetrp:v:80:y:2012:i:5:p:2321-2332)
by Michael Jansson & Morten Ørregaard Nielsen - Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (RePEc:ecm:emetrp:v:80:y:2012:i:6:p:2667-2732)
by Søren Johansen & Morten Ørregaard Nielsen - Fully modified narrow‐band least squares estimation of weak fractional cointegration (RePEc:ect:emjrnl:v:14:y:2011:i:1:p:77-120)
by Morten Ørregaard Nielsen & Per Frederiksen - Efficient inference in multivariate fractionally integrated time series models (RePEc:ect:emjrnl:v:7:y:2004:i:1:p:63-97)
by Morten Orregaard Nielsen - Estimation of fractional integration in the presence of data noise (RePEc:eee:csdana:v:51:y:2007:i:6:p:3100-3114)
by Haldrup, Niels & Nielsen, Morten Orregaard - The impact of financial crises on the risk–return tradeoff and the leverage effect (RePEc:eee:ecmode:v:49:y:2015:i:c:p:407-418)
by Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie - Spectral analysis of fractionally cointegrated systems (RePEc:eee:ecolet:v:83:y:2004:i:2:p:225-231)
by Nielsen, Morten Orregaard - Noncontemporaneous cointegration and the importance of timing (RePEc:eee:ecolet:v:86:y:2005:i:1:p:113-119)
by Nielsen, Morten Orregaard - Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (RePEc:eee:econom:v:133:y:2006:i:1:p:343-371)
by Christensen, Bent Jesper & Nielsen, Morten Orregaard - A regime switching long memory model for electricity prices (RePEc:eee:econom:v:135:y:2006:i:1-2:p:349-376)
by Haldrup, Niels & Nielsen, Morten Orregaard - Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (RePEc:eee:econom:v:141:y:2007:i:2:p:574-596)
by Nielsen, Morten Orregaard & Shimotsu, Katsumi - Nonparametric cointegration analysis of fractional systems with unknown integration orders (RePEc:eee:econom:v:155:y:2010:i:2:p:170-187)
by Nielsen, Morten Ørregaard - Likelihood inference for a nonstationary fractional autoregressive model (RePEc:eee:econom:v:158:y:2010:i:1:p:51-66)
by Johansen, Søren & Nielsen, Morten Ørregaard - The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets (RePEc:eee:econom:v:160:y:2011:i:1:p:48-57)
by Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard - Local polynomial Whittle estimation of perturbed fractional processes (RePEc:eee:econom:v:167:y:2012:i:2:p:426-447)
by Frederiksen, Per & Nielsen, Frank S. & Nielsen, Morten Ørregaard - Improved likelihood ratio tests for cointegration rank in the VAR model (RePEc:eee:econom:v:184:y:2015:i:1:p:97-110)
by Boswijk, H. Peter & Jansson, Michael & Nielsen, Morten Ørregaard - Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets (RePEc:eee:econom:v:187:y:2015:i:2:p:557-579)
by Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert - Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form (RePEc:eee:econom:v:198:y:2017:i:1:p:165-188)
by Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert - The cointegrated vector autoregressive model with general deterministic terms (RePEc:eee:econom:v:202:y:2018:i:2:p:214-229)
by Johansen, Søren & Nielsen, Morten Ørregaard - Asymptotic theory and wild bootstrap inference with clustered errors (RePEc:eee:econom:v:212:y:2019:i:2:p:393-412)
by Djogbenou, Antoine A. & MacKinnon, James G. & Nielsen, Morten Ørregaard - Cluster-robust inference: A guide to empirical practice (RePEc:eee:econom:v:232:y:2023:i:2:p:272-299)
by MacKinnon, James G. & Nielsen, Morten Ørregaard & Webb, Matthew D. - Testing for the appropriate level of clustering in linear regression models (RePEc:eee:econom:v:235:y:2023:i:2:p:2027-2056)
by MacKinnon, James G. & Nielsen, Morten Ørregaard & Webb, Matthew D. - Finite sample accuracy and choice of sampling frequency in integrated volatility estimation (RePEc:eee:empfin:v:15:y:2008:i:2:p:265-286)
by Nielsen, Morten Ørregaard & Frederiksen, Per - Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model (RePEc:eee:empfin:v:17:y:2010:i:3:p:460-470)
by Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie - A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets (RePEc:eee:empfin:v:38:y:2016:i:pb:p:623-639)
by Dolatabadi, Sepideh & Nielsen, Morten Ørregaard & Xu, Ke - A vector autoregressive model for electricity prices subject to long memory and regime switching (RePEc:eee:eneeco:v:32:y:2010:i:5:p:1044-1058)
