Morten Ørregaard Nielsen : Citation Profile

Are you Morten Ørregaard Nielsen?

Aarhus Universitet

26

H index

42

i10 index

2192

Citations

RESEARCH PRODUCTION:

59

Articles

127

Papers

RESEARCH ACTIVITY:

   22 years (2001 - 2023). See details.
   Cites by year: 99
   Journals where Morten Ørregaard Nielsen has often published
   Relations with other researchers
   Recent citing documents: 335.    Total self citations: 113 (4.9 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pni42
   Updated: 2023-01-28    RAS profile: 2023-01-29    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

MacKinnon, James (16)

Webb, Matthew (12)

Johansen, Soren (10)

Taylor, Robert (8)

Cavaliere, Giuseppe (6)

Iacone, Fabrizio (4)

Roodman, David (3)

Djogbenou, Antoine (3)

Noël, Antoine (3)

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

Is cited by:

Gil-Alana, Luis (110)

Santucci de Magistris, Paolo (67)

Sibbertsen, Philipp (67)

DE TRUCHIS, Gilles (62)

Rodríguez Caballero, Carlos (48)

Leschinski, Christian (45)

Caporale, Guglielmo Maria (39)

YAYA, OLAOLUWA (35)

Christensen, Bent Jesper (34)

ALOY, Marcel (29)

Caporin, Massimiliano (28)

Cites to:

MacKinnon, James (100)

Bollerslev, Tim (100)

Johansen, Soren (74)

Andersen, Torben (68)

Diebold, Francis (68)

Phillips, Peter (53)

Webb, Matthew (51)

Robinson, Peter (49)

Granger, Clive (46)

Baillie, Richard (35)

Velasco, Carlos (32)

Main data

Where Morten Ørregaard Nielsen has published?

Journals with more than one article published# docs
Journal of Econometrics12
Journal of Time Series Analysis7
Econometric Theory5
Journal of Business & Economic Statistics3
Journal of Empirical Finance3
Journal of Business & Economic Statistics3
Journal of Futures Markets2
Economics Letters2
Econometrics Journal2
Econometrica2
The Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University55
Discussion Papers / University of Copenhagen. Department of Economics8
Papers / arXiv.org7

Recent works citing Morten Ørregaard Nielsen (2023 and 2022)

YearTitle of citing document
2021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03.

Full description at Econpapers || Download paper

2021Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15.

Full description at Econpapers || Download paper

2022Parametric Estimation of Long Memory in Factor Models. (2022). Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2022-10.

Full description at Econpapers || Download paper

2021Religious Leaders and Rule Of Law. (2021). Seror, Avner ; Mehmood, Sultan. In: Working Papers. RePEc:abo:neswpt:w0280.

Full description at Econpapers || Download paper

2021Inequality and Growth in China. (2021). Lin, Haiyan ; Brueckner, Markus. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2021-682.

Full description at Econpapers || Download paper

2021Oil extraction and spillover effects into local labour market: Evidence from Ghana. (2021). Doko Tchatoka, Firmin ; Cheng, Terence ; Ampofo, Akwasi. In: School of Economics Working Papers. RePEc:adl:wpaper:2021-03.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021The impact of Presidential appointment of judges: Montesquieu or the Federalists?. (2021). Mehmood, Sultan. In: AMSE Working Papers. RePEc:aim:wpaimx:2118.

Full description at Econpapers || Download paper

2022Lasting Impact on Health from Natural Disasters, Potential Mechanisms and Mitigating Effects. (2022). Sen, Gitanjali ; Dhamija, Gaurav. In: Working Papers. RePEc:alr:wpaper:2022-03.

Full description at Econpapers || Download paper

2021The COVID-19 Pandemics Effects on Voter Turnout. (2021). SANTOLINI, RAFFAELLA ; Picchio, Matteo ; Santoloni, Raffaella. In: Working Papers. RePEc:anc:wpaper:454.

Full description at Econpapers || Download paper

2022Many Average Partial Effects: with An Application to Text Regression. (2019). CHIANG, HAROLD. In: Papers. RePEc:arx:papers:1812.09397.

Full description at Econpapers || Download paper

2022Inference in Differences-in-Differences: How Much Should We Trust in Independent Clusters?. (2019). Ferman, Bruno. In: Papers. RePEc:arx:papers:1909.01782.

Full description at Econpapers || Download paper

2021COVID-19: Tail Risk and Predictive Regressions. (2020). Skrobotov, Anton ; Semenov, Alexander ; Ibragimov, Rustam ; Distaso, Walter. In: Papers. RePEc:arx:papers:2009.02486.

Full description at Econpapers || Download paper

2021Inference for high-dimensional exchangeable arrays. (2020). Sasaki, Yuya ; Kato, Kengo ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2009.05150.

