21
H index
31
i10 index
1340
Citations
Morten Ørregaard Nielsen : Citation Profile
Queen's University (85% share) | RESEARCH PRODUCTION: 52 Articles 102 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (2001 - 2020). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Morten Ørregaard Nielsen. | Is cited by:
| Cites to:
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Main data
Where Morten Ørregaard Nielsen has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Paper / Economics Department, Queen's University | 48 |
| Discussion Papers / University of Copenhagen. Department of Economics | 8 |
Recent works citing Morten Ørregaard Nielsen (2020 and 2019)
| Year | Title of citing document | |
|---|---|---|
| 2018 | Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09. Full description at Econpapers || Download paper | |
| 2018 | Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects. (2018). Velasco, Carlos ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2018-11. Full description at Econpapers || Download paper | |
| 2019 | Resuscitating the co-fractional model of Granger (1986). (2019). Santucci de Magistris, Paolo ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02. Full description at Econpapers || Download paper | |
| 2019 | Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04. Full description at Econpapers || Download paper | |
| 2019 | Wavelet 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. Full description at Econpapers || Download paper | |
| 2019 | Volatility experience of major world stock markets. (2019). Rao, Prabhakara R ; Mallikarjuna, M. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:35-52. Full description at Econpapers || Download paper | |
| 2019 | Volatility experience of major world stock markets. (2019). Mallikarjuna, Mejari ; Rao, Prabhakara R. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:35-52. Full description at Econpapers || Download paper | |
| 2017 | Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; BarunÃk, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489. Full description at Econpapers || Download paper | |
| 2020 | Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520. Full description at Econpapers || Download paper | |
| 2017 | Option pricing for Informed Traders. (2017). Fabozzi, Frank ; Rachev, Svetlozar T ; Kim, Yong Shin ; Stoyanov, Stoyan V. In: Papers. RePEc:arx:papers:1711.09445. Full description at Econpapers || Download paper | |
| 2018 | Nonfractional Memory: Filtering, Antipersistence, and Forecasting. (2018). Vera-Valdés, J. Eduardo. In: Papers. RePEc:arx:papers:1801.06677. Full description at Econpapers || Download paper | |
| 2018 | Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007. Full description at Econpapers || Download paper | |
| 2018 | Econometric Modeling of Regional Electricity Spot Prices in the Australian Market. (2018). Shively, Thomas S ; Smith, Michael Stanley. In: Papers. RePEc:arx:papers:1804.08218. Full description at Econpapers || Download paper | |
| 2018 | Day-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. Full description at Econpapers || Download paper | |
| 2018 | Asymptotic results under multiway clustering. (2018). D'Haultfoeuille, Xavier ; Davezies, Laurent ; Guyonvarch, Yannick. In: Papers. RePEc:arx:papers:1807.07925. Full description at Econpapers || Download paper | |
| 2019 | Approximate State Space Modelling of Unobserved Fractional Components. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142. Full description at Econpapers || Download paper | |
| 2019 | Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149. Full description at Econpapers || Download paper | |
| 2019 | Many 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 | |
| 2019 | Asymptotic Theory for Clustered Samples. (2019). Lee, Seojeong ; Hansen, Bruce E. In: Papers. RePEc:arx:papers:1902.01497. Full description at Econpapers || Download paper | |
| 2019 | Co-jumping of Treasury Yield Curve Rates. (2019). BarunÃk, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541. Full description at Econpapers || Download paper | |
| 2019 | Permutation inference with a finite number of heterogeneous clusters. (2019). Hagemann, Andreas. In: Papers. RePEc:arx:papers:1907.01049. Full description at Econpapers || Download paper | |
| 2019 | Inference 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 | |
| 2019 | Forecasting under Long Memory and Nonstationarity. (2019). Hassler, Uwe ; Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:1910.08202. Full description at Econpapers || Download paper | |
| 2020 | Effects of the Affordable Care Act Dependent Coverage Mandate on Health Insurance Coverage for Individuals in Same-Sex Couples. (2020). Sansone, Dario ; McKay, Tara ; Gonzales, Gilbert ; Carpenter, Christopher S. In: Papers. RePEc:arx:papers:2004.02296. Full description at Econpapers || Download paper | |
| 2020 | A new multilayer network construction via Tensor learning. (2020). di Matteo, T ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2004.05367. Full description at Econpapers || Download paper | |
| 2019 | Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283. Full description at Econpapers || Download paper | |
| 2017 | The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius. In: BIS Working Papers. RePEc:bis:biswps:652. Full description at Econpapers || Download paper | |