by Haldrup, Niels & Nielsen, Frank S. & Nielsen, Morten Ørregaard - Local empirical spectral measure of multivariate processes with long range dependence (RePEc:eee:spapps:v:109:y:2004:i:1:p:145-166)
by Ørregaard Nielsen, Morten - Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks (RePEc:esy:uefcwp:29778)
by Iacone, Fabrizio & Ørregaard Nielsen, Morten & Taylor, AM Robert - Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns (RePEc:jae:japmet:v:25:y:2010:i:2:p:233-261)
by Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen - Likelihood Inference for a Nonstationary Fractional Autoregressive Model (RePEc:kud:kuiedp:0727)
by Søren Johansen & Morten Ørregaard Nielsen - Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (RePEc:kud:kuiedp:1015)
by Søren Johansen & Morten Ørregaard Nielsen - A Necessary Moment Condition for the Fractional Functional Central Limit Theorem (RePEc:kud:kuiedp:1029)
by Søren Johansen & Morten Ørregaard Nielsen - The role of initial values in nonstationary fractional time series models (RePEc:kud:kuiedp:1218)
by Søren Johansen & Morten Ørregaard Nielsen - A fast fractional difference algorithm (RePEc:kud:kuiedp:1304)
by Andreas Noack Jensen & Morten Ørregaard Nielsen - The cointegrated vector autoregressive model with general deterministic terms (RePEc:kud:kuiedp:1607)
by Søren Johansen & Morten Ørregaard Nielsen - Testing the CVAR in the fractional CVAR model (RePEc:kud:kuiedp:1723)
by Soeren Johansen & Morten Oeregaard Nielsen - Nonstationary cointegration in the fractionally cointegrated VAR model (RePEc:kud:kuiedp:1804)
by Soeren Johansen & Morten Oerregaard Nielsen - Multivariate Lagrange Multiplier Tests for Fractional Integration (RePEc:oup:jfinec:v:3:y:2005:i:3:p:372-398)
by Morten Ørregaard Nielsen - Bias-Reduced Estimation of Long-Memory Stochastic Volatility (RePEc:oup:jfinec:v:6:y:2008:i:4:p:496-512)
by Per Frederiksen & Morten Orregaard Nielsen - Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach (RePEc:qed:wpaper:1029)
by Morten Ø. Nielsen & Katsumi Shimotsu - Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration (RePEc:qed:wpaper:1171)
by Morten Ø. Nielsen & Per Houmann Frederiksen - Likelihood Inference For A Nonstationary Fractional Autoregressive Model (RePEc:qed:wpaper:1172)
by Morten Ø. Nielsen & S Johansen - Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns (RePEc:qed:wpaper:1173)
by Tim Bollerslev & Morten Ø. Nielsen & Per Houmann Frederiksen & Torben G. Andersen - Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders (RePEc:qed:wpaper:1174)
by Morten Ø. Nielsen - A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis (RePEc:qed:wpaper:1175)
by Morten Ø. Nielsen - The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets (RePEc:qed:wpaper:1181)
by Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch - A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic (RePEc:qed:wpaper:1185)
by Morten Ø. Nielsen - The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices (RePEc:qed:wpaper:1186)
by Bent Jesper Christensen & Morten Ø. Nielsen - Forecasting Exchange Rate Volatility In The Presence Of Jumps (RePEc:qed:wpaper:1187)
by Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch - The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps (RePEc:qed:wpaper:1188)
by Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch - Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration (RePEc:qed:wpaper:1189)
by Morten Ø. Nielsen & Per Houmann Frederiksen - Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model (RePEc:qed:wpaper:1207)
by Bent Jesper Christensen & Jie Zhu & Morten Ø. Nielsen - A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching (RePEc:qed:wpaper:1211)
by Frank S. Nielsen & Morten Ø. Nielsen & Niels Haldrup - Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis (RePEc:qed:wpaper:1213)
by Michael Jansson & Morten Ø. Nielsen - Local Polynomial Whittle Estimation Of Perturbed Fractional Processes (RePEc:qed:wpaper:1218)
by Frank S. Nielsen & Morten Ø. Nielsen & Per Houmann Frederiksen - Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots (RePEc:qed:wpaper:1224)
