Morten Ørregaard Nielsen
Names
first: 
Morten 
middle: 
Ørregaard 
last: 
Nielsen 
in English: 
Morten Oerregaard Nielsen 
Contact
Affiliations

Queen's University
→ Economics Department (weight: 85%)

Aarhus Universitet
→ Institut for Økonomi
→ Center for Research in Econometric Analysis of Time Series (CREATES) (weight: 15%)
Research profile
author of:

Efficient Inference in Multivariate Fractionally Integrated Time Series Models
by Morten Oerregaard Nielsen

Local Whittle Analysis of Stationary Fractional Cointegration
by Morten Oerregaard Nielsen

Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics
by Morten Oerregaard Nielsen

Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence
by Nielsen, Morten Oe.

Semiparametric Estimation in Time Series Regression with Long Range Dependence
by Nielsen, Morten Oe.

Spectral Analysis of Fractionally Cointegrated Systems
by Nielsen, Morten Oe.

Multivariate Lagrange Multiplier Tests for Fractional Integration
by Nielsen, Morten Oe.

Semiparametric Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation in HighFrequency Options Data
by Bent Jesper Christensen & Morten Ø. Nielsen

A Regime Switching Long Memory Model for Electricity Prices
by Niels Haldrup & Morten O. Nielsen

Efficient inference in multivariate fractionally integrated time series models
by Morten Orregaard Nielsen

Spectral analysis of fractionally cointegrated systems
by Nielsen, Morten Orregaard

Semiparametric Estimation in TimeSeries Regression with LongRange Dependence
by Morten Orregaard Nielsen

Noncontemporaneous cointegration and the importance of timing
by Nielsen, Morten Orregaard

Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
by Haldrup; Niels & Morten Oerregaard Nielsen

Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach
by Morten Ã. Nielsen & Katsumi Shimotsu

SEASONALITY IN ECONOMIC MODELS
by BRENDSTRUP, BJARNE & HYLLEBERG, SVEND & NIELSEN, MORTEN RREGAARD & SKIPPER, LARS & STENTOFT, LARS

Asymptotic normality of narrowband least squares in the stationary fractional cointegration model and volatility forecasting
by Christensen, Bent Jesper & Nielsen, Morten Orregaard

A regime switching long memory model for electricity prices
by Haldrup, Niels & Nielsen, Morten Orregaard

Multivariate Lagrange Multiplier Tests for Fractional Integration
by Morten Ørregaard Nielsen

Estimation of fractional integration in the presence of data noise
by Haldrup, Niels & Nielsen, Morten Orregaard

Comment
by Andersen, Torben G. & Bollerslev, Tim & Frederiksen, Per Houmann & Nielsen, Morten Orregaard

Optimal ResidualBased Tests for Fractional Cointegration and Exchange Rate Dynamics
by Nielsen M. O.

The Effect of Long Memory in Volatility on Stock Market Fluctuations
by Bent Jesper Christensen & Morten Ørregaard Nielsen

Likelihood Inference for a Nonstationary Fractional Autoregressive Model
by Søren Johansen & Morten Ørregaard Nielsen

Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
by Nielsen, Morten Orregaard & Shimotsu, Katsumi

Efficient Likelihold Inference in Nonstationary Univariate Models
by Morten Oe. Nielsen

Estimation of Fractional Integration in the Presence of Data Noise
by Haldrup, Niels & Nielsen, Morten Oe.

The Effect of Long Memory in Volatility on Stock Market Fluctuations
by Bent Jesper Christensen & Morten Ørregaard Nielsen

Long Memory in Stock Market Volatility and the VolatilityinMean Effect: The FIEGARCHM Model
by Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
by Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen

ContinuousTime Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
by Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen

Local polynomial Whittle estimation of perturbed fractional processes
by Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen

Likelihood inference for a nonstationary fractional autoregressive model
by Søren Johansen & Morten Ørregaard Nielsen

A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching
by Niels Haldrup & Frank S. Nielsen & Morten Ørregaard Nielsen

Biasreduced estimation of long memory stochastic volatility
by Per Frederiksen & Morten Ørregaard Nielsen

A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic
by Morten Ørregaard Nielsen

Finite sample accuracy and choice of sampling frequency in integrated volatility estimation
by Nielsen, Morten Ørregaard & Frederiksen, Per

Fully Modified Narrowband Least Squares Estimation Of Stationary Fractional Cointegration
by Morten Ã. Nielsen & Per Houmann Frederiksen

Likelihood Inference For A Nonstationary Fractional Autoregressive Model
by Morten Ã. Nielsen & S. Johansen

Continuoustime Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns
by Tim Bollerslev & Morten Ã. Nielsen & Per Houmann Frederiksen & Torben G. Andersen

Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders
by Morten Ã. Nielsen

Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation
by Nielsen, Morten Orregaard

The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets
by Bent Jesper Christensen & Morten Ã. Nielsen & Thomas Busch

The Impliedrealized Volatility Relation With Jumps In Underlying Asset Prices
by Bent Jesper Christensen & Morten Ã. Nielsen

The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps
by Bent Jesper Christensen & Morten Ã. Nielsen & Thomas Busch

Forecasting Exchange Rate Volatility In The Presence Of Jumps
by Bent Jesper Christensen & Morten Ã. Nielsen & Thomas Busch

A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic
by Morten Ã. Nielsen

A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis
by Morten Ã. Nielsen

Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration
by Morten Ã. Nielsen & Per Houmann Frederiksen

EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
by Nielsen, Morten rregaard

Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders
by Morten Ørregaard Nielsen

A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis
by Nielsen, Morten

BiasReduced Estimation of LongMemory Stochastic Volatility
by Per Frederiksen & Morten Orregaard Nielsen

Long Memory In Stock Market Volatility And The Volatilityinmean Effect: The Fiegarchm Model
by Bent Jesper Christensen & Jie Zhu & Morten Ã. Nielsen

A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching
by Frank S. Nielsen & Morten Ã. Nielsen & Niels Haldrup

Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis
by Michael Jansson & Morten Ã. Nielsen

Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
by Michael Jansson & Morten Ørregaard Nielsen

Local Polynomial Whittle Estimation Of Perturbed Fractional Processes
by Frank S. Nielsen & Morten Ã. Nielsen & Per Houmann Frederiksen

Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
by Haldrup Niels & Nielsen Morten Ø.

A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC
by Nielsen, Morten Ørregaard

Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots
by Michael Jansson & Morten Ã. Nielsen

Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
by Michael Jansson & Morten Ørregaard Nielsen

Finite Sample Accuracy Of Integrated Volatility Estimators
by Morten Ã. Nielsen & Per Houmann Frederiksen

Fully Modified Narrowband Least Squares Estimation Of Weak Fractional Cointegration
by Morten Ã. Nielsen & Per Houmann Frederiksen

Continuoustime models, realized volatilities, and testable distributional implications for daily stock returns
by Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen

Nonparametric cointegration analysis of fractional systems with unknown integration orders
by Nielsen, Morten Ørregaard

Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model
by Morten Ã. Nielsen & S. Johansen

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
by Søren Johansen & Morten Ørregaard Nielsen

Likelihood inference for a fractionally cointegrated vector autoregressive model
by Søren Johansen & Morten Ørregaard Nielsen

Long memory in stock market volatility and the volatilityinmean effect: The FIEGARCHM Model
by Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie

Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests
by James G. MacKinnon & Morten Ã. Nielsen

Fully Modified NarrowBand Least Squares Estimation of Weak Fractional Cointegration
by Morten Ørregaard Nielsen & Per Frederiksen

Numerical distribution functions of fractional unit root and cointegration tests
by James G. MacKinnon & Morten Ørregaard Nielsen

A Necessary Moment Condition For The Fractional Functional Central Limit Theorem
by Morten Ã. Nielsen & S. Johansen

A Necessary Moment Condition for the Fractional Functional Central Limit Theorem
by Søren Johansen & Morten Ørregaard Nielsen

A necessary moment condition for the fractional functional central limit theorem
by Søren Johansen & Morten Ørregaard Nielsen

Asymptotics For The Conditionalsumofsquares Estimator In Multivariate Fractional Time Series Models
by Morten Ã. Nielsen

Fully modified narrow‐band least squares estimation of weak fractional cointegration
by Morten Ørregaard Nielsen & Per Frederiksen

Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
by Jansson Michael & Nielsen Morten Ørregaard

The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
by Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard

Likelihood inference for a nonstationary fractional autoregressive model
by Johansen, Søren & Nielsen, Morten Ørregaard

A vector autoregressive model for electricity prices subject to long memory and regime switching
by Haldrup, Niels & Nielsen, Frank S. & Nielsen, Morten Ørregaard

Local empirical spectral measure of multivariate processes with long range dependence
by Ørregaard Nielsen, Morten

Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
by Morten Ørregaard Nielsen & Per Houmann Frederiksen

Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model
by Morten Ã. Nielsen & Lealand Morin

The Impact Of Financial Crises On The Riskreturn Tradeoff And The Leverage Effect
by Bent Jesper Christensen & Jie Zhu & Morten Ã. Nielsen

The impact of financial crises on the riskreturn tradeoff and the leverage effect
by Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu

A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
by Johansen, Søren & Ørregaard Nielsen, Morten

Local polynomial Whittle estimation of perturbed fractional processes
by Frederiksen, Per & Nielsen, Frank S. & Nielsen, Morten Ørregaard

Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
by H. Peter Boswijk & Michael Jansson & Morten Ørregaard Nielsen

Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model
by H. Peter Boswijk & Michael Jansson & Morten Ã. Nielsen

Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
by Michael Jansson & Morten Ørregaard Nielsen

The Role Of Initial Values In Conditional Sumofsquares Estimation Of Nonstationary Fractional Time Series Models
by Morten Ã. Nielsen & S. Johansen

The role of initial values in nonstationary fractional time series models
by Søren Johansen & Morten Ørregaard Nielsen

The role of initial values in nonstationary fractional time series models
by Søren Johansen & Morten Ørregaard Nielsen

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
by Søren Johansen & Morten Ørregaard Nielsen

A Fast Fractional Difference Algorithm
by Andreas Noack Jensen & Morten Ã. Nielsen

Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets
by Giuseppe Cavaliere & Morten Ã. Nielsen & A. M. Robert Taylor

A fast fractional difference algorithm
by Andreas Noack Jensen & Morten Ørregaard Nielsen

Quasimaximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form
by Giuseppe Cavaliere & Morten Ã. Nielsen & A. M. Robert Taylor

A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support
by Maggie Jones & Morten Ã. Nielsen & Michal Ksawery Popiel

A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets
by Sepideh Dolatabadi & Ke Xu & Morten Ã. Nielsen

A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets
by Sepideh Dolatabadi & Ke Xu & Morten Ã. Nielsen

Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A. M. Robert Taylor

A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
by Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu

A fractionally cointegrated VAR analysis of economic voting and political support
by Maggie E. C. Jones & Morten Ørregaard Nielsen & Michael Ksawery Popiel

Asymptotics for the conditionalsumofsquares estimator in multivariate fractional time series models
by Morten Ørregaard Nielsen

A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model
by Morten Ã. Nielsen & Michal Ksawery Popiel

Improved likelihood ratio tests for cointegration rank in the VAR model
by Boswijk, H. Peter & Jansson, Michael & Nielsen, Morten Ørregaard

A FAST FRACTIONAL DIFFERENCE ALGORITHM
by Andreas Noack Jensen & Morten Ørregaard Nielsen

Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model
by Sepideh Dolatabadi & Ke Xu & Morten Ã. Nielsen & Paresh Kumar Narayan

A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets
by Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu

NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS
by James G. MacKinnon & Morten Ørregaard Nielsen

Asymptotics for the ConditionalSumofSquares Estimator in Multivariate Fractional TimeSeries Models
by Morten Ørregaard Nielsen

Fully modified narrow‐band least squares estimation of weak fractional cointegration
by Morten Ørregaard Nielsen & Per Frederiksen

Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
by H. Peter Boswijk & Michael Jansson & Morten Ø. Nielsen

Forecasting daily political opinion polls using the fractionally cointegrated VAR model
by Morten Ãrregaard Nielsen & Sergei S. Shibaev

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
by Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A. M. Robert

A fractionally cointegrated VAR analysis of economic voting and political support
by Maggie E. C. Jones & Morten Ørregaard Nielsen & Micha Ksawery Popiel

The impact of financial crises on the risk–return tradeoff and the leverage effect
by Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie

The Cointegrated Vector Autoregressive Model With General Deterministic Terms
by Morten Ã. Nielsen & S. Johansen

The cointegrated vector autoregressive model with general deterministic terms
by Søren Johansen & Morten Ørregaard Nielsen

The cointegrated vector autoregressive model with general deterministic terms
by Søren Johansen & Morten Ørregaard Nielsen

A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
by Dolatabadi, Sepideh & Nielsen, Morten Ørregaard & Xu, Ke

THE ROLE OF INITIAL VALUES IN CONDITIONAL SUMOFSQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS
by Johansen, Søren & Nielsen, Morten Ørregaard

Forecasting daily political opinion polls using the fractionally cointegrated VAR model
by Morten Ørregaard Nielsen & Sergei S. Shibaev

Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends
by Javier Hualde & Morten Ã. Nielsen

QuasiMaximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form
by Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor

Quasimaximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
by Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A. M. Robert

Validity Of Wild Bootstrap Inference With Clustered Errors
by Antoine A. Djogbenou & James G. MacKinnon & Morten Ã. Nielsen

Bootstrap And Asymptotic Inference With Multiway Clustering
by James G. MacKinnon & Matthew D. Webb & Morten Ã. Nielsen

Adaptive Inference In Heteroskedastic Fractional Time Series Models
by Giuseppe Cavaliere & Morten Ã. Nielsen & A. M. Robert Taylor

Testing The Cvar In The Fractional Cvar Model
by Morten Ã. Nielsen & S. Johansen

Testing the CVAR in the fractional CVAR model
by Soeren Johansen & Morten Oeregaard Nielsen

Testing the CVAR in the fractional CVAR model
by Søren Johansen & Morten Ørregaard Nielsen

The cointegrated vector autoregressive model with general deterministic terms
by Johansen, Søren & Nielsen, Morten Ørregaard

Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors
by Antoine A. Djogbenou & James G. MacKinnon & Morten Ã. Nielsen

Nonstationary Cointegration In The Fractionally Cointegrated Var Model
by Morten Ã. Nielsen & S. Johansen

Nonstationary cointegration in the fractionally cointegrated VAR model
by Søren Johansen & Morten Ørregaard Nielsen

Nonstationary cointegration in the fractionally cointegrated VAR model
by Soeren Johansen & Morten Oerregaard Nielsen

Fast And Wild: Bootstrap Inference In Stata Using Boottest
by David Roodman & James G. MacKinnon & Matthew D. Webb & Morten Ã. Nielsen

Fully Modified NarrowBand Least Squares Estimation of Weak Fractional Cointegration
by Orregaard Nielsen, Morten & Frederiksen, Per

Local polynomial Whittle estimation of perturbed fractional processes
by Frederiksen, Per & Nielsen, Frank S. & Orregaard Nielsen, Morten

The impact of financial crises on the riskreturn tradeoff and the leverage effect
by Jesper Christensen, Bent & ÃŸrregaard Nielsen, Morten & Zhu, Jie

Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
by Jansson, Michael & AYrregaard Nielsen, Morten

The ImpliedRealized Volatility Relation with Jumps in Underlying Asset Prices
by Jesper Christensen, Bent & Orregaard Nielsen, Morten

The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps
by Busch, Thomas & Jesper Christensen, Bent & Orregaard Nielsen, Morten

Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
by Boswijk, H. Peter & Jansson, Michael & ÃŸrregaard Nielsen, Morten

Likelihood inference for a fractionally cointegrated vector autoregressive model
by Johansen, SÃÿren & ÃŸrregaard Nielsen, Morten

Likelihood inference for a nonstationary fractional autoregressive model
by Johansen, Soren & Orregaard Nielsen, Morten

Validity of Wild Bootstrap Inference with Clustered Errors
by Djogbenou, Antoine & MacKinnon, James G. & Orregaard Nielsen, Morten

Long memory in stock market volatility and the volatilityinmean effect: the FIEGARCHM model
by Jesper Christensen, Bent & Zhu, Jie & Orregaard Nielsen, Morten

Fully Modied NarrowBand Least Squares Estimation of Stationary Fractional Cointegration
by Orregaard Nielsen, Morten & Frederiksen, Per

Forecasting daily political opinion polls using the fractionally cointegrated VAR model
by Orregaard Nielsen, Morten & Shibaev, Sergei S.

Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders
by Orregaard Nielsen, Morten

Numerical Distribution Functions of Fractional Unit Root and Cointegration Tests
by MacKinnon, James G. & Orregaard Nielsen, Morten

Finite Sample Accuracy of Integrated Volatility Estimators
by Orregaard Nielsen, Morten & Houmann Frederiksen, Per

Forecasting Exchange Rate Volatility in the Presence of Jumps
by Busch, Thomas & Jesper Christensen, Bent & Orregaard Nielsen, Morten

Adaptive inference in heteroskedastic fractional time series models
by Cavaliere, Giuseppe & ÃŸrregaard Nielsen, Morten & Taylor, A. M. Robert

Nonstationary cointegration in the fractionally cointegrated VAR model
by Johansen, SÃÿren & ÃŸrregaard Nielsen, Morten

Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
by Orregaard Nielsen, Morten & Frederiksen, Per

Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
by Jansson, Michael & Orregaard Nielsen, Morten

Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
by Orregaard Nielsen, Morten & Frederiksen, Per

A fast fractional difference algorithm
by Noack Jensen, Andreas & ÃŸrregaard Nielsen, Morten

Testing the CVAR in the fractional CVAR model
by Johansen, SÃÿren & ÃŸrregaard Nielsen, Morten

FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model
by ÃŸrregaard Nielsen, Morten & Morin, Lealand

ContinuousTime Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
by Andersen, Torben G. & Bollerslev, Tim & Frederiksen, Per & Orregaard Nielsen, Morten

The role of initial values in conditional sumofsquares estimation of nonstationary fractional time series models
by Johansen, SÃÿren & ÃŸrregaard Nielsen, Morten

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
by Busch, Thomas & Jesper Christensen, Bent & Orregaard Nielsen, Morten

Bootstrap and Asymptotic Inference with Multiway Clustering
by MacKinnon, James G. & Orregaard Nielsen, Morten & Webb, Matthew D.

QuasiMaximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form
by Cavaliere, Giuseppe & Ørregaard Nielsen, Morten & Taylor, A. M. Robert

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
by Dolatabadi, Sepideh & Kumar Narayan, Paresh & Orregaard Nielsen, Morten & Xu, Ke

The cointegrated vector autoregressive model with general deterministic terms
by Johansen, Soren & Orregaard Nielsen, Morten

A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic
by Orregaard Nielsen, Morten

A Matlab program and user’s guide for the fractionally cointegrated VAR model
by ÃŸrregaard Nielsen, Morten & Ksawery Popiel, MichaÅC

A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
by Dolatabadi, Sepideh & ÃŸrregaard Nielsen, Morten & Xu, Ke

A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
by Dolatabadi, Sepideh & ÃŸrregaard Nielsen, Morten & Xu, Ke

A necessary moment condition for the fractional functional central limit theorem
by Johansen, Soren & Orregaard Nielsen, Morten

A vector autoregressive model for electricity prices subject to long memory and regime switching
by Haldrup, Niels & Nielsen, Frank S. & Orregaard Nielsen, Morten

A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis
by Orregaard Nielsen, Morten

Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
by Cavaliere, Giuseppe & ÃŸrregaard Nielsen, Morten & Taylor, A. M. Robert

Asymptotics for the conditionalsumofsquares estimator in multivariate fractional time series models
by ÃŸrregaard Nielsen, Morten

A fractionally cointegrated VAR analysis of economic voting and political support
by Jones, Maggie E. C. & ÃŸrregaard Nielsen, Morten & Ksawery Popiel, Michal

Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors
by Djogbenou, Antoine A. & MacKinnon, James G. & Orregaard Nielsen, Morten

Truncated sum of squares estimation of fractional time series models with deterministic trends
by Hualde, Javier & Orregaard Nielsen, Morten

Forecasting daily political opinion polls using the fractionally cointegrated vector autoâ€ regressive model
by Morten Ãrregaard Nielsen & Sergei S. Shibaev

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
by Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ãrregaard Nielsen & Ke Xu

Testing the CVAR in the Fractional CVAR Model
by Søren Johansen & Morten Ørregaard Nielsen

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
by Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu

Fast and Wild: Bootstrap Inference in Stata Using boottest
by James G. MacKinnon & Morten Ørregaard Nielsen & David Roodman & Matthew D. Webb

Wild Bootstrap and Asymptotic Inference with Multiway Clustering
by James G. MacKinnon & Morten Ã. Nielsen & Matthew D. Webb

Fast and wild: Bootstrap inference in Stata using boottest
by David Roodman & James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb

Asset Market Perspectives on the IsraeliPalestinian Conflict
by Asaf Zussman & Noam Zussman & Morten Nielsen

Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors
by Antoine A. Djogbenou & James G. MacKinnon & 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
by Morten Ørregaard Nielsen & Javier Hualde

Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
by Søren Johansen & Morten Ørregaard Nielsen

Variance ratio test for the number of stochastic trends in functional time series
by Morten Ã. Nielsen & WonKi Seo & Dakyung Seong

Asset Market Perspectives on the Israeli–Palestinian Conflict
by ASAF ZUSSMAN & NOAM ZUSSMAN & MORTEN ØRREGAARD NIELSEN