| 2018 | Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919. Full description at Econpapers || Download paper | |
| 2017 | WAVELET VARIANCE RATIO TEST AND WAVESTRAPPING FOR THE DETERMINATION OF THE COINTEGRATION RANK. (2017). Eroglu, Burak. In: Working Papers. RePEc:bli:wpaper:1706. Full description at Econpapers || Download paper | |
| 2017 | FRACTIONAL SEASONAL VARIANCE RATIO UNIT ROOT TESTS. (2017). Trokic, Mirza ; Gogebakan, Kemal Caglar ; Eroglu, Burak. In: Working Papers. RePEc:bli:wpaper:1707. Full description at Econpapers || Download paper | |
| 2018 | Repo market functioning: the role of capital regulation. (2018). Van Horen, Neeltje ; Kotidis, Antonis. In: Bank of England working papers. RePEc:boe:boeewp:0746. Full description at Econpapers || Download paper | |
| 2019 | Forecast Performance in Times of Terrorism. (2019). El-Shagi, Makram ; Benchimol, Jonathan. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2019.08. Full description at Econpapers || Download paper | |
| 2017 | High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099. Full description at Econpapers || Download paper | |
| 2019 | Think again: volatility asymmetry and volatility persistence. (2019). Thomas, Dimpfl ; Dirk, Baur. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:19:n:4. Full description at Econpapers || Download paper | |
| 2018 | A Stochastic Latent Moment Model for Electricity Price Formation. (2018). Gianfreda, Angelica ; Bunn, Derek. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps46. Full description at Econpapers || Download paper | |
| 2019 | Towards an Experimental Framework for Assessing Meta-Analysis Methods, with a Focus on Andrews-Kasy Estimators. (2019). Reed, W. ; Hong, Sanghyun. In: Working Papers in Economics. RePEc:cbt:econwp:19/13. Full description at Econpapers || Download paper | |
| 2019 | Why Unions: Understanding How Unions Overcome the Free-Rider Problem. (2019). Murphy, Richard. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1625. Full description at Econpapers || Download paper | |
| 2017 | Electoral Externalities in Federations - Evidence from German Opinion Polls. (2017). Roesel, Felix ; Lehmann, Robert ; Langer, Sebastian ; Frei, Xenia. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6375. Full description at Econpapers || Download paper | |
| 2018 | Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence. (2018). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7073. Full description at Econpapers || Download paper | |
| 2019 | Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach. (2019). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; You, Kefei. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7537. Full description at Econpapers || Download paper | |
| 2019 | The political economy of immigrant legalisation: evidence from the 1986 IRCA. (2019). Winter, Christoph ; Sabet, Navid . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7611. Full description at Econpapers || Download paper | |
| 2019 | CO2 Emissions and GDP: Evidence from China. (2019). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Claudio-Quiroga, Gloria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7881. Full description at Econpapers || Download paper | |
| 2017 | Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2017). Crisóstomo, Ricardo ; Couso, Lorena ; Crisostomo, Ricardo . In: CNMV Working Papers. RePEc:cnv:wpaper:dt_67en. Full description at Econpapers || Download paper | |
| 2017 | Análisis 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. Full description at Econpapers || Download paper | |
| 2018 | Unintended Impacts from Forest Certification: Evidence from Indigenous Aka Households in Congo. (2018). Doremus, Jacqueline. In: Working Papers. RePEc:cpl:wpaper:1804. Full description at Econpapers || Download paper | |
| 2018 | Repo market functioning: The role of capital regulation. (2018). Van Horen, Neeltje ; Kotidis, Antonis. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13090. Full description at Econpapers || Download paper | |
| 2019 | Home bias in humanitarian aid: The role of regional favoritism in the allocation of international disaster relief. (2019). Perez-Alvarez, Marcello ; Dreher, Axel ; Bommer, Christian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13957. Full description at Econpapers || Download paper | |
| 2020 | Workplace Knowledge Flows. (2020). Stanton, Christopher ; Seegert, Nathan ; Saouma, Richard ; Sandvik, Jason. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14299. Full description at Econpapers || Download paper | |
| 2020 | Lift the Ban? Initial Employment Restrictions and Refugee Labour Market Outcomes. (2020). Minale, Luigi ; Fasani, Francesco ; Frattini, Tommaso. In: Development Working Papers. RePEc:csl:devewp:462. Full description at Econpapers || Download paper | |
| 2017 | Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence. (2017). RodrÃguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; RodrÃÂguez Caballero, Carlos ; Ergemen, Yunus Emre ; Rodriguez, Carlos Vladimir . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24614. Full description at Econpapers || Download paper | |
| 2017 | FUTURES-BASED MEASURES OF MONETARY POLICY AND JUMP RISK. (2017). Inekwe, John ; Nkwoma, Inekwe John . In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:02:p:384-405_00. Full description at Econpapers || Download paper | |
| 2017 | Entropy-based implied moments. (2017). Zhou, Chen ; Xiao, Xiao. In: DNB Working Papers. RePEc:dnb:dnbwpp:581. Full description at Econpapers || Download paper | |
| 2019 | Decomposing Local Fiscal Multipliers: Evidence from Japan. (2019). Tsuruga, Takayuki ; Namba, Ryoichi ; Kameda, Taisuke. In: ISER Discussion Paper. RePEc:dpr:wpaper:1065. Full description at Econpapers || Download paper | |
| 2019 | Narrow-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. Full description at Econpapers || Download paper | |
| 2019 | Local 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. Full description at Econpapers || Download paper | |
| 2017 | Electricity price behavior and carbon trading: New evidence from California. (2017). woo, chi-keung ; Chen, Yan ; Schlag, N ; Olson, A ; Moore, J ; Ong, A ; Ho, T. In: Applied Energy. RePEc:eee:appene:v:204:y:2017:i:c:p:531-543. Full description at Econpapers || Download paper | |
| 2019 | Bayesian deep learning based method for probabilistic forecast of day-ahead electricity prices. (2019). Portolani, Pietro ; Matteucci, Matteo ; Brusaferri, Alessandro ; Vitali, Andrea. In: Applied Energy. RePEc:eee:appene:v:250:y:2019:i:c:p:1158-1175. Full description at Econpapers || Download paper | |
| 2019 | Womens political participation and intrahousehold empowerment: Evidence from the Egyptian Arab Spring. (2019). Champeaux, Hugues ; Boutin, Delphine ; Bargain, Olivier. In: Journal of Development Economics. RePEc:eee:deveco:v:141:y:2019:i:c:s0304387818305923. Full description at Econpapers || Download paper | |
| 2019 | The risk return relationship: Evidence from index returns and realised variances. (2019). Yang, Minxian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:5. Full description at Econpapers || Download paper | |
| 2017 | Asset prices and economic fluctuations: The implications of stochastic volatility. (2017). Chen, Junping ; Zhu, Xiaoneng ; Xiong, Xiong. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:128-140. Full description at Econpapers || Download paper | |
| 2017 | Disagreement and the risk-return relation. (2017). Jia, Yun ; Yang, Chunpeng. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:97-104. Full description at Econpapers || Download paper | |
| 2017 | Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Zhang, Heng-Guo ; Su, Fei ; Xiao, Ran ; Qiu, Shuqi ; Song, Yan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:355-367. Full description at Econpapers || Download paper | |
| 2018 | A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets. (2018). Gong, Yuting ; Liang, Jufang ; Chen, Qiang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:586-598. Full description at Econpapers || Download paper | |
| 2018 | Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Omura, Akihiro ; Todorova, Neda ; Chung, Richard ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510. Full description at Econpapers || Download paper | |
| 2018 | Risk aversion connectedness in five European countries. (2018). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:68-79. Full description at Econpapers || Download paper | |
| 2019 | Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80. Full description at Econpapers || Download paper | |
| 2020 | A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques. (2020). Salisu, Afees ; Ebuh, Godday U ; Tule, Moses K. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:225-237. Full description at Econpapers || Download paper | |
| 2017 | Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221. Full description at Econpapers || Download paper | |
| 2017 | Fake news. (2017). Brigida, Matt ; Pratt, William R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:564-573. Full description at Econpapers || Download paper | |
| 2018 | Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108. Full description at Econpapers || Download paper | |
| 2019 | Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:540-554. Full description at Econpapers || Download paper | |
| 2020 | Multiple shocks and households choice of coping strategies in rural Cambodia. (2020). Nguyen, Trung Thanh ; Grote, Ulrike. In: Ecological Economics. RePEc:eee:ecolec:v:167:y:2020:i:c:s0921800919300606. Full description at Econpapers || Download paper | |
| 2017 | On 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. Full description at Econpapers || Download paper | |
| 2018 | Long Memory Interdependency and Inefficiency in Bitcoin Markets. (2018). Parhi, Mamata ; Mishra, Tapas ; Cheah, Jeremy Eng Tuck ; Zhang, Zhuang. In: Economics Letters. RePEc:eee:ecolet:v:167:y:2018:i:c:p:18-25. Full description at Econpapers || Download paper | |
| 2018 | Powerful nonparametric seasonal unit root tests. (2018). Erolu, Burak Alparslan ; Troki, Mirza ; Goebakan, Kemal Alar. In: Economics Letters. RePEc:eee:ecolet:v:167:y:2018:i:c:p:75-80. Full description at Econpapers || Download paper | |
| 2018 | On bootstrap implementation of likelihood ratio test for a unit root. (2018). Skrobotov, Anton. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:154-158. Full description at Econpapers || Download paper | |
| 2019 | Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model. (2019). Li, Zhenxiong ; Izzeldin, Marwan ; Yao, Xingzhi. In: Economics Letters. RePEc:eee:ecolet:v:181:y:2019:i:c:p:160-163. Full description at Econpapers || Download paper | |
| 2020 | Nonstationarity-extended Whittle estimation with discontinuity: A correction. (2020). Cheung, Ying Lun. In: Economics Letters. RePEc:eee:ecolet:v:187:y:2020:i:c:s0165176519304641. Full description at Econpapers || Download paper | |
| 2017 | Estimation of fractionally integrated panels with fixed effects and cross-section dependence. (2017). Velasco, Carlos ; Ergemen, Yunus Emre . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:248-258. Full description at Econpapers || Download paper | |
| 2017 | Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244. Full description at Econpapers || Download paper | |
| 2017 | A unifying theory of tests of rank. (2017). Al-Sadoon, Majid. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:49-62. Full description at Econpapers || Download paper | |
| 2018 | A 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. Full description at Econpapers || Download paper | |
| 2018 | Estimating the integrated volatility using high-frequency data with zero durations. (2018). Liu, Zhi ; Jing, Bing-Yi ; Kong, Xin-Bing. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:18-32. Full description at Econpapers || Download paper | |
| 2018 | Generating univariate fractional integration within a large VAR(1). (2018). Hecq, Alain ; Chevillon, Guillaume ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:54-65. Full description at Econpapers || Download paper | |
| 2019 | Determination of vector error correction models in high dimensions. (2019). Schienle, Melanie ; Liang, Chong. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:418-441. Full description at Econpapers || Download paper | |
| 2019 | Asymptotic theory for clustered samples. (2019). Lee, Seojeong ; Hansen, Bruce E. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:268-290. Full description at Econpapers || Download paper | |
| 2019 | Local Whittle estimation of long memory: Standard versus bias-reducing techniques. (2019). GarcÃa EnrÃquez, Javier ; Hualde, Javier ; Garcia-Enriquez, Javier. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:66-77. Full description at Econpapers || Download paper | |
| 2018 | Spot volatility estimation using the Laplace transform. (2018). Mancino, Maria Elvira ; Recchioni, Maria Cristina ; Curato, Imma Valentina . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:22-43. Full description at Econpapers || Download paper | |
| 2019 | Model order selection in periodic long memory models. (2019). Leschinski, Christian ; Sibbertsen, Philipp. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:78-94. Full description at Econpapers || Download paper | |
| 2018 | Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129. Full description at Econpapers || Download paper | |
| 2018 | Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180. Full description at Econpapers || Download paper | |
| 2017 | Construction of an efficient portfolio of power purchase decisions based on risk-diversification tradeoff. (2017). Contreras, Javier ; Sosa, Anibal ; Rodriguez, Yeny E. In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:286-297. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2018 | Day-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. Full description at Econpapers || Download paper | |
| 2018 | Component estimation for electricity market data: Deterministic or stochastic?. (2018). Lisi, Francesco ; Pelagatti, Matteo M. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:13-37. Full description at Econpapers || Download paper | |
| 2018 | Econometric modeling of regional electricity spot prices in the Australian market. (2018). Smith, Michael Stanley ; Shively, Thomas S. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:886-903. Full description at Econpapers || Download paper | |
| 2018 | Predictability of crude oil prices: An investor perspective. (2018). Liu, LI ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:193-205. Full description at Econpapers || Download paper | |
| 2019 | A seasonal copula mixture for hedging the clean spark spread with wind power futures. (2019). Hog, Esben ; Pircalabu, Anca ; Christensen, Troels Sonderby. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:64-80. Full description at Econpapers || Download paper | |
| 2019 | Pricing dynamics of natural gas futures. (2019). Li, Bingxin. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:91-108. Full description at Econpapers || Download paper | |
| 2019 | Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Ma, Feng ; Chen, Yixiang ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62. Full description at Econpapers || Download paper | |
| 2019 | Futures-based forecasts: How useful are they for oil price volatility forecasting?. (2019). Filis, George ; Degiannakis, Stavros ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:639-649. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Morten Ørregaard Nielsen:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2001 | Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data In: Economics Working Papers. [Full Text][Citation analysis] | paper | 81 |
| 2006 | Asymptotic 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: 81 | article | |
| 2001 | Efficient Likelihold Inference in Nonstationary Univariate Models In: Economics Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2004 | EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS.(2004) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
| 2002 | Spectral Analysis of Fractionally Cointegrated Systems In: Economics Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2004 | Spectral analysis of fractionally cointegrated systems.(2004) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2002 | Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence In: Economics Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2004 | Local 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: 1 | article | |
| 2002 | Semiparametric Estimation in Time Series Regression with Long Range Dependence In: Economics Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2005 | Semiparametric 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: 11 | article | |
| 2002 | Multivariate Lagrange Multiplier Tests for Fractional Integration In: Economics Working Papers. [Full Text][Citation analysis] | paper | 25 |
| 2005 | Multivariate Lagrange Multiplier Tests for Fractional Integration.(2005) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | article | |
| 2002 | Efficient Inference in Multivariate Fractionally Integrated Time Series Models In: Economics Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2004 | Efficient inference in multivariate fractionally integrated time series models.(2004) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
| 2002 | Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics In: Economics Working Papers. [Full Text][Citation analysis] | paper | 16 |
| 2004 | Optimal 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: 16 | article | |
| 2002 | Local Whittle Analysis of Stationary Fractional Cointegration In: Economics Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2003 | Estimation of Fractional Integration in the Presence of Data Noise In: Economics Working Papers. [Full Text][Citation analysis] | paper | 31 |
| 2007 | Estimation 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: 31 | article | |
| 2004 | A Regime Switching Long Memory Model for Electricity Prices In: Economics Working Papers. [Full Text][Citation analysis] | paper | 113 |
| 2006 | A regime switching long memory model for electricity prices.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 113 | article | |
| 2005 | Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices In: Economics Working Papers. [Full Text][Citation analysis] | paper | 76 |
| 2006 | Directional 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: 76 | article | |
| 2007 | The Effect of Long Memory in Volatility on Stock Market Fluctuations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 32 |
| 2007 | The 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: 32 | article | |
| 2007 | The 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] | paper | 118 |
| 2011 | The 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: 118 | article | |
| 2008 | The 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: 118 | paper | |
| 2007 | Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 41 |
| 2010 | Long 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: 41 | article | |
| 2009 | Long 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: 41 | paper | |
| 2007 | Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 92 |
| 2010 | Continuous-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: 92 | article | |
| 2008 | Continuous-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: 92 | paper | |
| 2007 | A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 47 |
| 2010 | A 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: 47 | article | |
| 2009 | A 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 | |
| 2007 | Likelihood inference for a nonstationary fractional autoregressive model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 36 |
| 2010 | Likelihood inference for a nonstationary fractional autoregressive model.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
| 2007 | Likelihood Inference for a Nonstationary Fractional Autoregressive Model.(2007) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
| 2009 | Likelihood Inference For A Nonstationary Fractional Autoregressive Model.(2009) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
| 2008 | Local polynomial Whittle estimation of perturbed fractional processes In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 24 |
| 2012 | Local polynomial Whittle estimation of perturbed fractional processes.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | article | |
| 2009 | Local Polynomial Whittle Estimation Of Perturbed Fractional Processes.(2009) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
| 2008 | Bias-reduced estimation of long memory stochastic volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 5 |
| 2008 | Bias-Reduced Estimation of Long-Memory Stochastic Volatility.(2008) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
| 2008 | A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
| 2009 | A 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: 12 | article | |
| 2008 | A 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: 12 | paper | |
| 2009 | Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 22 |
| 2010 | Nonparametric 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: 22 | article | |
| 2008 | Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders.(2008) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2009 | Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
| 2012 | Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis.(2012) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2009 | Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis.(2009) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2009 | Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2011 | Nearly 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 | |
| 2009 | Nearly 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 | |
| 2010 | Likelihood inference for a fractionally cointegrated vector autoregressive model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 83 |
| 2010 | Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model.(2010) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
| 2010 | Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model.(2010) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
| 2012 | Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model.(2012) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | article | |
| 2010 | Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 33 |
| 2011 | Fully 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: 33 | article | |
| 2009 | Fully 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: 33 | paper | |
| 2011 | Fully 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: 33 | article | |
| 2010 | Numerical distribution functions of fractional unit root and cointegration tests In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 15 |
| 2010 | Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests.(2010) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 2014 | NUMERICAL 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: 15 | article | |
| 2010 | A necessary moment condition for the fractional functional central limit theorem In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | A 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 | |
| 2010 | A 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 | |
| 2012 | The impact of financial crises on the risk-return tradeoff and the leverage effect In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
| 2015 | The 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: 12 | article | |
| 2012 | The 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: 12 | paper | |
| 2012 | Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 10 |
| 2015 | Improved 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: 10 | article | |
| 2012 | Improved 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: 10 | paper | |
| 2012 | Improved 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: 10 | paper | |
| 2012 | The role of initial values in nonstationary fractional time series models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2012 | The 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: 4 | paper | |
| 2014 | Bootstrap 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] | paper | 8 |
| 2015 | Bootstrap 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 | |
| 2013 | Bootstrap 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 | |
| 2014 | A fractionally cointegrated VAR analysis of economic voting and political support In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
| 2014 | A 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: 8 | article | |
| 2014 | A 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: 8 | paper | |
| 2014 | A 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: 8 | article | |
| 2014 | A fractionally cointegrated VAR analysis of price discovery in commodity futures markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
| 2014 | A 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: 19 | paper | |
| 2015 | A 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: 19 | article | |
| 2014 | Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
| 2015 | Asymptotics 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: 7 | article | |
| 2011 | Asymptotics 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: 7 | paper | |
| 2016 | The cointegrated vector autoregressive model with general deterministic terms In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | The cointegrated vector autoregressive model with general deterministic terms.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2016 | The cointegrated vector autoregressive model with general deterministic terms.(2016) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2016 | The Cointegrated Vector Autoregressive Model With General Deterministic Terms.(2016) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2016 | Forecasting daily political opinion polls using the fractionally cointegrated VAR model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 5 |
| 2015 | Forecasting 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: 5 | paper | |
| 2017 | Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Quasi-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: 1 | article | |
| 2016 | Quasi-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: 1 | paper | |
| 2017 | Testing the CVAR in the fractional CVAR model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Testing 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: 0 | article | |
