Morten Ørregaard Nielsen : Citation Profile

Are you Morten Ørregaard Nielsen?

Aarhus Universitet

29

H index

48

i10 index

2698

Citations

RESEARCH PRODUCTION:

60

Articles

132

Papers

RESEARCH ACTIVITY:

   23 years (2001 - 2024). See details.
   Cites by year: 117
   Journals where Morten Ørregaard Nielsen has often published
   Relations with other researchers
   Recent citing documents: 319.    Total self citations: 113 (4.02 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pni42
   Updated: 2024-12-03    RAS profile: 2024-06-19    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

MacKinnon, James (22)

Webb, Matthew (19)

Taylor, Robert (6)

Cavaliere, Giuseppe (4)

Iacone, Fabrizio (4)

Seong, Dakyung (4)

Johansen, Soren (2)

Djogbenou, Antoine (2)

Noël, Antoine (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:

Gil-Alana, Luis (139)

Sibbertsen, Philipp (71)

Santucci de Magistris, Paolo (61)

DE TRUCHIS, Gilles (55)

Caporale, Guglielmo Maria (45)

Leschinski, Christian (43)

Christensen, Bent Jesper (40)

YAYA, OLAOLUWA (37)

Caporin, Massimiliano (30)

Rodrigues, Paulo (27)

ALOY, Marcel (27)

Cites to:

MacKinnon, James (118)

Bollerslev, Tim (98)

Andersen, Torben (75)

Johansen, Soren (74)

Diebold, Francis (70)

Phillips, Peter (61)

Webb, Matthew (59)

Robinson, Peter (48)

Baillie, Richard (35)

Velasco, Carlos (33)

Cameron, A. (32)

Main data

Where Morten Ørregaard Nielsen has published?

Journals with more than one article published# docs
Journal of Econometrics14
Econometric Theory6
Journal of Time Series Analysis5
Journal of Business & Economic Statistics3
Journal of Business & Economic Statistics3
Journal of Empirical Finance3
Journal of Financial Econometrics2
Journal of Futures Markets2
Economics Letters2
Econometrica2
Stata Journal2

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University57
Papers / arXiv.org10
Discussion Papers / University of Copenhagen. Department of Economics8

Recent works citing Morten Ørregaard Nielsen (2024 and 2023)

YearTitle of citing document
2024Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models. (2011). Nielsen, Morten. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:273758.

Full description at Econpapers || Download paper

2024Testing the CVAR in the fractional CVAR model. (2017). Nielsen, Morten ; Johansen, Soren. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274720.

Full description at Econpapers || Download paper

2024Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274731.

Full description at Econpapers || Download paper

2023Who Gets Jobs Matters: Monetary Policy and the Labour Market in HANK and SAM. (2023). Lozej, Matija ; Herman, Uro. In: AMSE Working Papers. RePEc:aim:wpaimx:2334.

Full description at Econpapers || Download paper

2023Financial Literacy, Experimental Preference Measures and Field Behavior – A Randomized Educational Intervention. (2023). Schneider, Sebastian ; Froitzheim, Manuel ; Untertrifaller, Anna ; Weyland, Michael ; Sutter, Matthias. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:229.

Full description at Econpapers || Download paper

2023Permutation inference with a finite number of heterogeneous clusters. (2019). Hagemann, Andreas. In: Papers. RePEc:arx:papers:1907.01049.

Full description at Econpapers || Download paper

2023Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781.

Full description at Econpapers || Download paper

2024Multiway empirical likelihood. (2021). Otsu, Taisuke ; Matsushita, Yukitoshi ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2108.04852.

Full description at Econpapers || Download paper

2024Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters. (2021). Wang, Wenjie ; Zhang, Yichong. In: Papers. RePEc:arx:papers:2108.13707.

Full description at Econpapers || Download paper

2023Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

Full description at Econpapers || Download paper

2023Standard errors for two-way clustering with serially correlated time effects. (2022). Sasaki, Yuya ; Hansen, Bruce E ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2201.11304.

Full description at Econpapers || Download paper

2024Schooling and Labor Market Consequences of School Construction in Indonesia: Comment. (2022). Roodman, David. In: Papers. RePEc:arx:papers:2207.09036.

Full description at Econpapers || Download paper

2023A Bootstrap Specification Test for Semiparametric Models with Generated Regressors. (2022). Lapenta, Elia. In: Papers. RePEc:arx:papers:2212.11112.

Full description at Econpapers || Download paper

2023Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833.

Full description at Econpapers || Download paper

2024General Conditions for Valid Inference in Multi-Way Clustering. (2023). Yap, Luther. In: Papers. RePEc:arx:papers:2301.03805.

Full description at Econpapers || Download paper

2023Inference on quantile processes with a finite number of clusters. (2023). Hagemann, Andreas. In: Papers. RePEc:arx:papers:2301.04687.

Full description at Econpapers || Download paper

2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

Full description at Econpapers || Download paper

2023Semiparametrically Optimal Cointegration Test. (2023). Zhou, BO. In: Papers. RePEc:arx:papers:2305.08880.

Full description at Econpapers || Download paper

2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192.

Full description at Econpapers || Download paper

2023Robust inference for the treatment effect variance in experiments using machine learning. (2023). Sanchez-Becerra, Alejandro. In: Papers. RePEc:arx:papers:2306.03363.

Full description at Econpapers || Download paper

2024Inference in IV models with clustered dependence, many instruments and weak identification. (2023). Ligtenberg, Johannes W. In: Papers. RePEc:arx:papers:2306.08559.

Full description at Econpapers || Download paper

2023The Yule-Frisch-Waugh-Lovell Theorem for Linear Instrumental Variables Estimation. (2023). Basu, Deepankar. In: Papers. RePEc:arx:papers:2307.12731.

Full description at Econpapers || Download paper

2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

Full description at Econpapers || Download paper

2024Fixed-b Asymptotics for Panel Models with Two-Way Clustering. (2023). Vogelsang, Timothy J ; Chen, Kaicheng. In: Papers. RePEc:arx:papers:2309.08707.

Full description at Econpapers || Download paper

2023(Frisch-Waugh-Lovell): On the Estimation of Regression Models by Row. (2023). Clarke, Damian ; Paris, Nicol'As ; Villena-Rold, Benjam'In. In: Papers. RePEc:arx:papers:2311.15829.

Full description at Econpapers || Download paper

2023Influence Analysis with Panel Data. (2023). Polselli, Annalivia. In: Papers. RePEc:arx:papers:2312.05700.

Full description at Econpapers || Download paper

2024Julia as a universal platform for statistical software development. (2024). Roodman, David. In: Papers. RePEc:arx:papers:2404.09309.

Full description at Econpapers || Download paper

2024The modified conditional sum-of-squares estimator for fractionally integrated models. (2024). Massmann, Michael ; Kilincc, Mustafa R. In: Papers. RePEc:arx:papers:2404.12882.

Full description at Econpapers || Download paper

2023Consumers’ valuation of a biofortified crop: Evidence from a laboratory experiment. (2023). Mottaleb, Khondoker ; Ali, Syed Imran ; Rouf, Md Abdur ; Rahaman, Md Shajedur ; Dsouza, Alwin. In: Agricultural Economics. RePEc:bla:agecon:v:54:y:2023:i:5:p:697-708.

Full description at Econpapers || Download paper

2024Do Democracy Vouchers help democracy?. (2024). Papich, Sarah. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:42:y:2024:i:1:p:4-24.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2023New perspectives on the contribution of sanitary investments to mortality decline in English cities, 1845–1909. (2023). Gray, Felix ; Davenport, Romola J ; Aidt, Toke S. In: Economic History Review. RePEc:bla:ehsrev:v:76:y:2023:i:2:p:624-660.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2023Family policy, intrahousehold bargaining, and child health. (2023). Borga, Liyousew Gebremedhin. In: Review of Development Economics. RePEc:bla:rdevec:v:27:y:2023:i:2:p:663-684.