by Michael Jansson & Morten Ø. Nielsen - Finite Sample Accuracy Of Integrated Volatility Estimators (RePEc:qed:wpaper:1225)
by Morten Ø. Nielsen & Per Houmann Frederiksen - Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration (RePEc:qed:wpaper:1226)
by Morten Ø. Nielsen & Per Houmann Frederiksen - Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model (RePEc:qed:wpaper:1237)
by Morten Ø. Nielsen & S Johansen - Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests (RePEc:qed:wpaper:1240)
by James G. MacKinnon & Morten Ø. Nielsen - A Necessary Moment Condition For The Fractional Functional Central Limit Theorem (RePEc:qed:wpaper:1244)
by Morten Ø. Nielsen & S Johansen - Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models (RePEc:qed:wpaper:1259)
by Morten Ø. Nielsen - Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model (RePEc:qed:wpaper:1273)
by Morten Ø. Nielsen & Lealand Morin - The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect (RePEc:qed:wpaper:1295)
by Bent Jesper Christensen & Jie Zhu & Morten Ø. Nielsen - Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model (RePEc:qed:wpaper:1297)
by H. Peter Boswijk & Michael Jansson & Morten Ø. Nielsen - The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models (RePEc:qed:wpaper:1300)
by Morten Ø. Nielsen & S Johansen - A Fast Fractional Difference Algorithm (RePEc:qed:wpaper:1307)
by Andreas Noack Jensen & Morten Ø. Nielsen - Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets (RePEc:qed:wpaper:1309)
by Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor - Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form (RePEc:qed:wpaper:1324)
by Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor - A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support (RePEc:qed:wpaper:1326)
by Maggie Jones & Morten Ø. Nielsen & Michal Ksawery Popiel - A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets (RePEc:qed:wpaper:1327)
by Sepideh Dolatabadi & Ke Xu & Morten Ø. Nielsen - A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets (RePEc:qed:wpaper:1328)
by Sepideh Dolatabadi & Ke Xu & Morten Ø. Nielsen - A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model (RePEc:qed:wpaper:1330)
by Morten Ø. Nielsen & Michal Ksawery Popiel - Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model (RePEc:qed:wpaper:1337)
by Sepideh Dolatabadi & Ke Xu & Morten Ø. Nielsen & Paresh Kumar Narayan - Forecasting daily political opinion polls using the fractionally cointegrated VAR model (RePEc:qed:wpaper:1340)
by Morten Ørregaard Nielsen & Sergei S. Shibaev - The Cointegrated Vector Autoregressive Model With General Deterministic Terms (RePEc:qed:wpaper:1363)
by Morten Ø. Nielsen & S Johansen - Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends (RePEc:qed:wpaper:1376)
by Javier Hualde & Morten Ø. Nielsen - Validity Of Wild Bootstrap Inference With Clustered Errors (RePEc:qed:wpaper:1383)
by Antoine A. Djogbenou & James G. MacKinnon & Morten Ø. Nielsen - Bootstrap And Asymptotic Inference With Multiway Clustering (RePEc:qed:wpaper:1386)
by James G. MacKinnon & Matthew D. Webb & Morten Ø. Nielsen - Adaptive Inference In Heteroskedastic Fractional Time Series Models (RePEc:qed:wpaper:1390)
by Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor - Testing The Cvar In The Fractional Cvar Model (RePEc:qed:wpaper:1394)
by Morten Ø. Nielsen & S Johansen - Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors (RePEc:qed:wpaper:1399)
by Antoine A. Djogbenou & James G. MacKinnon & Morten Ø. Nielsen - Nonstationary Cointegration In The Fractionally Cointegrated Var Model (RePEc:qed:wpaper:1405)
by Morten Ø. Nielsen & S Johansen - Fast And Wild: Bootstrap Inference In Stata Using Boottest (RePEc:qed:wpaper:1406)
by David Roodman & James G. MacKinnon & Matthew D. Webb & Morten Ø. Nielsen - Wild Bootstrap and Asymptotic Inference with Multiway Clustering (RePEc:qed:wpaper:1415)
by James G. MacKinnon & Morten Ø. Nielsen & Matthew D. Webb - Inference on the dimension of the nonstationary subspace in functional time series (RePEc:qed:wpaper:1420)