| 2017 | Testing the CVAR in the fractional CVAR model.(2017) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2017 | Testing The Cvar In The Fractional Cvar Model.(2017) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Nonstationary cointegration in the fractionally cointegrated VAR model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2019 | Nonstationary 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: 4 | article | |
| 2018 | Nonstationary cointegration in the fractionally cointegrated VAR model.(2018) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2018 | Nonstationary Cointegration In The Fractionally Cointegrated Var Model.(2018) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2018 | Fast and Wild: Bootstrap Inference in Stata Using boottest In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 51 |
| 2018 | Fast And Wild: Bootstrap Inference In Stata Using Boottest.(2018) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
| 2019 | Fast and wild: Bootstrap inference in Stata using boottest.(2019) In: Stata Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | article | |
| 2017 | Economic significance of commodity return forecasts from the fractionally cointegrated VAR model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
| 2017 | Economic 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: 6 | paper | |
| 2018 | Economic 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: 6 | article | |
| 2019 | Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
| 2019 | Asymptotic theory and wild bootstrap inference with clustered errors.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
| 2018 | Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors.(2018) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2006 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2007 | Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 31 |
| 2008 | Asset Market Perspectives on the Israeli–Palestinian Conflict In: Economica. [Full Text][Citation analysis] | article | 46 |
| 2006 | Asset 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: 46 | paper | |
| 2014 | A FAST FRACTIONAL DIFFERENCE ALGORITHM In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 12 |
| 2013 | A fast fractional difference algorithm.(2013) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2013 | A Fast Fractional Difference Algorithm.(2013) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2019 | 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 In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2016 | THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 6 |
| 2012 | The 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: 6 | paper | |
| 2008 | A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | A 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: 0 | paper | |
| 2005 | Noncontemporaneous cointegration and the importance of timing In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2007 | Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach In: Journal of Econometrics. [Full Text][Citation analysis] | article | 46 |
| 2006 | Determining 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: 46 | paper | |
| 2008 | Finite sample accuracy and choice of sampling frequency in integrated volatility estimation In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 24 |
| 2005 | Finite Sample Accuracy Of Integrated Volatility Estimators.(2005) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
| 2016 | A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 8 |
| 2015 | A 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: 8 | paper | |
| 2008 | Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration In: Working Paper. [Full Text][Citation analysis] | paper | 4 |
| 2005 | The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices In: Working Paper. [Full Text][Citation analysis] | paper | 2 |
| 2005 | Forecasting Exchange Rate Volatility In The Presence Of Jumps In: Working Paper. [Full Text][Citation analysis] | paper | 4 |
| 2006 | The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps In: Working Paper. [Full Text][Citation analysis] | paper | 1 |
| 2005 | Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration In: Working Paper. [Full Text][Citation analysis] | paper | 30 |
| 2005 | Finite 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: 30 | article | |
| 2014 | Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model In: Working Paper. [Full Text][Citation analysis] | paper | 5 |
| 2018 | A Matlab Program And Users Guide For The Fractionally Cointegrated Var Model In: Working Paper. [Full Text][Citation analysis] | paper | 11 |
| 2019 | Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Validity Of Wild Bootstrap Inference With Clustered Errors In: Working Paper. [Full Text][Citation analysis] | paper | 3 |
| 2017 | Bootstrap And Asymptotic Inference With Multiway Clustering In: Working Paper. [Full Text][Citation analysis] | paper | 5 |
| 2019 | Adaptive Inference In Heteroskedastic Fractional Time Series Models In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Wild Bootstrap and Asymptotic Inference with Multiway Clustering In: Working Paper. [Full Text][Citation analysis] | paper | 3 |
| 2020 | Inference on the dimension of the nonstationary subspace in functional time series In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
| 2020 | To infinity and beyond: Efficient computation of ARCH(\infty) models In: Working Paper. [Full Text][Citation analysis] | paper | 0 |
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