Morten Ørregaard Nielsen : Citation Profile

Are you Morten Ørregaard Nielsen?

Queen's University (85% share)
Aarhus Universitet (15% share)

20

H index

32

i10 index

1233

Citations

RESEARCH PRODUCTION:

53

Articles

100

Papers

RESEARCH ACTIVITY:

   18 years (2001 - 2019). See details.
   Cites by year: 68
   Journals where Morten Ørregaard Nielsen has often published
   Relations with other researchers
   Recent citing documents: 209.    Total self citations: 88 (6.66 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pni42
   Updated: 2019-09-14    RAS profile: 2019-08-12    
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Relations with other researchers

Works with:

Johansen, Soren (13)

MacKinnon, James (9)

Taylor, Robert (7)

Cavaliere, Giuseppe (7)

Webb, Matthew (5)

Popiel, Michal (4)

Roodman, David (3)

Djogbenou, Antoine (3)

Jones, Maggie (3)

Shibaev, Sergei (2)

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

Is cited by:

DE TRUCHIS, Gilles (62)

Santucci de Magistris, Paolo (62)

Gil-Alana, Luis (42)

Sibbertsen, Philipp (38)

Rodríguez Caballero, Carlos (36)

ALOY, Marcel (29)

Christensen, Bent Jesper (29)

Caporin, Massimiliano (26)

Kruse, Robinson (23)

Leschinski, Christian (21)

Łasak, Katarzyna (20)

Cites to:

Bollerslev, Tim (64)

Johansen, Soren (51)

Andersen, Torben (50)

Diebold, Francis (46)

Granger, Clive (38)

MacKinnon, James (36)

Phillips, Peter (35)

Robinson, Peter (32)

Baillie, Richard (26)

Velasco, Carlos (21)

Barndorff-Nielsen, Ole (20)

Main data

Where Morten Ørregaard Nielsen has published?

Journals with more than one article published# docs
Journal of Econometrics11
Journal of Time Series Analysis6
Econometric Theory4
Journal of Business & Economic Statistics3
Journal of Empirical Finance3
Journal of Financial Econometrics2
Econometrics Journal2
Economics Letters2
Econometrica2
Journal of Futures Markets2

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University46
Discussion Papers / University of Copenhagen. Department of Economics8

Recent works citing Morten Ørregaard Nielsen (2019 and 2018)

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

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2018Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects. (2018). Velasco, Carlos ; Ergemen, Yunus Emre . In: CREATES Research Papers. RePEc:aah:create:2018-11.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). de Magistris, Paolo Santucci ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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2019Assessing 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.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

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2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2017Option pricing for Informed Traders. (2017). Stoyanov, Stoyan V ; Fabozzi, Frank J ; Rachev, Svetlozar T ; Kim, Yong Shin. In: Papers. RePEc:arx:papers:1711.09445.

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2018Nonfractional Memory: Filtering, Antipersistence, and Forecasting. (2018). Vera-Valdés, J. In: Papers. RePEc:arx:papers:1801.06677.

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2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

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2018Econometric Modeling of Regional Electricity Spot Prices in the Australian Market. (2018). Smith, Michael Stanley ; Shively, Thomas S. In: Papers. RePEc:arx:papers:1804.08218.

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

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2018Asymptotic results under multiway clustering. (2018). D'Haultfoeuille, Xavier ; Guyonvarch, Yannick ; Davezies, Laurent. In: Papers. RePEc:arx:papers:1807.07925.

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2019Approximate State Space Modelling of Unobserved Fractional Components. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142.

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2019Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019Cluster-Robust Simultaneous Inference for Many Average Partial Effects in Binary/Fractional Models. (2018). Chiang, Harold D. In: Papers. RePEc:arx:papers:1812.09397.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2019Permutation inference with a finite number of heterogeneous clusters. (2019). Hagemann, Andreas. In: Papers. RePEc:arx:papers:1907.01049.

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2017The 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.

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2018Modeling 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.

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2017WAVELET VARIANCE RATIO TEST AND WAVESTRAPPING FOR THE DETERMINATION OF THE COINTEGRATION RANK. (2017). Eroglu, Burak. In: Working Papers. RePEc:bli:wpaper:1706.

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2017FRACTIONAL SEASONAL VARIANCE RATIO UNIT ROOT TESTS. (2017). Eroglu, Burak ; Trokic, Mirza ; Gogebakan, Kemal Caglar. In: Working Papers. RePEc:bli:wpaper:1707.

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2018Repo market functioning: the role of capital regulation. (2018). Van Horen, Neeltje ; Kotidis, Antonis. In: Bank of England working papers. RePEc:boe:boeewp:0746.

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2019Forecast Performance in Times of Terrorism. (2019). Benchimol, Jonathan ; El-Shagi, Makram. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2019.08.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2019Think 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.

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2018A Stochastic Latent Moment Model for Electricity Price Formation. (2018). Gianfreda, Angelica ; Bunn, Derek. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps46.

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2019Why Unions: Understanding How Unions Overcome the Free-Rider Problem. (2019). Murphy, Richard. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1625.

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2017Electoral Externalities in Federations - Evidence from German Opinion Polls. (2017). Roesel, Felix ; Lehmann, Robert ; Frei, Xenia ; Langer, Sebastian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6375.

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2018Prospects 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.

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2019Stock market linkages between the ASEAN countries, China and the US: a fractional cointegration approach. (2019). You, Kefei ; Gil-Alana, Luis A ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7537.

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2019The political economy of immigrant legalisation: evidence from the 1986 IRCA. (2019). Winter, Christoph ; Sabet, Navid . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7611.

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2017Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2017). Crisóstomo, Ricardo ; Crisostomo, Ricardo ; Couso, Lorena. In: CNMV Working Papers. RePEc:cnv:wpaper:dt_67en.

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2018Unintended Impacts from Forest Certification: Evidence from Indigenous Aka Households in Congo. (2018). Doremus, Jacqueline . In: Working Papers. RePEc:cpl:wpaper:1804.

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2018Repo market functioning: The role of capital regulation. (2018). Van Horen, Neeltje ; Kotidis, Antonis. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13090.

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2017Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence. (2017). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez, Carlos Vladimir ; Ergemen, Yunus Emre . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24614.

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2017FUTURES-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.

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2017Entropy-based implied moments. (2017). Xiao, Xiao ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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

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

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2017Electricity 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.

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2017Asset 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.

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2017Disagreement 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.

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2017Calculating 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.

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2018A 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.

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2018Convenience 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.

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2018Risk 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.

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2019Modeling 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.

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2017Modeling 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.

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2017Fake 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.

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2018Are 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.

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2019Asymmetric 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.

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

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2018Long 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.

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2018Powerful 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.

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2018On 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.

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2017Estimation 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.

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2017Medium 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.

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2017A 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.

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

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2018Estimating 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.

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2018Generating 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.

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2019Determination 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.

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2019Asymptotic 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.

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2018Spot 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.

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2019Model 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.

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2018Forecasting 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.

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2018Multivariate 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.

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2017Construction 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.

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

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

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2018Component 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.

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2018Econometric 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.

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2018Predictability 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.

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2019A 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.

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2019Pricing dynamics of natural gas futures. (2019). Li, Bingxin. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:91-108.

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

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2019Market price behavior of wholesale electricity products: Texas. (2019). Tsai, C H ; Zhu, S ; Woo, C K ; Zarnikau, J. In: Energy Policy. RePEc:eee:enepol:v:125:y:2019:i:c:p:418-428.

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2017Shocks affecting electricity prices in Kenya, a fractional integration study. (2017). Gil-Alana, Luis ; Carcel, Hector ; Mudida, Robert. In: Energy. RePEc:eee:energy:v:124:y:2017:i:c:p:521-530.

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2017Nonlinear empirical pricing in electricity markets using fundamental weather factors. (2017). Uribe, Jorge ; Manotas-Duque, Diego Fernando ; Mosquera-Lopez, Stephania. In: Energy. RePEc:eee:energy:v:139:y:2017:i:c:p:594-605.

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2018Consumption effects of an electricity decarbonization policy: Hong Kong. (2018). Zarnikau, Jay ; woo, chi-keung ; Luo, X ; Liu, Y ; Shiu, A. In: Energy. RePEc:eee:energy:v:144:y:2018:i:c:p:887-902.

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2019Will Trumps coal revival plan work? - Comparison of results based on the optimal combined forecasting technique and an extended IPAT forecasting technique. (2019). Li, Rongrong ; Wang, Qiang. In: Energy. RePEc:eee:energy:v:169:y:2019:i:c:p:762-775.

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2018An analysis of time-varying commodity market price discovery. (2018). Narayan, Paresh Kumar ; Sharma, Susan Sunila. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:122-133.

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2018Risk perception in financial markets: On the flip side. (2018). naoui, kamel ; Bekiros, Stelios ; Uddin, Gazi Salah ; Jlassi, Mouna. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:184-206.

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2019Volatility discovery: Can the CDS market beat the equity options market?. (2019). Lovreta, Lidija ; Forte, Santiago. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:107-111.

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2019China’s crude oil futures: Introduction and some stylized facts. (2019). Zhang, Dayong ; Ji, Qiang. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:376-380.

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2018Do co-jumps impact correlations in currency markets?. (2018). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:97-119.

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2017On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning. (2017). Keddad, Benjamin ; DE TRUCHIS, Gilles ; Delleva, Cyril . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:82-98.

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2017Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742.

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2018Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics. (2018). Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Chiang, Thomas C. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:21-32.

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2018Oil volatility risk and expected stock returns. (2018). Christoffersen, Peter ; Pan, Xuhui . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:5-26.

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2017Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration. (2017). Miller, Stephen ; Canarella, Giorgio. In: Journal of Economics and Business. RePEc:eee:jebusi:v:92:y:2017:i:c:p:45-62.

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2017Information Shocks and Short-Term Market Underreaction. (2017). Jiang, George J ; Zhu, Kevin X. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:43-64.

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2017Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591.

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2018Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity. (2018). Chen, Yong ; Paye, Bradley S ; Eaton, Gregory W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:1:p:48-73.

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2019Variance risk in aggregate stock returns and time-varying return predictability. (2019). Pyun, Sungjune. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:1:p:150-174.

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2018Impact and spill-over effects of an asset transfer program on child undernutrition: Evidence from a randomized control trial in Bangladesh. (2018). Raza, Wameq ; van Ourti, Tom ; van De, Ellen. In: Journal of Health Economics. RePEc:eee:jhecon:v:62:y:2018:i:c:p:105-120.

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2017Forecasting oil price realized volatility using information channels from other asset classes. (2017). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:76:y:2017:i:c:p:28-49.

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2018Monetary policy shocks, inflation persistence, and long memory. (2018). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:55:y:2018:i:c:p:117-127.

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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.
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2006Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting.(2006) In: Journal of Econometrics.
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2001Efficient Likelihold Inference in Nonstationary Univariate Models In: Economics Working Papers.
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2004EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS.(2004) In: Econometric Theory.
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2002Spectral Analysis of Fractionally Cointegrated Systems In: Economics Working Papers.
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2004Spectral analysis of fractionally cointegrated systems.(2004) In: Economics Letters.
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2002Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence In: Economics Working Papers.
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2004Local empirical spectral measure of multivariate processes with long range dependence.(2004) In: Stochastic Processes and their Applications.
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2002Semiparametric Estimation in Time Series Regression with Long Range Dependence In: Economics Working Papers.
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2005Semiparametric Estimation in Time-Series Regression with Long-Range Dependence.(2005) In: Journal of Time Series Analysis.
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2002Multivariate Lagrange Multiplier Tests for Fractional Integration In: Economics Working Papers.
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2005Multivariate Lagrange Multiplier Tests for Fractional Integration.(2005) In: Journal of Financial Econometrics.
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2002Efficient Inference in Multivariate Fractionally Integrated Time Series Models In: Economics Working Papers.
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2004Efficient inference in multivariate fractionally integrated time series models.(2004) In: Econometrics Journal.
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2002Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics In: Economics Working Papers.
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2004Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics.(2004) In: Journal of Business & Economic Statistics.
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2002Local Whittle Analysis of Stationary Fractional Cointegration In: Economics Working Papers.
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2003Estimation of Fractional Integration in the Presence of Data Noise In: Economics Working Papers.
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2007Estimation of fractional integration in the presence of data noise.(2007) In: Computational Statistics & Data Analysis.
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2004A Regime Switching Long Memory Model for Electricity Prices In: Economics Working Papers.
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2006A regime switching long memory model for electricity prices.(2006) In: Journal of Econometrics.
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2005Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices In: Economics Working Papers.
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2006Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices.(2006) In: Studies in Nonlinear Dynamics & Econometrics.
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2007The Effect of Long Memory in Volatility on Stock Market Fluctuations In: CREATES Research Papers.
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2007The Effect of Long Memory in Volatility on Stock Market Fluctuations.(2007) In: The Review of Economics and Statistics.
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2007The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets In: CREATES Research Papers.
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2011The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets.(2011) In: Journal of Econometrics.
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2008The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets.(2008) In: Working Paper.
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2007Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model In: CREATES Research Papers.
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2010Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model.(2010) In: Journal of Empirical Finance.
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2009Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model.(2009) In: Working Paper.
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2007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers.
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2010Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns.(2010) In: Journal of Applied Econometrics.
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2008Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns.(2008) In: Working Paper.
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2007A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching In: CREATES Research Papers.
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2010A vector autoregressive model for electricity prices subject to long memory and regime switching.(2010) In: Energy Economics.
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2009A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching.(2009) In: Working Paper.
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2007Likelihood inference for a nonstationary fractional autoregressive model In: CREATES Research Papers.
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2010Likelihood inference for a nonstationary fractional autoregressive model.(2010) In: Journal of Econometrics.
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2007Likelihood Inference for a Nonstationary Fractional Autoregressive Model.(2007) In: Discussion Papers.
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2009Likelihood Inference For A Nonstationary Fractional Autoregressive Model.(2009) In: Working Paper.
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2008Local polynomial Whittle estimation of perturbed fractional processes In: CREATES Research Papers.
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2012Local polynomial Whittle estimation of perturbed fractional processes.(2012) In: Journal of Econometrics.
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2009Local Polynomial Whittle Estimation Of Perturbed Fractional Processes.(2009) In: Working Paper.
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2008Bias-reduced estimation of long memory stochastic volatility In: CREATES Research Papers.
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2008Bias-Reduced Estimation of Long-Memory Stochastic Volatility.(2008) In: Journal of Financial Econometrics.
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2008A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic In: CREATES Research Papers.
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2009A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC.(2009) In: Econometric Theory.
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2008A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic.(2008) In: Working Paper.
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2009Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders In: CREATES Research Papers.
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2010Nonparametric cointegration analysis of fractional systems with unknown integration orders.(2010) In: Journal of Econometrics.
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2008Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders.(2008) In: Working Paper.
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2009Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis In: CREATES Research Papers.
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2009Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis.(2009) In: Working Paper.
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2012Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis.(2012) In: Econometrica.
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2009Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots In: CREATES Research Papers.
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2011Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots.(2011) In: Journal of Time Series Econometrics.
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2009Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots.(2009) In: Working Paper.
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2010Likelihood inference for a fractionally cointegrated vector autoregressive model In: CREATES Research Papers.
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2012Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model.(2012) In: Econometrica.
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2010Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model.(2010) In: Discussion Papers.
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2010Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model.(2010) In: Working Paper.
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2010Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration In: CREATES Research Papers.
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2011Fully modified narrow‐band least squares estimation of weak fractional cointegration.(2011) In: Econometrics Journal.
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2009Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration.(2009) In: Working Paper.
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2011Fully modified narrow‐band least squares estimation of weak fractional cointegration.(2011) In: Econometrics Journal.
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2010Numerical distribution functions of fractional unit root and cointegration tests In: CREATES Research Papers.
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2010Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests.(2010) In: Working Paper.
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2014NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS.(2014) In: Journal of Applied Econometrics.
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2010A necessary moment condition for the fractional functional central limit theorem In: CREATES Research Papers.
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2012A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM.(2012) In: Econometric Theory.
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2010A Necessary Moment Condition for the Fractional Functional Central Limit Theorem.(2010) In: Discussion Papers.
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2010A Necessary Moment Condition For The Fractional Functional Central Limit Theorem.(2010) In: Working Paper.
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2012The impact of financial crises on the risk-return tradeoff and the leverage effect In: CREATES Research Papers.
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2015The impact of financial crises on the risk–return tradeoff and the leverage effect.(2015) In: Economic Modelling.
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2012The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect.(2012) In: Working Paper.
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2012Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model In: CREATES Research Papers.
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2015Improved likelihood ratio tests for cointegration rank in the VAR model.(2015) In: Journal of Econometrics.
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2012Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model.(2012) In: Working Paper.
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2012Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model.(2012) In: Tinbergen Institute Discussion Papers.
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2012The role of initial values in nonstationary fractional time series models In: CREATES Research Papers.
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2012The role of initial values in nonstationary fractional time series models.(2012) In: Discussion Papers.
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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.
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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.
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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.
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2014A fractionally cointegrated VAR analysis of economic voting and political support In: CREATES Research Papers.
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2014A fractionally cointegrated VAR analysis of economic voting and political support.(2014) In: Canadian Journal of Economics.
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2014A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support.(2014) In: Working Paper.
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2014A fractionally cointegrated VAR analysis of price discovery in commodity futures markets In: CREATES Research Papers.
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2014A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets.(2014) In: Working Paper.
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2015A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets.(2015) In: Journal of Futures Markets.
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2014Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models In: CREATES Research Papers.
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2015Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models.(2015) In: Journal of Time Series Analysis.
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2011Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models.(2011) In: Working Paper.
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2016The cointegrated vector autoregressive model with general deterministic terms In: CREATES Research Papers.
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2018The cointegrated vector autoregressive model with general deterministic terms.(2018) In: Journal of Econometrics.
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2016The cointegrated vector autoregressive model with general deterministic terms.(2016) In: Discussion Papers.
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2016The Cointegrated Vector Autoregressive Model With General Deterministic Terms.(2016) In: Working Paper.
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2016Forecasting daily political opinion polls using the fractionally cointegrated VAR model In: CREATES Research Papers.
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2015Forecasting daily political opinion polls using the fractionally cointegrated VAR model.(2015) In: Working Paper.
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2017Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: CREATES Research Papers.
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2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form.(2017) In: Journal of Econometrics.
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2016Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form.(2016) In: Working Paper.
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2017Testing the CVAR in the fractional CVAR model In: CREATES Research Papers.
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2018Testing the CVAR in the Fractional CVAR Model.(2018) In: Journal of Time Series Analysis.
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2017Testing the CVAR in the fractional CVAR model.(2017) In: Discussion Papers.
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2017Testing The Cvar In The Fractional Cvar Model.(2017) In: Working Paper.
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2018Nonstationary cointegration in the fractionally cointegrated VAR model In: CREATES Research Papers.
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2018Nonstationary cointegration in the fractionally cointegrated VAR model.(2018) In: Discussion Papers.
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2018Nonstationary Cointegration In The Fractionally Cointegrated Var Model.(2018) In: Working Paper.
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2018Fast and Wild: Bootstrap Inference in Stata Using boottest In: CREATES Research Papers.
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2018Fast And Wild: Bootstrap Inference In Stata Using Boottest.(2018) In: Working Paper.
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2019Fast and wild: Bootstrap inference in Stata using boottest.(2019) In: Stata Journal.
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2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model In: CREATES Research Papers.
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2017Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model.(2017) In: Working Paper.
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2018Economic significance of commodity return forecasts from the fractionally cointegrated VAR model.(2018) In: Journal of Futures Markets.
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2019Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors In: CREATES Research Papers.
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2018Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors.(2018) In: Working Paper.
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2006Comment In: Journal of Business & Economic Statistics.
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2007Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation In: Journal of Business & Economic Statistics.
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2008Asset Market Perspectives on the Israeli–Palestinian Conflict In: Economica.
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2006Asset Market Perspectives on the Israeli-Palestinian Conflict.(2006) In: Bank of Israel Working Papers.
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2018Forecasting daily political opinion polls using the fractionally cointegrated vector auto†regressive model In: Journal of the Royal Statistical Society Series A.
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2014A FAST FRACTIONAL DIFFERENCE ALGORITHM In: Journal of Time Series Analysis.
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2013A Fast Fractional Difference Algorithm.(2013) In: Working Paper.
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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.
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2019Nonstationary Cointegration in the Fractionally Cointegrated VAR Model In: Journal of Time Series Analysis.
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2016THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS In: Econometric Theory.
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2012The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models.(2012) In: Working Paper.
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2004SEASONALITY IN ECONOMIC MODELS In: Macroeconomic Dynamics.
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2008A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis In: Working Papers.
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2005Noncontemporaneous cointegration and the importance of timing In: Economics Letters.
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2007Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach In: Journal of Econometrics.
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2006Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach.(2006) In: Working Paper.
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2008Finite sample accuracy and choice of sampling frequency in integrated volatility estimation In: Journal of Empirical Finance.
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2005Finite Sample Accuracy Of Integrated Volatility Estimators.(2005) In: Working Paper.
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2015A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets.(2015) In: Working Paper.
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2008Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration In: Working Paper.
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2005Forecasting Exchange Rate Volatility In The Presence Of Jumps In: Working Paper.
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2006The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps In: Working Paper.
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2005Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration In: Working Paper.
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2005Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration.(2005) In: Econometric Reviews.
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2014Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model In: Working Paper.
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2018A Matlab Program And Users Guide For The Fractionally Cointegrated Var Model In: Working Paper.
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2019Adaptive Inference In Heteroskedastic Fractional Time Series Models In: Working Paper.
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