Morten Ørregaard Nielsen : Citation Profile


Are you Morten Ørregaard Nielsen?

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

21

H index

31

i10 index

1340

Citations

RESEARCH PRODUCTION:

52

Articles

102

Papers

RESEARCH ACTIVITY:

   19 years (2001 - 2020). See details.
   Cites by year: 70
   Journals where Morten Ørregaard Nielsen has often published
   Relations with other researchers
   Recent citing documents: 286.    Total self citations: 91 (6.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pni42
   Updated: 2020-05-16    RAS profile: 2020-05-13    
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Relations with other researchers


Works with:

Johansen, Soren (13)

MacKinnon, James (10)

Taylor, Robert (7)

Cavaliere, Giuseppe (7)

Webb, Matthew (5)

Djogbenou, Antoine (4)

Popiel, Michal (4)

Xu, Ke (3)

Roodman, David (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 (60)

Gil-Alana, Luis (58)

Sibbertsen, Philipp (43)

Rodríguez Caballero, Carlos (36)

Leschinski, Christian (30)

Christensen, Bent Jesper (29)

ALOY, Marcel (29)

Caporin, Massimiliano (26)

Kruse, Robinson (23)

Haldrup, Niels (20)

Cites to:

Bollerslev, Tim (68)

Johansen, Soren (51)

Andersen, Torben (49)

Diebold, Francis (46)

Granger, Clive (38)

MacKinnon, James (36)

Phillips, Peter (35)

Robinson, Peter (33)

Baillie, Richard (27)

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 Econometrics12
Journal of Time Series Analysis6
Journal of Empirical Finance3
Econometric Theory3
Journal of Business & Economic Statistics3
Econometrica2
Econometrics Journal2
Journal of Financial Econometrics2
Journal of Futures Markets2
Economics Letters2

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University48
Discussion Papers / University of Copenhagen. Department of Economics8

Recent works citing Morten Ørregaard Nielsen (2020 and 2019)


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

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2019Volatility 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.

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2019Volatility 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.

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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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2020Dynamic 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.

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

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2018Nonfractional Memory: Filtering, Antipersistence, and Forecasting. (2018). Vera-Valdés, J. Eduardo. 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). Shively, Thomas S ; Smith, Michael Stanley. 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 ; Davezies, Laurent ; Guyonvarch, Yannick. In: Papers. RePEc:arx:papers:1807.07925.

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

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

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

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2019Asymptotic Theory for Clustered Samples. (2019). Lee, Seojeong ; Hansen, Bruce E. In: Papers. RePEc:arx:papers:1902.01497.

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

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2019Forecasting under Long Memory and Nonstationarity. (2019). Hassler, Uwe ; Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:1910.08202.

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2020Effects 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.

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2020A new multilayer network construction via Tensor learning. (2020). di Matteo, T ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2004.05367.

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2019Multivariate 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.

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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). Trokic, Mirza ; Gogebakan, Kemal Caglar ; Eroglu, Burak. 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). El-Shagi, Makram ; Benchimol, Jonathan. 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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2019Towards 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.

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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 ; Langer, Sebastian ; Frei, Xenia. 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). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; You, Kefei. 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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2019CO2 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.

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2017Financial 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.

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

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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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2019Home 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.

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2020Workplace Knowledge Flows. (2020). Stanton, Christopher ; Seegert, Nathan ; Saouma, Richard ; Sandvik, Jason. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14299.

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2020Lift 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.

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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 ; Ergemen, Yunus Emre ; Rodriguez, Carlos Vladimir . 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). Zhou, Chen ; Xiao, Xiao. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2019Decomposing Local Fiscal Multipliers: Evidence from Japan. (2019). Tsuruga, Takayuki ; Namba, Ryoichi ; Kameda, Taisuke. In: ISER Discussion Paper. RePEc:dpr:wpaper:1065.

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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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2019Bayesian 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.

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2019Womens 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.

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2019The 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.

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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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2020A 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.

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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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2020Multiple 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.

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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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2019Modelling 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.

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2020Nonstationarity-extended Whittle estimation with discontinuity: A correction. (2020). Cheung, Ying Lun. In: Economics Letters. RePEc:eee:ecolet:v:187:y:2020:i:c:s0165176519304641.

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

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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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2019Good, 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.

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2019Futures-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.

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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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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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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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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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2008Bias-reduced estimation of long memory stochastic volatility In: CREATES Research Papers.
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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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2012Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis.(2012) In: Econometrica.
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2009Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis.(2009) In: Working Paper.
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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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2010Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model.(2010) In: Working Paper.
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2010Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model.(2010) In: Discussion Papers.
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2012Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model.(2012) In: Econometrica.
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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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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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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 economic voting and political support.(2014) In: Canadian Journal of Economics/Revue canadienne d'économique.
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