by Morten Ørregaard Nielsen & Won-Ki Seo & Dakyung Seong - To infinity and beyond: Efficient computation of ARCH(\infty) models (RePEc:qed:wpaper:1425)
by Morten Ørregaard Nielsen & Antoine L. Noël - Testing for the appropriate level of clustering in linear regression models (RePEc:qed:wpaper:1428)
by James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb - Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order (RePEc:qed:wpaper:1429)
by Samuel Brien & Michael Jansson & Morten Ørregaard Nielsen - Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks (RePEc:qed:wpaper:1431)
by Fabrizio Iacone & Morten Ørregaard Nielsen & A.M. Robert Taylor - Cluster-Robust Inference: A Guide to Empirical Practice (RePEc:qed:wpaper:1456)
by James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb - Truncated sum-of-squares estimation of fractional time series models with generalized power law trend (RePEc:qed:wpaper:1458)
by Javier Hualde & Morten Ørregaard Nielsen - Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust (RePEc:qed:wpaper:1483)
by James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb - Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference (RePEc:qed:wpaper:1485)
by James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb - Cluster-Robust Jackknife and Bootstrap Inference for Binary Response Models (RePEc:qed:wpaper:1515)
by James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb - Jackknife Inference with Two-Way Clustering (RePEc:qed:wpaper:1516)
by James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb - Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration (RePEc:taf:emetrv:v:24:y:2005:i:4:p:405-443)
by Morten Ørregaard Nielsen & Per Houmann Frederiksen - Bootstrap Inference in the Presence of Bias (RePEc:taf:jnlasa:v:119:y:2024:i:548:p:2908-2918)
by Giuseppe Cavaliere & Sílvia Gonçalves & Morten Ørregaard Nielsen & Edoardo Zanelli - Wild Bootstrap and Asymptotic Inference With Multiway Clustering (RePEc:taf:jnlbes:v:39:y:2021:i:2:p:505-519)
by James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb - Adaptive Inference in Heteroscedastic Fractional Time Series Models (RePEc:taf:jnlbes:v:40:y:2022:i:1:p:50-65)
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A. M. Robert Taylor - Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks (RePEc:taf:jnlbes:v:40:y:2022:i:2:p:880-896)
by Fabrizio Iacone & Morten Ørregaard Nielsen & A. M. Robert Taylor - Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model (RePEc:tin:wpaper:20120097)
by H. Peter Boswijk & Michael Jansson & Morten Ø. Nielsen - The Effect of Long Memory in Volatility on Stock Market Fluctuations (RePEc:tpr:restat:v:89:y:2007:i:4:p:684-700)
by Bent Jesper Christensen & Morten Ørregaard Nielsen - Fast and wild: Bootstrap inference in Stata using boottest (RePEc:tsj:stataj:v:19:y:2019:i:1:p:4-60)
by David Roodman & James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb - Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust (RePEc:tsj:stataj:v:23:y:2023:i:4:p:942-982)
by James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb - A fractionally cointegrated VAR analysis of economic voting and political support (RePEc:wly:canjec:v:47:y:2014:i:4:p:1078-1130)
by Maggie E. C. Jones & Morten Ørregaard Nielsen & Michał Ksawery Popiel - Fully modified narrow‐band least squares estimation of weak fractional cointegration (RePEc:wly:emjrnl:v:14:y:2011:i::p:77-120)
by Morten Ørregaard Nielsen & Per Frederiksen - Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests (RePEc:wly:japmet:v:29:y:2014:i:1:p:161-171)
by James G. MacKinnon & Morten Ørregaard Nielsen - Fast and reliable jackknife and bootstrap methods for cluster‐robust inference (RePEc:wly:japmet:v:38:y:2023:i:5:p:671-694)
by James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb - A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets (RePEc:wly:jfutmk:v:35:y:2015:i:4:p:339-356)
by Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu - Economic significance of commodity return forecasts from the fractionally cointegrated VAR model (RePEc:wly:jfutmk:v:38:y:2018:i:2:p:219-242)
by Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu