Morten Ørregaard Nielsen : Citation Profile

Aarhus Universitet

29

H index

49

i10 index

2847

Citations

RESEARCH PRODUCTION:

65

Articles

133

Papers

RESEARCH ACTIVITY:

   24 years (2001 - 2025). See details.
   Cites by year: 118
   Journals where Morten Ørregaard Nielsen has often published
   Relations with other researchers
   Recent citing documents: 223.    Total self citations: 113 (3.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pni42
   Updated: 2025-04-12    RAS profile: 2025-02-28    
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Relations with other researchers

Works with:

MacKinnon, James (19)

Webb, Matthew (18)

Taylor, Robert (5)

Cavaliere, Giuseppe (4)

Iacone, Fabrizio (4)

Seong, Dakyung (4)

Noël, Antoine (3)

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 (153)

DE TRUCHIS, Gilles (78)

Sibbertsen, Philipp (76)

Santucci de Magistris, Paolo (62)

Caporale, Guglielmo Maria (52)

Leschinski, Christian (45)

Christensen, Bent Jesper (41)

YAYA, OLAOLUWA (37)

Caporin, Massimiliano (31)

ALOY, Marcel (29)

Rodrigues, Paulo (28)

Cites to:

MacKinnon, James (118)

Bollerslev, Tim (102)

Johansen, Soren (75)

Andersen, Torben (75)

Diebold, Francis (70)

Phillips, Peter (61)

Webb, Matthew (59)

Robinson, Peter (49)

Baillie, Richard (36)

Velasco, Carlos (33)

Cameron, A. (32)

Main data

Production by document typearticlepaper200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024202501020Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300400Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year20012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250250500750Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 29Most cited documents123456789101112131415161718192021222324252627282930310250500750Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201308201309201310201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501202502202503202504010203040h-index Highcharts.comExport to raster or vector imagePrint the chart

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 Empirical Finance3
Journal of Business & Economic Statistics3
Journal of Business & Economic Statistics3
Journal of Financial Econometrics2
Stata Journal2
Econometrics Journal2
Econometrica2
Journal of Futures Markets2
Economics Letters2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University57
Papers / arXiv.org11
Discussion Papers / University of Copenhagen. Department of Economics8

Recent works citing Morten Ørregaard Nielsen (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Multiway 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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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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2025Non-Robustness of the Cluster-Robust Inference: with a Proposal of a New Robust Method. (2022). Wang, Yulong ; Sasaki, Yuya. In: Papers. RePEc:arx:papers:2210.16991.

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

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2025The 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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2024Clustering with Potential Multidimensionality: Inference and Practice. (2024). Yap, Luther ; Xu, Ruonan. In: Papers. RePEc:arx:papers:2411.13372.

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2024Canonical correlation analysis of stochastic trends via functional approximation. (2024). Paruolo, Paolo ; Franchi, Massimo ; Georgiev, Iliyan. In: Papers. RePEc:arx:papers:2411.19572.

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2024A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions. (2024). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Papers. RePEc:arx:papers:2412.01603.

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2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

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2025Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone. In: Papers. RePEc:arx:papers:2501.17490.

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2025Combining Clusters for the Approximate Randomization Test. (2025). Lau, Chun Pong. In: Papers. RePEc:arx:papers:2502.03865.

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2025Inference in dynamic models for panel data using the moving block bootstrap. (2025). Jochmans, Koen ; Higgins, Ayden. In: Papers. RePEc:arx:papers:2502.08311.

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2025On the Realized Joint Laplace Transform of Volatilities with Application to Test the Volatility Dependence. (2025). Jiang, YU ; Feng, Xinwei ; Liu, Zhi ; Meng, Zhe. In: Papers. RePEc:arx:papers:2503.02283.

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2024Sanctions and Russian online prices. (2024). Benchimol, Jonathan ; Palumbo, Luigi. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1468_24.

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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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2024.

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2025Deterrent effects of targeted sanctions by mainland China on Taiwan: evidence from 2021–2 sanction events. (2025). Ma, Sen ; Li, Runliang ; Han, Fengze ; Cheng, Tzuchang Forrest. In: Economica. RePEc:bla:econom:v:92:y:2025:i:365:p:259-284.