Full description at Econpapers || Download paper

2022Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781.

Full description at Econpapers || Download paper

2021Theory and Applications of Financial Chaos Index. (2021). Peyghami, Reza M ; Yang, Zijiang ; Chen, Shengyuan ; Ataei, Masoud. In: Papers. RePEc:arx:papers:2101.02288.

Full description at Econpapers || Download paper

2021Monitoring the pandemic: A fractional filter for the COVID-19 contact rate. (2021). Hartl, Tobias. In: Papers. RePEc:arx:papers:2102.10067.

Full description at Econpapers || Download paper

2022Algorithmic subsampling under multiway clustering. (2021). Sasaki, Yuya ; Li, Jiatong ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2103.00557.

Full description at Econpapers || Download paper

2022Panel Data with Unknown Clusters. (2021). Cai, Yong. In: Papers. RePEc:arx:papers:2106.05503.

Full description at Econpapers || Download paper

2021Recent Developments in Inference: Practicalities for Applied Economics. (2021). Michler, Jeffrey ; Josephson, Anna. In: Papers. RePEc:arx:papers:2107.09736.

Full description at Econpapers || Download paper

2021Inference in heavy-tailed non-stationary multivariate time series. (2021). Cavaliere, Giuseppe ; Barigozzi, Matteo ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2107.13894.

Full description at Econpapers || Download paper

2022Multiway empirical likelihood. (2021). Otsu, Taisuke ; Matsushita, Yukitoshi ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2108.04852.

Full description at Econpapers || Download paper

2022Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters. (2021). Wang, Wenjie ; Zhang, Yichong. In: Papers. RePEc:arx:papers:2108.13707.

Full description at Econpapers || Download paper

2022Dyadic Double/Debiased Machine Learning for Analyzing Determinants of Free Trade Agreements. (2021). Sasaki, Yuya ; Rodrigue, Joel ; Ma, Yukun ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2110.04365.

Full description at Econpapers || Download paper

2022Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

Full description at Econpapers || Download paper

2022Standard errors for two-way clustering with serially correlated time effects. (2022). Sasaki, Yuya ; Hansen, Bruce E ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2201.11304.

Full description at Econpapers || Download paper

2022Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970.

Full description at Econpapers || Download paper

2022Estimation and Inference by Stochastic Optimization. (2022). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:2205.03254.

Full description at Econpapers || Download paper

2022Testing for explosive bubbles: a review. (2022). Skrobotov, Anton. In: Papers. RePEc:arx:papers:2207.08249.

Full description at Econpapers || Download paper

2022Schooling and Labor Market Consequences of School Construction in Indonesia: Comment. (2022). Roodman, David. In: Papers. RePEc:arx:papers:2207.09036.

Full description at Econpapers || Download paper

2022Non-Robustness of the Cluster-Robust Inference: with a Proposal of a New Robust Method. (2022). Wang, Yulong ; Sasaki, Yuya. In: Papers. RePEc:arx:papers:2210.16991.

Full description at Econpapers || Download paper

2022A Residuals-Based Nonparametric Variance Ratio Test for Cointegration. (2022). Reichold, Karsten. In: Papers. RePEc:arx:papers:2211.06288.

Full description at Econpapers || Download paper

2021The effect of COVID?19 on the global stock market. (2021). Treepongkaruna, Sirimon ; Sarajoti, Pattarake ; Jindahra, Pavitra ; Chatjuthamard, Pattanaporn. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4923-4953.

Full description at Econpapers || Download paper

2022Is no news bad news? The impact of disclosing COVID?19 tracing information on consumer dine out decisions. (2022). Gao, Yuan ; Lopez, Rigoberto A ; Liao, Ruili ; Liu, Xiaoou. In: Agricultural Economics. RePEc:bla:agecon:v:53:y:2022:i:5:p:811-825.

Full description at Econpapers || Download paper

2021COVID?19s Lockdown and Crime Victimization: The State of Emergency under the Abe Administration. (2021). Noguchi, Haruko ; Fu, Rong ; Shen, Yichen. In: Asian Economic Policy Review. RePEc:bla:asiapr:v:16:y:2021:i:2:p:327-348.

Full description at Econpapers || Download paper

2021Heterogeneity across Families in the Impact of Compulsory Schooling Laws. (2021). Domnisoru, Ciprian. In: Economica. RePEc:bla:econom:v:88:y:2021:i:350:p:399-429.

Full description at Econpapers || Download paper

2021‘til Dissolution Do Us Part: (Re)Assessing the First Contract and Trial Marriage Goals of First Contract Arbitration in Ontario. (2021). Weinberg, Bradley R. In: Industrial Relations: A Journal of Economy and Society. RePEc:bla:indres:v:60:y:2021:i:1:p:119-144.

Full description at Econpapers || Download paper

2022Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:60:y:2022:i:4:p:1019-1046.

Full description at Econpapers || Download paper

2021DOES EDUCATION REALLY IMPROVE HEALTH? A META?ANALYSIS. (2021). Zhang, Wangyongxin ; Cheng, Mingmei ; Xue, Xindong. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:1:p:71-105.

Full description at Econpapers || Download paper

2022Quantitative easing and economic growth in Japan: A meta?analysis. (2022). Sequeira, Tiago ; Lopes, Alexandra ; Martins, Luis Filipe ; Linhares, Pedro ; Ferreiralopes, Alexandra. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:1:p:235-268.

Full description at Econpapers || Download paper

2021Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting. (2021). Santucci de Magistris, Paolo ; Datta Gupta, Nabanita ; Christensen, Bent Jesper. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:1:p:118-149.

Full description at Econpapers || Download paper

2022Autoregressive spectral estimates under ignored changes in the mean. (2022). Hosseinkouchack, Mehdi ; Demetrescu, Matei. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:329-340.

Full description at Econpapers || Download paper

2022Automatability of Work and Preferences for Redistribution. (2022). van Hoorn, André. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:1:p:130-157.

Full description at Econpapers || Download paper

2021Fixed costs, markups and concentration in Eswatini (Swaziland): A firm?level analysis of panel data. (2021). Rankin, Neil ; Mhlanga, Samuel Vika. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:3:p:391-416.

Full description at Econpapers || Download paper

2021Consumption, Aggregate Wealth and Expected Stock Returns: An FCVAR Approach. (2021). Quineche, Ricardo. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:13:y:2021:i:1:p:21-42:n:4.

Full description at Econpapers || Download paper

2021A Replication of “The effect of the conservation reserve program on rural economies: Deriving a statistical verdict from a null finding” (American Journal of Agricultural Economics, 2019). (2021). Tian, Jiarui. In: Working Papers in Economics. RePEc:cbt:econwp:21/12.

Full description at Econpapers || Download paper

2021Does growing up in a recession increase compassion? The case of attitudes towards immigration. (2021). Dur, Robert ; Meier, Stephan ; Cotofan, Maria. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1757.

Full description at Econpapers || Download paper

2022Omnia Juncta in Uno*: foreign powers and trademark protection in Shanghais concession era. (2022). Steinwender, Claudia ; Hong, Junjie ; Chen, Maggie X ; Bao, Cathy ; Alfaro, Laura. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1827.

Full description at Econpapers || Download paper

2022Tuition fees and educational attainment. (2022). Weinhardt, Felix ; Marcus, Jan ; Leibing, Andreas ; Bietenbeck, Jan. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1839.

Full description at Econpapers || Download paper

2021Multiway empirical likelihood. (2021). Chiang, Harold D ; Otsu, Taisuke ; Matsushita, Yukitoshi. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:617.

Full description at Econpapers || Download paper

2021Collective Memories on the 2010 European Debt Crisis. (2021). Potrafke, Niklas ; Konrad, Kai A ; Arnemann, Laura. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8825.

Full description at Econpapers || Download paper

2021Shareholder Liability and Bank Failure. (2021). Koudijs, Peter ; Korteweg, Arthur ; Jenter, Dirk ; Aldunate, Felipe. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9168.

Full description at Econpapers || Download paper

2021Can Institutional Transplants Work? A Reassessment of the Evidence from Nineteenth-Century Prussia. (2021). Edwards, Jeremy. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9333.

Full description at Econpapers || Download paper

2022Can Schools Change Religious Attitudes? Evidence from German State Reforms of Compulsory Religious Education. (2022). Zierow, Larissa ; Woessmann, Ludger ; Arold, Benjamin W. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9504.

Full description at Econpapers || Download paper

2022Omnia Juncta in Uno: Foreign Powers and Trademark Protection in Shanghais Concession Era. (2022). Hong, Junjie ; Chen, Maggie X ; Bao, Cathy ; Alfaro, Laura. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9548.

Full description at Econpapers || Download paper

2022Sick Leave Cuts and (Unhealthy) Returns to Work. (2022). Castello, Judit Vall ; Marie, Olivier. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9550.

Full description at Econpapers || Download paper

2022Alcohol, Violence and Injury-Induced Mortality: Evidence from a Modern-Day Prohibition. (2022). Matzopoulos, Richard ; Laubscher, Ria ; Groenewald, Pam ; Dorrington, Rob ; Bradshaw, Debbie ; Charles, ; Barron, Kai. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9595.

Full description at Econpapers || Download paper

2022Social Media and Mental Health. (2022). Levy, Ro'ee ; Makarin, Alexey ; Braghieri, Luca. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9723.

Full description at Econpapers || Download paper

2022No Surprises, Please: Voting Costs and Electoral Turnout. (2022). Lindlacher, Valentin ; Alipour, Jean-Victor. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9759.

Full description at Econpapers || Download paper

2022Teacher Subject Knowledge, Didactic Skills, and Student Learning in Francophone Sub-Saharan Africa. (2022). Sepahvand, Mohammad H ; Irmert, Natalie ; Bietenbeck, Jan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9781.

Full description at Econpapers || Download paper

2022Long-Run Linkages between US Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis. (2022). Gil-Alana, Luis A ; de Dios, Jose Javier ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9950.

Full description at Econpapers || Download paper

2021School Track Decisions and Teacher Recommendations: Evidence from German State Reforms. (2021). Grewenig, Elisabeth. In: ifo Working Paper Series. RePEc:ces:ifowps:_353.

Full description at Econpapers || Download paper

2021Macroeconomic Conditions When Young Shape Job Preferences for Life. (2021). Dur, Robert ; Cassar, Lea ; Meier, Stephan ; Cotofan, Maria. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15639.

Full description at Econpapers || Download paper

2021Collective Memories on the 2010 European Debt Crisis *. (2021). Potrafke, Niklas ; Konrad, Kai ; Arnemann, Laura. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15683.

Full description at Econpapers || Download paper

2021Skilled and Unskilled Labor Are Less Substitutable than Commonly Thought. (2021). Irsova, Zuzana ; Havranek, Tomas ; Zeynalova, Olesia ; Laslopova, Lubica. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15724.

Full description at Econpapers || Download paper

2021The Impact of Natural Disasters on Migration: Findings from Vietnam. (2021). Feeny, Simon ; Posso, Alberto ; Trong-Anh, Trinh. In: JODE - Journal of Demographic Economics. RePEc:ctl:louvde:v:87:y:2021:i:3:p:479-510.

Full description at Econpapers || Download paper

2022Robust Testing for Explosive Behavior with Strongly Dependent Errors. (2022). , Peter ; PEter, ; Yu, Jun ; JunYu, ; Lui, Yiu Lim. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2350.

Full description at Econpapers || Download paper

2021Face Mask Use and Physical Distancing before and after Mandatory Masking: No Evidence on Risk Compensation in Public Waiting Lines. (2021). Seres, Gyula ; Suer, Muge ; Friedrichsen, Jana ; Cerutti, Nicola ; Balleyer, Anna. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1971.

Full description at Econpapers || Download paper

2022Teacher Subject Knowledge, Didactic Skills, and Student Learning in Francophone Sub-Saharan Africa. (2022). Sepahvand, Mohammad ; Irmert, Natalie ; Bietenbeck, Jan. In: Working Papers ECARES. RePEc:eca:wpaper:2013/344129.

Full description at Econpapers || Download paper

2021Energy trading efficiency in the US Midcontinent electricity markets. (2021). Zarnikau, J ; Woo, C K ; Tsai, C H ; Qi, H S ; Cao, K H. In: Applied Energy. RePEc:eee:appene:v:302:y:2021:i:c:s0306261921008886.

Full description at Econpapers || Download paper

2022Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions. (2022). Contreras-Reyes, Javier E. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:160:y:2022:i:c:s0960077922004787.

Full description at Econpapers || Download paper

2021Divorce laws and intimate partner violence: Evidence from Mexico. (2021). Garcia-Ramos, Aixa. In: Journal of Development Economics. RePEc:eee:deveco:v:150:y:2021:i:c:s030438782030198x.

Full description at Econpapers || Download paper

2021The effect of refugees on native adolescents’ test scores: Quasi-experimental evidence from PISA. (2021). Tumen, Semih. In: Journal of Development Economics. RePEc:eee:deveco:v:150:y:2021:i:c:s0304387821000122.

Full description at Econpapers || Download paper

2021Give me your tired and your poor: Impact of a large-scale amnesty program for undocumented refugees. (2021). Ibáñez, Ana ; Bahar, Dany ; Rozo, Sandra V ; Ibaez, Ana Maria. In: Journal of Development Economics. RePEc:eee:deveco:v:151:y:2021:i:c:s0304387821000316.

Full description at Econpapers || Download paper

2021Keeping it in the family: Female inheritance, inmarriage, and the status of women. (2021). Bahrami-Rad, Duman. In: Journal of Development Economics. RePEc:eee:deveco:v:153:y:2021:i:c:s0304387821000882.

Full description at Econpapers || Download paper

2022Natural disasters, intra-national FDI spillovers, and economic divergence: Evidence from India. (2022). Friedt, Felix ; Toner-Rodgers, Aidan. In: Journal of Development Economics. RePEc:eee:deveco:v:157:y:2022:i:c:s0304387822000438.

Full description at Econpapers || Download paper

2021Time-frequency connectedness between Asian electricity sectors. (2021). TAGHIZADEH-HESARY, Farhad ; Ngo, Thanh ; Naeem, Muhammad Abubakr ; Arif, Muhammad ; Hasan, Mudassar ; Taghizadehhesary, Farhad. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:208-224.

Full description at Econpapers || Download paper

2021Oil price shocks and inflation rate persistence: A Fractional Cointegration VAR approach. (2021). Ogbonna, Ahamuefula ; Lakhani, Noman ; Adedeji, Abdulfatai A ; Oloko, Tirimisiyu F. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:70:y:2021:i:c:p:259-275.

Full description at Econpapers || Download paper

2022Testing for no cointegration in vector autoregressions with estimated degree of fractional integration. (2022). Demetrescu, Matei ; Salish, Nazarii ; Kusin, Vladimir. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321002832.

Full description at Econpapers || Download paper

2021The effect of import competition on educational attainment at the postsecondary level: Evidence from NAFTA. (2021). Lee, Maxine J. In: Economics of Education Review. RePEc:eee:ecoedu:v:82:y:2021:i:c:s0272775721000364.

Full description at Econpapers || Download paper

2021Inequalities in test scores between Indigenous and non-Indigenous youth in Canada. (2021). , Maggie ; Barber, Michael. In: Economics of Education Review. RePEc:eee:ecoedu:v:83:y:2021:i:c:s0272775721000583.

Full description at Econpapers || Download paper

2021Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115.

Full description at Econpapers || Download paper

2021The daily relationship between U.S. asset prices and stock prices of American countries. (2021). Paphakin, Warinthorn ; Chin, Chang-Chiang . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000346.

Full description at Econpapers || Download paper

2021Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence. (2021). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V ; Rachinger, Heiko ; Andrada-Felix, Julian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100067x.

Full description at Econpapers || Download paper

2021Forecasting stock market volatility: Can the risk aversion measure exert an important role?. (2021). Chang, Xiaoming ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001297.

Full description at Econpapers || Download paper

2022Trade friction and price discovery in the USD–CAD spot and forward markets. (2022). Xu, Ke ; Song, Victor ; Chen, Jian ; Yan, Meng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002217.

Full description at Econpapers || Download paper

2022Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250.

Full description at Econpapers || Download paper

2021Waxing power, waning pollution: The effect of COVID-19 on Russian environmental policymaking. (2021). Popova, Olga ; Hartwell, Christopher ; Otrachshenko, Vladimir. In: Ecological Economics. RePEc:eee:ecolec:v:184:y:2021:i:c:s0921800921000616.

Full description at Econpapers || Download paper

2021Confidence intervals for the trade cost parameters of cross-section gravity models. (2021). Pfaffermayr, Michael. In: Economics Letters. RePEc:eee:ecolet:v:201:y:2021:i:c:s0165176521000641.

Full description at Econpapers || Download paper

2021The more choice, the better? Evidence from experimental auctions in rural Senegal. (2021). Usmani, Faraz ; Ndiaye, Ousmane ; Jeuland, Marc. In: Economics Letters. RePEc:eee:ecolet:v:206:y:2021:i:c:s0165176521002469.

Full description at Econpapers || Download paper

2021Simple and trustworthy cluster-robust GMM inference. (2021). Hwang, Jungbin. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:993-1023.

Full description at Econpapers || Download paper

2021Inference in time series models using smoothed-clustered standard errors. (2021). Vogelsang, Timothy J ; Rho, Seunghwa. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:113-133.

Full description at Econpapers || Download paper

2021Consistent inference for predictive regressions in persistent economic systems. (2021). Andersen, Torben ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:215-244.

Full description at Econpapers || Download paper

2022Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence. (2022). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:128-146.

Full description at Econpapers || Download paper

2022Public banking and economic growth: The experiences of 10 countries since the 1950s until 2017. (2022). Hodelin, Reynaldo Senra. In: Economic Systems. RePEc:eee:ecosys:v:46:y:2022:i:1:s0939362521000868.

Full description at Econpapers || Download paper

2021A time to print, a time to reform. (2021). Severgnini, Battista ; Rubin, Jared ; Boerner, Lars. In: European Economic Review. RePEc:eee:eecrev:v:138:y:2021:i:c:s0014292121001641.

Full description at Econpapers || Download paper

2021Civic capital and service outsourcing: Evidence from Italy. (2021). Minerva, Gaetano Alfredo ; Mammi, Irene ; Burker, Matthias. In: European Economic Review. RePEc:eee:eecrev:v:138:y:2021:i:c:s0014292121001835.

Full description at Econpapers || Download paper

2022More or less unmarried. The impact of legal settings of cohabitation on labour market outcomes. (2022). Leturcq, Marion ; Gousse, Marion. In: European Economic Review. RePEc:eee:eecrev:v:149:y:2022:i:c:s0014292122001519.

Full description at Econpapers || Download paper

2022International travel in times of the COVID-19 pandemic: The case of German school breaks. (2022). Backhaus, Andreas. In: Economics & Human Biology. RePEc:eee:ehbiol:v:44:y:2022:i:c:s1570677x21001155.

Full description at Econpapers || Download paper

2021Global equity market leadership positions through implied volatility measures. (2021). Padungsaksawasdi, Chaiyuth ; Parhizgari, A M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:180-205.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Morten Ørregaard Nielsen:

YearTitleTypeCited
2001Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data In: Economics Working Papers.
[Full Text][Citation analysis]		paper88
2006Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 88		article
2001Efficient Likelihold Inference in Nonstationary Univariate Models In: Economics Working Papers.
[Full Text][Citation analysis]		paper9
2004EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS.(2004) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		article
2002Spectral Analysis of Fractionally Cointegrated Systems In: Economics Working Papers.
[Full Text][Citation analysis]		paper7
2004Spectral analysis of fractionally cointegrated systems.(2004) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2002Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence In: Economics Working Papers.
[Full Text][Citation analysis]		paper2
2004Local empirical spectral measure of multivariate processes with long range dependence.(2004) In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2002Semiparametric Estimation in Time Series Regression with Long Range Dependence In: Economics Working Papers.
[Full Text][Citation analysis]		paper13
2005Semiparametric Estimation in Time?Series Regression with Long?Range Dependence.(2005) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		article
2002Multivariate Lagrange Multiplier Tests for Fractional Integration In: Economics Working Papers.
[Full Text][Citation analysis]		paper30
2005Multivariate Lagrange Multiplier Tests for Fractional Integration.(2005) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30		article
2002Efficient Inference in Multivariate Fractionally Integrated Time Series Models In: Economics Working Papers.
[Full Text][Citation analysis]		paper17
2004Efficient inference in multivariate fractionally integrated time series models.(2004) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		article
2002Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics In: Economics Working Papers.
[Full Text][Citation analysis]		paper19
2004Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics.(2004) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		article
2002Local Whittle Analysis of Stationary Fractional Cointegration In: Economics Working Papers.
[Full Text][Citation analysis]		paper3
2003Estimation of Fractional Integration in the Presence of Data Noise In: Economics Working Papers.
[Full Text][Citation analysis]		paper40
2007Estimation of fractional integration in the presence of data noise.(2007) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		article
2004A Regime Switching Long Memory Model for Electricity Prices In: Economics Working Papers.
[Full Text][Citation analysis]		paper135
2006A regime switching long memory model for electricity prices.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 135		article
2005Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices In: Economics Working Papers.
[Full Text][Citation analysis]		paper95
2006Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices.(2006) In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 95		article
2007The Effect of Long Memory in Volatility on Stock Market Fluctuations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper43
2007The Effect of Long Memory in Volatility on Stock Market Fluctuations.(2007) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43		article
2007The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper167
2011The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 167		article
2008The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets.(2008) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 167		paper
2007Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper48
2010Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model.(2010) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		article
2009Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		paper
2007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper108
2010Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns.(2010) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108		article
2008Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns.(2008) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108		paper
2007A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching In: CREATES Research Papers.
[Full Text][Citation analysis]		paper52
2010A vector autoregressive model for electricity prices subject to long memory and regime switching.(2010) In: Energy Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52		article
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: 52		paper
2007Likelihood inference for a nonstationary fractional autoregressive model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper74
2010Likelihood inference for a nonstationary fractional autoregressive model.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		article
2007Likelihood Inference for a Nonstationary Fractional Autoregressive Model.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		paper
2009Likelihood Inference For A Nonstationary Fractional Autoregressive Model.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		paper
2008Local polynomial Whittle estimation of perturbed fractional processes In: CREATES Research Papers.
[Full Text][Citation analysis]		paper35
2012Local polynomial Whittle estimation of perturbed fractional processes.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		article
2009Local Polynomial Whittle Estimation Of Perturbed Fractional Processes.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
2008Bias-reduced estimation of long memory stochastic volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2008Bias-Reduced Estimation of Long-Memory Stochastic Volatility.(2008) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2008A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic In: CREATES Research Papers.
[Full Text][Citation analysis]		paper14
2009A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC.(2009) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		article
2008A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic.(2008) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2009Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders In: CREATES Research Papers.
[Full Text][Citation analysis]		paper27
2010Nonparametric cointegration analysis of fractional systems with unknown integration orders.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		article
2008Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders.(2008) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2009Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis In: CREATES Research Papers.
[Full Text][Citation analysis]		paper15
2012Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis.(2012) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		article
2009Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