Full description at Econpapers || Download paper

2023Environmental disasters and mental health: Evidence from oil spills in the Peruvian Amazon. (2023). Chong, Alberto ; Srebot, Carla. In: Review of Development Economics. RePEc:bla:rdevec:v:27:y:2023:i:2:p:771-796.

Full description at Econpapers || Download paper

2024Drivers of COVID-19 in U.S. counties: A wave-level analysis. (2024). Otero, Jesus ; HENRY, MIGUEL ; Garcia-Suaza, Andres ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1067.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Biased Beliefs and Stigma as Barriers to Treatment and Innovation Adoption. (2023). Lasio, Laura ; Grigolon, Laura. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2023_277v2.

Full description at Econpapers || Download paper

2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

Full description at Econpapers || Download paper

2023Financial Literacy, Experimental Preference Measures and Field Behavior – A Randomized Educational Intervention. (2023). Schneider, Sebastian ; Untertrifaller, Anna ; Weyland, Michael ; Sutter, Matthias ; Froitzheim, Manuel. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10400.

Full description at Econpapers || Download paper

2024Oil Market Efficiency, Quantity of Information, and Oil Market Turbulence. (2024). Dogah, Kingsley ; Wadud, Sania ; Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10995.

Full description at Econpapers || Download paper

2024Informational Efficiency of World Oil Markets: One Great Pool, but with Varying Depth. (2024). Dogah, Kingsley ; Wadud, Sania ; Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11017.

Full description at Econpapers || Download paper

2024“My Name Is Bond. Green Bond.” Informational Efficiency of Climate Finance Markets. (2024). Wadud, Sania ; Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11029.

Full description at Econpapers || Download paper

2024Social Assistance and Refugee Crime. (2024). Kurt, Stefanie ; Kurer, Selina ; Hangartner, Dominik ; Ahrens, Achim ; Slotwinski, Michaela ; Auer, Daniel ; Stutzer, Alois. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11051.

Full description at Econpapers || Download paper

2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, E ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202306.

Full description at Econpapers || Download paper

2023Hunting Militias at All Cost: Urban Military Operation and Birth Outcomes. (2023). Cortés, Darwin ; Suarez, Gabriel ; Posso, Christian ; Gomez, Catalina ; Cortes, Darwin. In: Documentos de Trabajo. RePEc:col:000092:020935.

Full description at Econpapers || Download paper

2023Carbon costs and industrial firm performance: Evidence from international microdata. (2023). Hille, Erik ; Trinks, Arjan. In: CPB Discussion Paper. RePEc:cpb:discus:445.

Full description at Econpapers || Download paper

2023Bank Funding, SME lending and Risk Taking. (2023). Elbourne, Adam ; Schmitz, Robert ; Giuliodori, Massimo ; Lammers, Sander. In: CPB Discussion Paper. RePEc:cpb:discus:447.

Full description at Econpapers || Download paper

2023European Insolvency Law and Firm Leverage. (2023). Soederhuizen, Beau ; van Solinge, Fien. In: CPB Discussion Paper. RePEc:cpb:discus:448.

Full description at Econpapers || Download paper

2024A Split-Treatment Design. (2024). Bonnier, Jean-Baptiste. In: Working Papers. RePEc:crb:wpaper:2024-11.

Full description at Econpapers || Download paper

2023Assessing the Asymmetric Effect of Local Realized Exchange Rate Volatility and Implied Volatilities in Energy Market on Exchange Rate Returns in BRICS. (2023). Qabhobho, Thobekile. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-25.

