Frank S. Nielsen : Citation Profile


Are you Frank S. Nielsen?

Aarhus Universitet
Aarhus Universitet

4

H index

3

i10 index

87

Citations

RESEARCH PRODUCTION:

6

Papers

RESEARCH ACTIVITY:

   2 years (2007 - 2009). See details.
   Cites by year: 43
   Journals where Frank S. Nielsen has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 2 (2.25 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pni154
   Updated: 2020-07-04    RAS profile: 2009-10-13    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Frank S. Nielsen.

Is cited by:

Rodríguez Caballero, Carlos (15)

Weron, Rafał (8)

Santucci de Magistris, Paolo (7)

Rossi, Eduardo (6)

DE TRUCHIS, Gilles (6)

Haldrup, Niels (6)

Afanasyev, Dmitriy (5)

Sibbertsen, Philipp (5)

Leschinski, Christian (5)

Krištoufek, Ladislav (4)

Perron, Pierre (3)

Cites to:

Granger, Clive (9)

Nielsen, Morten (8)

Giraitis, Liudas (6)

Velasco, Carlos (6)

Sun, Yixiao (5)

Hurvich, Clifford (5)

Shimotsu, Katsumi (4)

Diebold, Francis (4)

Bollerslev, Tim (4)

Andrews, Donald (4)

Dalla, Violetta (4)

Main data


Where Frank S. Nielsen has published?


Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University2

Recent works citing Frank S. Nielsen (2018 and 2017)


YearTitle of citing document
2018Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09.

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2019Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings. (2019). Pea, Daniel ; Rodriguez-Caballero, Carlos Vladimir ; Catao, Duvan Humberto. In: CREATES Research Papers. RePEc:aah:create:2019-23.

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2018Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks. (2018). Weron, Rafał ; Ziel, Florian. In: Papers. RePEc:arx:papers:1805.06649.

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2017Análisis de los fundamentales del precio de la energía eléctrica: evidencia empírica para Colombia*. (2017). Barrientos Marin, Jorge ; Martinez, Monica Toro. In: Revista de Economía del Caribe. RePEc:col:000382:017148.

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2019Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems. (2019). Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-14.

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2019Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems. (2019). Dubois, Florent ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-15.

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2017On the memory of products of long range dependent time series. (2017). Leschinski, Christian. In: Economics Letters. RePEc:eee:ecolet:v:153:y:2017:i:c:p:72-76.

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2018A multivariate test against spurious long memory. (2018). Sibbertsen, Philipp ; Leschinski, Christian ; Busch, Marie. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:33-49.

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2019Local Whittle estimation of long memory: Standard versus bias-reducing techniques. (2019). García Enríquez, Javier ; Hualde, Javier ; Garcia-Enriquez, Javier. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:66-77.

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2017A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets. (2017). Pircalabu, A ; Benth, F E. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:283-302.

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2018Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks. (2018). Weron, Rafał ; Ziel, Florian. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:396-420.

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2018How renewable production depresses electricity prices: Evidence from the German market. (2018). de Lagarde, Cyril Martin ; Lantz, Frederic. In: Energy Policy. RePEc:eee:enepol:v:117:y:2018:i:c:p:263-277.

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2018Wavelet eigenvalue regression for n-variate operator fractional Brownian motion. (2018). Abry, Patrice ; Didier, Gustavo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:168:y:2018:i:c:p:75-104.

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2018An Overview of Modified Semiparametric Memory Estimation Methods. (2018). Sibbertsen, Philipp ; Busch, Marie. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:1:p:13-:d:135826.

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2017The Memory of Volatility. (2017). Wenger, Kai ; Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-601.

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2018An Overview of Modified Semiparametric Memory Estimation Methods. (2018). Sibbertsen, Philipp ; Busch, Marie. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-628.

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2019The Memory of Beta Factors. (2019). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Hollstein, Fabian ; Becker, Janis. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-661.

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2019Modeling Persistence and Parameter Instability in Historical Crude Oil Price Data Using a Gibbs Sampling Approach. (2019). Nonejad, Nima. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9835-4.

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2018External and Internal Determinants on the Electricity Market: A Multi-Scale Adaptive Causal Analysis. (2018). Afanasyev, Dmitriy ; Fedorova, E. In: Journal of the New Economic Association. RePEc:nea:journl:y:2018:i:39:p:33-54.

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2017Price convergence within and between the Italian electricity day-ahead and dispatching services markets. (2017). Santucci de Magistris, Paolo ; Fontini, Fulvio ; Caporin, Massimiliano. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0215.

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2019Краткосрочное прогнозирование цены электроэнергии на российском рынке с использованием класса моделей SCARX. (2019). **, ; *, . In: Журнал Экономика и математические методы (ЭММ). RePEc:scn:cememm:v:55:y:2019:i:1:p:68-84.

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2017Structural shocks and dynamic elasticities in a long memory model of the US gasoline retail market. (2017). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1145-x.

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2019Market integration and the persistence of electricity prices. (2019). Rua, António ; Rodrigues, Paulo ; Pereira, Joo Pedro ; Pesquita, Vasco . In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:5:d:10.1007_s00181-018-1520-x.

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Works by Frank S. Nielsen:


YearTitleTypeCited
2007A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching In: CREATES Research Papers.
[Full Text][Citation analysis]
paper47
2009A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47
paper
2008Local polynomial Whittle estimation covering non-stationary fractional processes In: CREATES Research Papers.
[Full Text][Citation analysis]
paper6
2008Local polynomial Whittle estimation of perturbed fractional processes In: CREATES Research Papers.
[Full Text][Citation analysis]
paper24
2009Local Polynomial Whittle Estimation Of Perturbed Fractional Processes.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
paper
2009Local Whittle estimation of multivariate fractionally integrated processes In: CREATES Research Papers.
[Full Text][Citation analysis]
paper10

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