2009Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2011Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots.(2011) In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2009Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2010Likelihood inference for a fractionally cointegrated vector autoregressive model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper152
2012Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model.(2012) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 152		article
2010Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 152		paper
2010Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model.(2010) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 152		paper
2010Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration In: CREATES Research Papers.
[Full Text][Citation analysis]		paper41
2011Fully modified narrow‐band least squares estimation of weak fractional cointegration.(2011) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		article
2009Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		paper
2011Fully modified narrow?band least squares estimation of weak fractional cointegration.(2011) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		article
2010Numerical distribution functions of fractional unit root and cointegration tests In: CREATES Research Papers.
[Full Text][Citation analysis]		paper26
2010Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests.(2010) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		paper
2014NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS.(2014) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		article
2010A necessary moment condition for the fractional functional central limit theorem In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2012A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM.(2012) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2010A Necessary Moment Condition for the Fractional Functional Central Limit Theorem.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2010A Necessary Moment Condition For The Fractional Functional Central Limit Theorem.(2010) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2012The impact of financial crises on the risk-return tradeoff and the leverage effect In: CREATES Research Papers.
[Full Text][Citation analysis]		paper14
2015The impact of financial crises on the risk–return tradeoff and the leverage effect.(2015) In: Economic Modelling.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		article
2012The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect.(2012) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2012Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper13
2015Improved likelihood ratio tests for cointegration rank in the VAR model.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		article
2012Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model.(2012) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2012Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model.(2012) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2012The role of initial values in nonstationary fractional time series models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper7
2012The role of initial values in nonstationary fractional time series models.(2012) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2014Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper8
2015Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2013Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets.(2013) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2014A fractionally cointegrated VAR analysis of economic voting and political support In: CREATES Research Papers.
[Full Text][Citation analysis]		paper29
2014A fractionally cointegrated VAR analysis of economic voting and political support.(2014) In: Canadian Journal of Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		article
2014A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support.(2014) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
2014A fractionally cointegrated VAR analysis of economic voting and political support.(2014) In: Canadian Journal of Economics/Revue canadienne d'économique.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		article
2014A fractionally cointegrated VAR analysis of price discovery in commodity futures markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper39
2014A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets.(2014) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		paper
2015A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets.(2015) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		article
2014Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper15
2015Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models.(2015) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		article
2011Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models.(2011) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
2016The cointegrated vector autoregressive model with general deterministic terms In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2018The cointegrated vector autoregressive model with general deterministic terms.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2016The cointegrated vector autoregressive model with general deterministic terms.(2016) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2016The Cointegrated Vector Autoregressive Model With General Deterministic Terms.(2016) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2016Forecasting daily political opinion polls using the fractionally cointegrated VAR model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper9
2015Forecasting daily political opinion polls using the fractionally cointegrated VAR model.(2015) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2017Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: CREATES Research Papers.
[Full Text][Citation analysis]		paper8
2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2016Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form.(2016) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2017Testing the CVAR in the fractional CVAR model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2018Testing the CVAR in the Fractional CVAR Model.(2018) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2017Testing the CVAR in the fractional CVAR model.(2017) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2017Testing The Cvar In The Fractional Cvar Model.(2017) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2018Nonstationary cointegration in the fractionally cointegrated VAR model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper13
2019Nonstationary Cointegration in the Fractionally Cointegrated VAR Model.(2019) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		article
2018Nonstationary cointegration in the fractionally cointegrated VAR model.(2018) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2018Nonstationary Cointegration In The Fractionally Cointegrated Var Model.(2018) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2018Fast and Wild: Bootstrap Inference in Stata Using boottest In: CREATES Research Papers.
[Full Text][Citation analysis]		paper312
2018Fast And Wild: Bootstrap Inference In Stata Using Boottest.(2018) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 312		paper
2019Fast and wild: Bootstrap inference in Stata using boottest.(2019) In: Stata Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 312		article
2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper21
2017Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model.(2017) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2018Economic significance of commodity return forecasts from the fractionally cointegrated VAR model.(2018) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		article
2019Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors In: CREATES Research Papers.
[Full Text][Citation analysis]		paper32