Full description at Econpapers || Download paper

2023The impact of offshore wind energy on Northern European wholesale electricity prices. (2023). Schluter, Jan Chr ; Wacker, Benjamin ; Seebass, Johann V ; Hosius, Emil. In: Applied Energy. RePEc:eee:appene:v:341:y:2023:i:c:s030626192300274x.

Full description at Econpapers || Download paper

2024Price forecasting in the Ontario electricity market via TriConvGRU hybrid model: Univariate vs. multivariate frameworks. (2024). Charlin, Laurent ; Pineau, Pierre-Olivier ; Ehsani, Behdad. In: Applied Energy. RePEc:eee:appene:v:359:y:2024:i:c:s0306261924000321.

Full description at Econpapers || Download paper

2024Burn-in selection in simulating stationary time series. (2024). Yau, Chun Yip ; Chan, Chu Kin ; Li, Yuanbo ; Lam, Henry ; Ng, Wai Leong. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:192:y:2024:i:c:s0167947323001974.

Full description at Econpapers || Download paper

2023The deep roots of rebellion. (2023). Severgnini, Battista ; Narciso, Gaia. In: Journal of Development Economics. RePEc:eee:deveco:v:160:y:2023:i:c:s0304387822000980.

Full description at Econpapers || Download paper

2023Religious leaders and rule of law. (2023). Seror, Avner ; Mehmood, Sultan. In: Journal of Development Economics. RePEc:eee:deveco:v:160:y:2023:i:c:s030438782200116x.

Full description at Econpapers || Download paper

2023The cost of fear: Impact of violence risk on child health during conflict. (2023). Tapsoba, Augustin. In: Journal of Development Economics. RePEc:eee:deveco:v:160:y:2023:i:c:s0304387822001171.

Full description at Econpapers || Download paper

2023Social and financial incentives for overcoming a collective action problem. (2023). Guiteras, Raymond ; Mobarak, Ahmed Mushfiq ; Levinsohn, James ; Bakhtiar, Mehrab M. In: Journal of Development Economics. RePEc:eee:deveco:v:162:y:2023:i:c:s0304387823000275.

Full description at Econpapers || Download paper

2024On the role of automation in an epidemic. (2024). Xu, Shaofeng ; Liu, Fengliang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:160:y:2024:i:c:s0165188924000186.

Full description at Econpapers || Download paper

2023Gender of children and risky health behaviors: Evidence from China. (2023). Li, Wenchao. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s026499932200390x.

Full description at Econpapers || Download paper

2023Post-secondary funding and the educational attainment of indigenous students. (2023). , Maggie. In: Economics of Education Review. RePEc:eee:ecoedu:v:97:y:2023:i:c:s027277572300122x.

Full description at Econpapers || Download paper

2023Is a co-jump in prices a sparse jump?. (2023). Li, Handong ; Song, Shijia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000463.

Full description at Econpapers || Download paper

2024Inflation dynamics and persistence: The importance of the uncertainty channel. (2024). Canepa, Alessandra. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000603.

Full description at Econpapers || Download paper

2023Are SRI funds financing carbon emissions? An input-output life cycle assessment of investment funds. (2023). Benetto, Enrico ; Rubin, Mirco ; Hitaj, Claudia ; Gibon, Thomas ; Popescu, Ioana-Stefania. In: Ecological Economics. RePEc:eee:ecolec:v:212:y:2023:i:c:s0921800923001817.

Full description at Econpapers || Download paper

2024Intergenerational altruism, pessimism bias on tenure insecurity, and sustainable land use: Evidence from household grassland management in China. (2024). Xia, Fang ; Hou, Lingling ; Yang, Fanzheng. In: Ecological Economics. RePEc:eee:ecolec:v:215:y:2024:i:c:s0921800923002665.

Full description at Econpapers || Download paper

2023Natural disasters and preferences for the environment: Evidence from the impressionable years. (2023). Corbi, Raphael ; Falco, Chiara. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004207.

Full description at Econpapers || Download paper

2023Price discovery between Bitcoin spot markets and exchange traded products. (2023). Bowden, James ; Franus, Tatiana ; Gemayel, Roland. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001775.

Full description at Econpapers || Download paper

2023Impact of New York state nurse practitioners modernization act on quality of care. (2023). Petrova, Kameliia ; Choudhury, Agnitra Roy. In: Economics Letters. RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002896.

Full description at Econpapers || Download paper

2023Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499.

Full description at Econpapers || Download paper

2023What’s trending in difference-in-differences? A synthesis of the recent econometrics literature. (2023). Poe, John ; Bilinski, Alyssa ; Roth, Jonathan. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2218-2244.

Full description at Econpapers || Download paper

2023Uniform inference in linear panel data models with two-dimensional heterogeneity. (2023). Su, Liangjun ; Lu, Xun. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:694-719.

Full description at Econpapers || Download paper

2023Using large samples in econometrics. (2023). MacKinnon, James. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:922-926.

Full description at Econpapers || Download paper

2023What is a standard error? (And how should we compute it?). (2023). Wooldridge, Jeffrey M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623002336.

Full description at Econpapers || Download paper

2023Some impossibility results for inference with cluster dependence with large clusters. (2023). Song, Kyungchul ; Kojevnikov, Denis. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623002403.

Full description at Econpapers || Download paper

2024Robust testing for explosive behavior with strongly dependent errors. (2024). Yu, Jun ; Phillips, Peter ; Lui, Yiu Lim. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003421.

Full description at Econpapers || Download paper

2024Estimation and inference by stochastic optimization. (2024). Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003548.

Full description at Econpapers || Download paper

2024Cross-section bootstrap for CCE regressions. (2024). Stauskas, Ovidijus ; de Vos, Ignace. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003640.

Full description at Econpapers || Download paper

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

Works by Morten Ørregaard Nielsen:

YearTitleTypeCited
2001Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data In: Economics Working Papers.
[Full Text][Citation analysis]		paper94
2006Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		article
2001Efficient Likelihold Inference in Nonstationary Univariate Models In: Economics Working Papers.
[Full Text][Citation analysis]		paper10
2004EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS.(2004) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2002Spectral Analysis of Fractionally Cointegrated Systems In: Economics Working Papers.
[Full Text][Citation analysis]		paper7
2004Spectral analysis of fractionally cointegrated systems.(2004) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2002Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence In: Economics Working Papers.
[Full Text][Citation analysis]		paper2
2004Local empirical spectral measure of multivariate processes with long range dependence.(2004) In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2002Semiparametric Estimation in Time Series Regression with Long Range Dependence In: Economics Working Papers.
[Full Text][Citation analysis]		paper3
2002Multivariate Lagrange Multiplier Tests for Fractional Integration In: Economics Working Papers.
[Full Text][Citation analysis]		paper29
2005Multivariate Lagrange Multiplier Tests for Fractional Integration.(2005) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		article
2002Efficient Inference in Multivariate Fractionally Integrated Time Series Models In: Economics Working Papers.
[Full Text][Citation analysis]		paper17
2004Efficient inference in multivariate fractionally integrated time series models.(2004) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2002Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics In: Economics Working Papers.
[Full Text][Citation analysis]		paper19
2004Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics.(2004) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
2002Local Whittle Analysis of Stationary Fractional Cointegration In: Economics Working Papers.
[Full Text][Citation analysis]		paper3
2003Estimation of Fractional Integration in the Presence of Data Noise In: Economics Working Papers.
[Full Text][Citation analysis]		paper42
2007Estimation of fractional integration in the presence of data noise.(2007) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		article
2004A Regime Switching Long Memory Model for Electricity Prices In: Economics Working Papers.
[Full Text][Citation analysis]		paper142
2006A regime switching long memory model for electricity prices.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 142		article
2005Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices In: Economics Working Papers.
[Full Text][Citation analysis]		paper135
2006Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices.(2006) In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 135		article
2007The Effect of Long Memory in Volatility on Stock Market Fluctuations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper54
2007The Effect of Long Memory in Volatility on Stock Market Fluctuations.(2007) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 54		article
2007The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper189
2011The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 189		article
2008The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets.(2008) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 189		paper
2007Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper49
2010Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model.(2010) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		article
2009Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		paper
2007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper122
2010Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns.(2010) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 122		article
2008Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns.(2008) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 122		paper
2007A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching In: CREATES Research Papers.
[Full Text][Citation analysis]		paper55
2010A vector autoregressive model for electricity prices subject to long memory and regime switching.(2010) In: Energy Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		article
2009A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		paper
2007Likelihood inference for a nonstationary fractional autoregressive model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper86
2010Likelihood inference for a nonstationary fractional autoregressive model.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 86		article
2007Likelihood Inference for a Nonstationary Fractional Autoregressive Model.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 86		paper
2009Likelihood Inference For A Nonstationary Fractional Autoregressive Model.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 86		paper
2008Local polynomial Whittle estimation of perturbed fractional processes In: CREATES Research Papers.
[Full Text][Citation analysis]		paper39
2012Local polynomial Whittle estimation of perturbed fractional processes.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		article
2009Local Polynomial Whittle Estimation Of Perturbed Fractional Processes.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2008Bias-reduced estimation of long memory stochastic volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2008Bias-Reduced Estimation of Long-Memory Stochastic Volatility.(2008) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2008A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic In: CREATES Research Papers.
[Full Text][Citation analysis]		paper15
2009A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC.(2009) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2008A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic.(2008) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2009Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders In: CREATES Research Papers.
[Full Text][Citation analysis]		paper29
2010Nonparametric cointegration analysis of fractional systems with unknown integration orders.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		article
2008Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders.(2008) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		paper
2009Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis In: CREATES Research Papers.
[Full Text][Citation analysis]		paper17
2012Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis.(2012) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2009Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2009Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2011Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots.(2011) In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2009Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2010Likelihood inference for a fractionally cointegrated vector autoregressive model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper185
2012Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model.(2012) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 185		article
2010Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 185		paper
2010Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model.(2010) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 185		paper
2010Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration In: CREATES Research Papers.
[Full Text][Citation analysis]		paper29
2009Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		paper
2011Fully modified narrow‐band least squares estimation of weak fractional cointegration.(2011) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		article
