Morten Ørregaard Nielsen : Citation Profile

Are you Morten Ørregaard Nielsen?

Aarhus Universitet

28

H index

47

i10 index

2628

Citations

RESEARCH PRODUCTION:

64

Articles

132

Papers

RESEARCH ACTIVITY:

   23 years (2001 - 2024). See details.
   Cites by year: 114
   Journals where Morten Ørregaard Nielsen has often published
   Relations with other researchers
   Recent citing documents: 237.    Total self citations: 113 (4.12 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pni42
   Updated: 2024-07-05    RAS profile: 2024-06-19    
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Relations with other researchers

Works with:

MacKinnon, James (21)

Webb, Matthew (16)

Taylor, Robert (6)

Cavaliere, Giuseppe (4)

Iacone, Fabrizio (4)

Noël, Antoine (3)

Djogbenou, Antoine (2)

Johansen, Soren (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 (129)

Sibbertsen, Philipp (72)

DE TRUCHIS, Gilles (62)

Santucci de Magistris, Paolo (61)

Leschinski, Christian (45)

Christensen, Bent Jesper (41)

Caporale, Guglielmo Maria (39)

YAYA, OLAOLUWA (35)

ALOY, Marcel (29)

Caporin, Massimiliano (28)

Rodrigues, Paulo (27)

Cites to:

MacKinnon, James (118)

Bollerslev, Tim (102)

Andersen, Torben (75)

Johansen, Soren (75)

Diebold, Francis (70)

Webb, Matthew (59)

Phillips, Peter (58)

Robinson, Peter (49)

Baillie, Richard (36)

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
Journal of Time Series Analysis7
Econometric Theory6
Journal of Business & Economic Statistics3
Journal of Empirical Finance3
Journal of Business & Economic Statistics3
Stata Journal2
Econometrica2
Journal of Financial Econometrics2
Journal of Applied Econometrics2
Economics Letters2
Econometrics Journal2
Journal of Futures Markets2

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
2024The impact of financial crises on the risk-return tradeoff and the leverage effect. (2012). Nielsen, Morten ; Christensen, Bent Jesper ; Zhu, Jie. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274615.

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

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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.

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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.

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

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

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2023Multiway empirical likelihood. (2021). Otsu, Taisuke ; Matsushita, Yukitoshi ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2108.04852.

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

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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.

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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.

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

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

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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.

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

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

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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.

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

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

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

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

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

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

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

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2023Variational Inference for GARCH-family Models. (2023). Iosifidis, Alexandros ; Magris, Martin. In: Papers. RePEc:arx:papers:2310.03435.

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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.

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

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

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

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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.

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

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2023.

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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.

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2023.

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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.

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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.

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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.

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2023.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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

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

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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

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2023Fast cluster bootstrap methods for linear regression models. (2023). MacKinnon, James G. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:52-71.

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2024Bootstrapping long memory time series: Application in low frequency estimators. (2024). Arteche, Josu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:1-15.

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2024Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs. (2024). Cho, Dooyeon ; Baillie, Richard T ; Rho, Seunghwa. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:88-112.

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2023Does inflation worsen income inequality? A meta-analysis. (2023). Sintos, Andreas. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:4:s0939362523000857.

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2023Gender-based price discrimination in the annuity market: Evidence from Chile. (2023). Bello, Piera. In: European Economic Review. RePEc:eee:eecrev:v:151:y:2023:i:c:s0014292122002367.

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2023Women’s education, fertility and children’ health during a gender equalization process: Evidence from a child labor reform in Spain. (2023). Jimenez-Martin, Sergi ; Cabrales, Antonio ; Vall-Castello, Judit ; Belles-Obrero, Cristina. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000405.

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2023Tuition fees and educational attainment. (2023). Marcus, Jan ; Leibing, Andreas ; Weinhardt, Felix ; Bietenbeck, Jan. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000600.

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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023Acute illness symptoms among investment professionals and stock market dynamics: Evidence from New York City. (2023). Lepori, Gabriele M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:165-181.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2023A memory in the bond: Green bond and sectoral investment interdependence in a fractionally cointegrated VAR framework. (2023). Mishra, Tapas ; Tian, Shu ; Uddin, Gazi Salah ; Parhi, Mamata ; Park, Donghyun. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001500.

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2023Climate, wind energy, and CO2 emissions from energy production in Denmark. (2023). Santucci de Magistris, Paolo ; Christensen, Bent Jesper ; Gupta, Nabanita Datta ; Carlini, Federico. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003195.

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2023Forecasting commodity prices returns: The role of partial least squares approach. (2023). Dai, Zhifeng ; Zhu, Haoyang ; Wen, Chufu. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003237.

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2023Europes energy crisis: Are geopolitical risks in source countries of fossil fuels accelerating the transition to renewable energy?. (2023). Hille, Erik. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005595.

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2023The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures. (2023). Huynh, Luu Duc Toan ; Li, Yan ; Liang, Hao ; Xu, Yongan. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323005625.

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2024Heavy industry regulations, hospitalization, and medical expenditures: Evidence from micro-level medical records in a northeast Chinese city. (2024). Yan, Qianhui ; Wang, Xuebin ; Zhang, Lvqing. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007466.

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2023The impact of geopolitical risk on the behavior of oil prices and freight rates. (2023). Gil-Alana, Luis ; Romero, Maria Fatima ; Monge, Manuel. In: Energy. RePEc:eee:energy:v:269:y:2023:i:c:s0360544223001731.

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2024Wholesale electricity price forecasting by Quantile Regression and Kalman Filter method. (2024). Movahedi, Akram ; Amiri, Hossein ; Monjazeb, Mohammad Reza. In: Energy. RePEc:eee:energy:v:290:y:2024:i:c:s0360544223033194.

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

Works by Morten Ørregaard Nielsen:

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