2019Asymptotic theory and wild bootstrap inference with clustered errors.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32		article
2018Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors.(2018) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32		paper
2020Wild Bootstrap and Asymptotic Inference with Multiway Clustering In: CREATES Research Papers.
[Full Text][Citation analysis]		paper24
2019Wild Bootstrap and Asymptotic Inference with Multiway Clustering.(2019) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2021Wild Bootstrap and Asymptotic Inference With Multiway Clustering.(2021) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		article
2020Truncated sum of squares estimation of fractional time series models with deterministic trends In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2020TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS.(2020) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2019Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends.(2019) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2020Adaptive Inference in Heteroskedastic Fractional Time Series Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2019Adaptive Inference In Heteroskedastic Fractional Time Series Models.(2019) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2022Adaptive Inference in Heteroscedastic Fractional Time Series Models.(2022) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2020To infinity and beyond: Efficient computation of ARCH(1) models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2021Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2021Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks.(2021) In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2020Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks.(2020) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2022Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks.(2022) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2022Fractional integration and cointegration In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2022Fractional integration and cointegration.(2022) In: Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2022Inference on the dimension of the nonstationary subspace in functional time series In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2020Inference on the dimension of the nonstationary subspace in functional time series.(2020) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2022Truncated sum-of-squares estimation of fractional time series models with generalized power law trend In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2022Truncated sum-of-squares estimation of fractional time series models with generalized power law trend.(2022) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2022Cluster-Robust Inference: A Guide to Empirical Practice In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2022Cluster-Robust Inference: A Guide to Empirical Practice.(2022) In: Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
.() In: .
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2022Cluster-Robust Inference: A Guide to Empirical Practice.(2022) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2022Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust In: Papers.
[Full Text][Citation analysis]		paper1
2022Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust.(2022) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2022Bootstrap inference in the presence of bias In: Papers.
[Full Text][Citation analysis]		paper0
2022Weak convergence to derivatives of fractional Brownian motion In: Papers.
[Full Text][Citation analysis]		paper0
2023Testing for the appropriate level of clustering in linear regression models In: Papers.
[Full Text][Citation analysis]		paper0
2023Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference In: Papers.
[Full Text][Citation analysis]		paper0
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2007Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article37
2008Asset Market Perspectives on the Israeli–Palestinian Conflict In: Economica.
[Full Text][Citation analysis]		article52
2006Asset Market Perspectives on the Israeli-Palestinian Conflict.(2006) In: Bank of Israel Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52		paper
2018Forecasting daily political opinion polls using the fractionally cointegrated vector auto?regressive model In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article10
2014A FAST FRACTIONAL DIFFERENCE ALGORITHM In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article21
2013A fast fractional difference algorithm.(2013) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2013A Fast Fractional Difference Algorithm.(2013) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2019Special 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 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2021To infinity and beyond: Efficient computation of ARCH(?) models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2016THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article22
2012The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models.(2012) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2008A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis In: Working Papers.
[Full Text][Citation analysis]		paper2
2008A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis.(2008) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2005Noncontemporaneous cointegration and the importance of timing In: Economics Letters.
[Full Text][Citation analysis]		article3
2007Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article55
2006Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach.(2006) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		paper
2008Finite sample accuracy and choice of sampling frequency in integrated volatility estimation In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article25
2005Finite Sample Accuracy Of Integrated Volatility Estimators.(2005) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		paper
2016A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article27
2015A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets.(2015) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2008Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration In: Working Paper.
[Full Text][Citation analysis]		paper3
2005The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices In: Working Paper.
[Full Text][Citation analysis]		paper2
2005Forecasting Exchange Rate Volatility In The Presence Of Jumps In: Working Paper.
[Full Text][Citation analysis]		paper4
2006The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps In: Working Paper.
[Full Text][Citation analysis]		paper1
2005Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration In: Working Paper.
[Full Text][Citation analysis]		paper34
2005Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration.(2005) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		article
2014Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model In: Working Paper.
[Full Text][Citation analysis]		paper9
2018A Matlab Program And Users Guide For The Fractionally Cointegrated Var Model In: Working Paper.
[Full Text][Citation analysis]		paper34
2017Validity Of Wild Bootstrap Inference With Clustered Errors In: Working Paper.
[Full Text][Citation analysis]		paper4
2017Bootstrap And Asymptotic Inference With Multiway Clustering In: Working Paper.
[Full Text][Citation analysis]		paper10
2020To infinity and beyond: Efficient computation of ARCH(\infty) models In: Working Paper.
[Full Text][Citation analysis]		paper0
2022Testing for the appropriate level of clustering in linear regression models In: Working Paper.
[Full Text][Citation analysis]		paper1
2022Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order In: Working Paper.
[Full Text][Citation analysis]		paper0
2022Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference In: Working Paper.
[Full Text][Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team