2010Numerical distribution functions of fractional unit root and cointegration tests In: CREATES Research Papers.
[Full Text][Citation analysis]		paper29
2010Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests.(2010) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		paper
2014NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS.(2014) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		article
2010A necessary moment condition for the fractional functional central limit theorem In: CREATES Research Papers.
[Full Text][Citation analysis]		paper5
2012A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM.(2012) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2010A Necessary Moment Condition for the Fractional Functional Central Limit Theorem.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2010A Necessary Moment Condition For The Fractional Functional Central Limit Theorem.(2010) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2012The impact of financial crises on the risk-return tradeoff and the leverage effect In: CREATES Research Papers.
[Full Text][Citation analysis]		paper14
2015The impact of financial crises on the risk–return tradeoff and the leverage effect.(2015) In: Economic Modelling.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2012The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect.(2012) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2012Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper13
2015Improved likelihood ratio tests for cointegration rank in the VAR model.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2012Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model.(2012) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2012Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model.(2012) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2012The role of initial values in nonstationary fractional time series models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper8
2012The role of initial values in nonstationary fractional time series models.(2012) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2014Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper11
2015Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2013Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets.(2013) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2014A fractionally cointegrated VAR analysis of economic voting and political support In: CREATES Research Papers.
[Full Text][Citation analysis]		paper36
2014A fractionally cointegrated VAR analysis of economic voting and political support.(2014) In: Canadian Journal of Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		article
2014A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support.(2014) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2014A fractionally cointegrated VAR analysis of economic voting and political support.(2014) In: Canadian Journal of Economics/Revue canadienne d'économique.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		article
2014A fractionally cointegrated VAR analysis of price discovery in commodity futures markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper51
2014A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets.(2014) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2015A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets.(2015) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		article
2014Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper17
2015Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models.(2015) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2011Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models.(2011) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2016The cointegrated vector autoregressive model with general deterministic terms In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2018The cointegrated vector autoregressive model with general deterministic terms.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2016The cointegrated vector autoregressive model with general deterministic terms.(2016) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2016The Cointegrated Vector Autoregressive Model With General Deterministic Terms.(2016) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2016Forecasting daily political opinion polls using the fractionally cointegrated VAR model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper10
2015Forecasting daily political opinion polls using the fractionally cointegrated VAR model.(2015) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2017Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: CREATES Research Papers.
[Full Text][Citation analysis]		paper11
2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2016Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form.(2016) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2017Testing the CVAR in the fractional CVAR model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper11
2018Testing the CVAR in the Fractional CVAR Model.(2018) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2017Testing the CVAR in the fractional CVAR model.(2017) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2017Testing The Cvar In The Fractional Cvar Model.(2017) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2018Nonstationary cointegration in the fractionally cointegrated VAR model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper15
2019Nonstationary Cointegration in the Fractionally Cointegrated VAR Model.(2019) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2018Nonstationary cointegration in the fractionally cointegrated VAR model.(2018) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2018Nonstationary Cointegration In The Fractionally Cointegrated Var Model.(2018) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2018Fast and Wild: Bootstrap Inference in Stata Using boottest In: CREATES Research Papers.
[Full Text][Citation analysis]		paper458
2018Fast And Wild: Bootstrap Inference In Stata Using Boottest.(2018) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 458		paper
2019Fast and wild: Bootstrap inference in Stata using boottest.(2019) In: Stata Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 458		article
2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper34
2017Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model.(2017) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2018Economic significance of commodity return forecasts from the fractionally cointegrated VAR model.(2018) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		article
2019Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors In: CREATES Research Papers.
[Full Text][Citation analysis]		paper58
2019Asymptotic theory and wild bootstrap inference with clustered errors.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 58		article
2018Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors.(2018) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 58		paper
2020Wild Bootstrap and Asymptotic Inference with Multiway Clustering In: CREATES Research Papers.
[Full Text][Citation analysis]		paper41
2019Wild Bootstrap and Asymptotic Inference with Multiway Clustering.(2019) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		paper
2021Wild Bootstrap and Asymptotic Inference With Multiway Clustering.(2021) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		article
2020Truncated sum of squares estimation of fractional time series models with deterministic trends In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2020TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS.(2020) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2019Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends.(2019) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2020Adaptive Inference in Heteroskedastic Fractional Time Series Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper5