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2024Abandoning disaster relief and stimulating insurance demand through premium subsidies. (2024). Schiller, Jrg ; Philippi, Tim. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:91:y:2024:i:2:p:339-382.

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2024Functional principal component analysis for cointegrated functional time series. (2024). Seo, Wonki. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:320-330.

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2024.

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2024.

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2024Public Healthcare Financing during Counterinsurgency Efforts: Evidence from Colombia. (2024). Lordemus, Samuel ; Morenoserra, Rodrigo ; Kreif, Noemi. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:5:p:1230-1259.

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2024How antidumping measures affect US imports from China: A mesoeconomic perspective of the excess price changes. (2024). Ng, Yewkwang ; Wang, Shuying. In: Pacific Economic Review. RePEc:bla:pacecr:v:29:y:2024:i:1:p:127-156.

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2024By the people, for the people: Local governments representation of voter preferences under the Affordable Care Act. (2024). Ross, Justin ; Perez, Victoria ; Simon, Kosali. In: Public Budgeting & Finance. RePEc:bla:pbudge:v:44:y:2024:i:2:p:90-161.

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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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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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2024Female-Specific Labor Regulation and Employment: Historical Evidence from the United States. (2024). Haddad, Joanne ; Kattan, Lamis. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11546.

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2025Testing for Persistence in Real House Prices in 47 Countries from the OECD Database. (2025). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Dominguez, Alfonso. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11662.

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2024Favor Exchange with Private Costs: An Experiment. (2024). Xie, Huan ; Degan, Arianna ; Li, Yushen. In: CIRANO Working Papers. RePEc:cir:cirwor:2024s-08.

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

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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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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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2025A long short-term memory enhanced realized conditional heteroskedasticity model. (2025). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Economic Modelling. RePEc:eee:ecmode:v:142:y:2025:i:c:s0264999324002797.

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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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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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2024Synergistic effects of nudges and boosts in environmental education: Evidence from a field experiment. (2024). Managi, Shunsuke ; Iseki, Masato ; Nakamuro, Makiko ; Kurita, Kenichi ; Igei, Kengo ; Kurokawa, Hirofumi ; Sakano, Akira ; Kitsuki, Akinori. In: Ecological Economics. RePEc:eee:ecolec:v:224:y:2024:i:c:s0921800924001769.

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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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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.

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2024Robust inference on correlation under general heterogeneity. (2024). , Peter ; Li, Yufei ; Giraitis, Liudas. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s030440762400037x.

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2024Wild bootstrap inference for instrumental variables regressions with weak and few clusters. (2024). Zhang, Yichong ; Wang, Wenjie. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000733.

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2024Semiparametrically optimal cointegration test. (2024). Zhou, BO. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s0304407624001611.

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2024Fixed-b asymptotics for panel models with two-way clustering. (2024). Vogelsang, Timothy J ; Chen, Kaicheng. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001763.

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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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2024Severe prenatal shocks and adolescent health: Evidence from the Dutch Hunger Winter. (2024). Ekamper, Peter ; Poupakis, Stavros ; Conti, Gabriella ; Lumey, L H ; Bijwaard, Govert E. In: Economics & Human Biology. RePEc:eee:ehbiol:v:53:y:2024:i:c:s1570677x24000248.

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2024Trust predicts compliance with COVID-19 containment policies: Evidence from ten countries using big data. (2024). Sarracino, Francesco ; O'Connor, Kelsey ; Greyling, Talita ; Rossouw, Stephanie ; Peroni, Chiara. In: Economics & Human Biology. RePEc:eee:ehbiol:v:54:y:2024:i:c:s1570677x24000649.

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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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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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2024Volatility dynamics of agricultural futures markets under uncertainties. (2024). Uddin, Gazi ; Zhu, Xuening ; Sheng, Lin Wen ; Park, Donghyun ; Dutta, Anupam. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004626.

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2024Return and volatility spillovers between the raw material and electric vehicles markets. (2024). Zilberman, David ; Petit, Mathieu ; Janda, Karel ; Alekseev, Oleg. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324005164.

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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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2024Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships?. (2024). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Dettoni, Robinson. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002515.

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2024Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2024). Li, Chenxing ; Zhang, Zehua ; Zhao, Ran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008547.

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2024Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations. (2024). Li, Xiao-Ming ; Thanh, Thao Thac ; Pham, Son Duy. In: Global Finance Journal. RePEc:eee:glofin:v:59:y:2024:i:c:s1044028323001187.

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2024Benefit volatility-targeting strategies in lifetime pension pools. (2024). Begin, Jean-Franois ; Sanders, Barbara. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:72-94.

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2024Chinese economic behavior in times of covid-19. A new leading economic indicator based on Google trends. (2024). Poza, Carlos ; Claudio-Quiroga, Gloria ; Monge, Manuel. In: International Economics. RePEc:eee:inteco:v:177:y:2024:i:c:s2110701723000744.

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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2024Conflicting versus reinforcing private information, information aggregation, and the time series properties of asset prices. (2024). Steeley, James ; Chelley-Steeley, Patricia ; Schnitzlein, Charles. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:169:y:2024:i:c:s0378426624002140.

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2024Property rights, labor reallocation, and gender inequality in rural China. (2024). Jin, Songqing ; Huangfu, Bingyu ; Shi, Xinjie ; Gao, Xuwen. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:220:y:2024:i:c:p:325-342.

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2024Sanctions and Russian online prices. (2024). Palumbo, Luigi ; Benchimol, Jonathan. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:225:y:2024:i:c:p:483-521.

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2024Adoption of abatement technology in an uncertain world: An experiment. (2024). Ma, Teng. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:225:y:2024:i:c:p:51-87.

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2024On your own side of the fence. (2024). Gagnon, Nickolas. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:226:y:2024:i:c:s0167268124002749.

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2024Finance and intergenerational mobility: Evidence from US banking reforms. (2024). Kampanelis, Sotiris ; Chronopoulos, Dimitris. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:226:y:2024:i:c:s0167268124002798.

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2024Motivating collusion. (2024). Aldokas, Alminas ; Ma, Fangyuan ; Ha, Sangeun. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x24000217.

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2024Multidimensional financial development and natural resources: A path for sustainable development via natural resources and digitalization. (2024). Jiang, Tao ; Chen, Lei ; Li, Shi ; Shen, Congcong ; Wang, Yingjie. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s030142072301111x.

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2024The effects of residential landlord–tenant laws: New evidence from Canadian reforms using census data. (2024). Gold, Daniel E ; Clarke, Dylan R. In: Journal of Urban Economics. RePEc:eee:juecon:v:140:y:2024:i:c:s0094119024000019.

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2024Seasonality in U.S. disability applications, labor market, and the pandemic echoes. (2024). Yin, Yimeng ; Lahiri, Kajal. In: Labour Economics. RePEc:eee:labeco:v:87:y:2024:i:c:s092753712400006x.

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2024An intensive, school-based learning camp targeting academic and non-cognitive skills evaluated in a randomized trial. (2024). Rosholm, Michael ; Nafziger, Julia ; Koch, Alexander K ; Hvidman, Charlotte ; Nielsen, Soren Albeck. In: Labour Economics. RePEc:eee:labeco:v:88:y:2024:i:c:s0927537124000307.

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2024Grading student behavior. (2024). Mergele, Lukas ; Zierow, Larissa ; Schoner, Florian. In: Labour Economics. RePEc:eee:labeco:v:90:y:2024:i:c:s0927537124000654.

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

Works by Morten Ørregaard Nielsen:

Year  ↓Title  ↓Type  ↓Cited  ↓
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.
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This paper has nother version. Agregated cites: 7		article
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2014A FAST FRACTIONAL DIFFERENCE ALGORITHM In: Journal of Time Series Analysis.
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2013A fast fractional difference algorithm.(2013) In: 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.
[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.
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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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2022Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order In: Working Paper.
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