Morten Ørregaard Nielsen
Morten Ørregaard Nielsen
Други именаMorten Orregaard Nielsen
DNRF Chair and Professor of Economics, Aarhus University
Потвърден имейл адрес: econ.au.dk - Начална страница
Fast and wild: Bootstrap inference in Stata using boottest
D Roodman, MØ Nielsen, JG MacKinnon, MD Webb
The Stata Journal 19 (1), 4-60, 2019
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
T Busch, BJ Christensen, MØ Nielsen
Journal of Econometrics 160 (1), 48-57, 2011
Likelihood inference for a fractionally cointegrated vector autoregressive model
S Johansen, MØ Nielsen
Econometrica 80 (6), 2667-2732, 2012
A regime switching long memory model for electricity prices
N Haldrup, MØ Nielsen
Journal of econometrics 135 (1-2), 349-376, 2006
Continuous‐time models, realized volatilities, and testable distributional implications for daily stock returns
TG Andersen, T Bollerslev, P Frederiksen, M Ørregaard Nielsen
Journal of Applied Econometrics 25 (2), 233-261, 2010
Likelihood inference for a nonstationary fractional autoregressive model
S Johansen, MØ Nielsen
Journal of Econometrics 158 (1), 51-66, 2010
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
BJ Christensen, MØ Nielsen
Journal of Econometrics 133 (1), 343-371, 2006
Asset market perspectives on the Israeli–Palestinian conflict
A Zussman, N Zussman, MØ Nielsen
Economica 75 (297), 84-115, 2008
The effect of long memory in volatility on stock market fluctuations
BJ Christensen, MØ Nielsen
The Review of Economics and Statistics 89 (4), 684-700, 2007
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
MØ Nielsen, K Shimotsu
Journal of Econometrics 141 (2), 574-596, 2007
A Matlab program and user's guide for the fractionally cointegrated VAR model
MØ Nielsen, MK Popiel
Queen's Economics Department Working Paper, 2014
Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration
MØ Nielsen, PH Frederiksen
Econometric Reviews 24 (4), 405-443, 2005
The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
S Johansen, MØ Nielsen
Econometric Theory 32 (5), 1095-1139, 2016
A vector autoregressive model for electricity prices subject to long memory and regime switching
N Haldrup, FS Nielsen, MØ Nielsen
Energy Economics 32 (5), 1044-1058, 2010
Asymptotic theory and wild bootstrap inference with clustered errors
AA Djogbenou, JG MacKinnon, MØ Nielsen
Journal of Econometrics 212 (2), 393-412, 2019
Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model
BJ Christensen, MØ Nielsen, J Zhu
Journal of Empirical Finance 17 (3), 460-470, 2010
A fast fractional difference algorithm
AN Jensen, MØ Nielsen
Journal of Time Series Analysis 35 (5), 428-436, 2014
Estimation of fractional integration in the presence of data noise
N Haldrup, MØ Nielsen
Computational Statistics & Data Analysis 51 (6), 3100-3114, 2007
Fully modified narrow‐band least squares estimation of weak fractional cointegration
MØ Nielsen, P Frederiksen
The Econometrics Journal 14 (1), 77-120, 2011
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
S Dolatabadi, MØ Nielsen, K Xu
Journal of Futures Markets 35 (4), 339-356, 2015
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