2019Adaptive Inference In Heteroskedastic Fractional Time Series Models.(2019) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2022Adaptive Inference in Heteroscedastic Fractional Time Series Models.(2022) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2020To infinity and beyond: Efficient computation of ARCH(1) models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2021Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2021Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks.(2021) In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2020Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks.(2020) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2022Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks.(2022) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2022Fractional integration and cointegration In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2022Fractional integration and cointegration.(2022) In: Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2022Inference on the dimension of the nonstationary subspace in functional time series In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2023INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES.(2023) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2020Inference on the dimension of the nonstationary subspace in functional time series.(2020) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2022Truncated sum-of-squares estimation of fractional time series models with generalized power law trend In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2022Truncated sum-of-squares estimation of fractional time series models with generalized power law trend.(2022) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2022Cluster-Robust Inference: A Guide to Empirical Practice In: CREATES Research Papers.
[Full Text][Citation analysis]		paper65
2022Cluster-Robust Inference: A Guide to Empirical Practice.(2022) In: Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
2023Cluster-robust inference: A guide to empirical practice.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		article
2022Cluster-Robust Inference: A Guide to Empirical Practice.(2022) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
2023Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust In: Papers.
[Full Text][Citation analysis]		paper6
2022Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust.(2022) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2023Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust.(2023) In: Stata Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2023Bootstrap inference in the presence of bias In: Papers.
[Full Text][Citation analysis]		paper2
2022Weak convergence to derivatives of fractional Brownian motion In: Papers.
[Full Text][Citation analysis]		paper0
2023Testing for the appropriate level of clustering in linear regression models In: Papers.
[Full Text][Citation analysis]		paper3
2023Testing for the appropriate level of clustering in linear regression models.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2022Testing for the appropriate level of clustering in linear regression models.(2022) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2023Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference In: Papers.
[Full Text][Citation analysis]		paper5
2022Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference.(2022) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2024Inference on common trends in functional time series In: Papers.
[Full Text][Citation analysis]		paper0
2024Cluster-robust jackknife and bootstrap inference for binary response models In: Papers.
[Full Text][Citation analysis]		paper0
2024Cluster-Robust Jackknife and Bootstrap Inference for Binary Response Models.(2024) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2024Jackknife inference with two-way clustering In: Papers.
[Full Text][Citation analysis]		paper0
2024Jackknife Inference with Two-Way Clustering.(2024) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2007Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article42
2008Asset Market Perspectives on the Israeli–Palestinian Conflict In: Economica.
[Full Text][Citation analysis]		article55
2006Asset Market Perspectives on the Israeli-Palestinian Conflict.(2006) In: Bank of Israel Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		paper
2018Forecasting daily political opinion polls using the fractionally cointegrated vector auto‐regressive model In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article14
2014A FAST FRACTIONAL DIFFERENCE ALGORITHM In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article27
2013A fast fractional difference algorithm.(2013) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2013A Fast Fractional Difference Algorithm.(2013) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2019Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors Introduction In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2016THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article28
2012The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models.(2012) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2008A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis In: Working Papers.
[Full Text][Citation analysis]		paper2
2008A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis.(2008) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2005Noncontemporaneous cointegration and the importance of timing In: Economics Letters.
[Full Text][Citation analysis]		article3
2007Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article58
2006Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach.(2006) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 58		paper
2008Finite sample accuracy and choice of sampling frequency in integrated volatility estimation In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article25
2005Finite Sample Accuracy Of Integrated Volatility Estimators.(2005) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25		paper
2016A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article32
2015A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets.(2015) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2008Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration In: Working Paper.
[Full Text][Citation analysis]		paper3
2005The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices In: Working Paper.
[Full Text][Citation analysis]		paper2
2005Forecasting Exchange Rate Volatility In The Presence Of Jumps In: Working Paper.
[Full Text][Citation analysis]		paper5
2006The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps In: Working Paper.
[Full Text][Citation analysis]		paper1
2005Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration In: Working Paper.
[Full Text][Citation analysis]		paper36
2005Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration.(2005) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		article
2014Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model In: Working Paper.
[Full Text][Citation analysis]		paper10
2018A Matlab Program And Users Guide For The Fractionally Cointegrated Var Model In: Working Paper.
[Full Text][Citation analysis]		paper40
2017Validity Of Wild Bootstrap Inference With Clustered Errors In: Working Paper.
[Full Text][Citation analysis]		paper4
2017Bootstrap And Asymptotic Inference With Multiway Clustering In: Working Paper.
[Full Text][Citation analysis]		paper10
2020To infinity and beyond: Efficient computation of ARCH(\infty) models In: Working Paper.
[Full Text][Citation analysis]		paper0
2022Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order In: Working Paper.
[Full Text][Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team