Morten Ørregaard Nielsen : Citation Profile

Aarhus Universitet

29

H index

50

i10 index

3200

Citations

RESEARCH PRODUCTION:

65

Articles

135

Papers

RESEARCH ACTIVITY:

   25 years (2001 - 2026). See details.
   Cites by year: 128
   Journals where Morten Ørregaard Nielsen has often published
   Relations with other researchers
   Recent citing documents: 424.    Total self citations: 116 (3.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pni42
   Updated: 2026-06-06    RAS profile: 2026-06-01    
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Relations with other researchers

Works with:

MacKinnon, James (21)

Webb, Matthew (20)

Cavaliere, Giuseppe (5)

Taylor, Robert (5)

Seong, Dakyung (4)

Iacone, Fabrizio (4)

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 (167)

DE TRUCHIS, Gilles (78)

Sibbertsen, Philipp (76)

Santucci de Magistris, Paolo (71)

Santucci de Magistris, Paolo (62)

Caporale, Guglielmo Maria (61)

Leschinski, Christian (45)

Christensen, Bent Jesper (40)

YAYA, OLAOLUWA (38)

Caporin, Massimiliano (31)

ALOY, Marcel (29)

Cites to:

MacKinnon, James (142)

Bollerslev, Tim (102)

Johansen, Soren (75)

Andersen, Torben (75)

Webb, Matthew (71)

Diebold, Francis (70)

Phillips, Peter (62)

Robinson, Peter (49)

Baillie, Richard (36)

Cameron, A. (35)

Miller, Douglas (35)

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

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University57
Papers / arXiv.org13
Discussion Papers / University of Copenhagen. Department of Economics8

Recent works citing Morten Ørregaard Nielsen (2026 and 2025)

YearTitle of citing document
2025Electric Vehicles and the Energy Transition: Unintended Consequences of Time-of-Use Pricing. (2025). Shaffer, Blake ; Brown, David ; Bailey, Megan R ; Wolak, Frank A ; Myers, Erica. In: American Economic Review: Insights. RePEc:aea:aerins:v:7:y:2025:i:4:p:550-66.

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2026Induced Innovation in Critical Mineral Saving Technologies. (2026). Vona, Francesco ; Bastianin, Andrea ; Castelnovo, Paolo ; Frattini, Federico Fabio. In: FEEM Working Papers. RePEc:ags:feemwp:391378.

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2025Culture and gender differences in honesty. (2025). Schulz, Jonathan ; Graf, Caroline ; Pondorfer, Andreas. In: Munich Papers in Political Economy. RePEc:aiw:wpaper:45.

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2025Affirmative Actions, Economic Insecurity, and Ethnic Conflicts: Evidence from South Africa Post-Apartheid. (2025). Ubaldi, Michele ; Ticchi, Davide ; Belmonte, Alessandro. In: Working Papers. RePEc:anc:wpaper:496.

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2025“China’s Import Competition, Innovation Strategies, and the Role of Unions”. (2025). Naticchioni, Paolo ; Matano, Alessia. In: AQR Working Papers. RePEc:aqr:wpaper:202501.

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2024Multiway empirical likelihood. (2024). Matsushita, Yukitoshi ; Otsu, Taisuke ; 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. (2024). Wang, Wenjie ; Zhang, Yichong. In: Papers. RePEc:arx:papers:2108.13707.

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2025Schooling and Labor Market Consequences of School Construction in Indonesia: Comment. (2025). 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. (2025). Wang, Yulong ; Sasaki, Yuya. In: Papers. RePEc:arx:papers:2210.16991.

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2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

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2024Asymptotic Theory for Two-Way Clustering. (2024). Yap, Luther. In: Papers. RePEc:arx:papers:2301.03805.

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2025Inference in IV models with clustered dependence, many instruments and weak identification. (2024). Ligtenberg, Johannes W. In: Papers. RePEc:arx:papers:2306.08559.

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

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2025Sacred Ecology: The Environmental Impact of African Traditional Religions. (2023). Deopa, Neha ; Rinaldo, Daniele. In: Papers. RePEc:arx:papers:2401.13673.

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2025Julia as a universal platform for statistical software development. (2024). Roodman, David. In: Papers. RePEc:arx:papers:2404.09309.

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2026The modified conditional sum-of-squares estimator for fractionally integrated models. (2025). Kilincc, Mustafa R ; Massmann, Michael. In: Papers. RePEc:arx:papers:2404.12882.

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2024Multidimensional clustering in judge designs. (2024). Woutersen, Tiemen ; Ligtenberg, Johannes W. In: Papers. RePEc:arx:papers:2406.09473.

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2024Gradient Wild Bootstrap for Instrumental Variable Quantile Regressions with Weak and Few Clusters. (2024). Wang, Wenjie ; Zhang, Yichong. In: Papers. RePEc:arx:papers:2408.10686.

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2024Estimation and Inference for Causal Functions with Multiway Clustered Data. (2024). Sasaki, Yuya ; Liu, Yanbo. In: Papers. RePEc:arx:papers:2409.06654.

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2024Testing for a Forecast Accuracy Breakdown under Long Memory. (2024). Sibbertsen, Philipp ; Kreye, Jannik. In: Papers. RePEc:arx:papers:2409.07087.

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2024Modeling News Interactions and Influence for Financial Market Prediction. (2024). Ma, Tiejun ; Cohen, Shay B ; Wang, Mengyu. In: Papers. RePEc:arx:papers:2410.10614.

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2026Testing the order of fractional integration in the presence of smooth trends, with an application to UK Great Ratios. (2024). Ambros, Maximilian ; Massmann, Michael ; Kilincc, Mustafa R. In: Papers. RePEc:arx:papers:2410.10749.

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2025Moments by Integrating the Moment-Generating Function. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2410.23587.

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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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2025Canonical 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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2025A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions. (2024). Wang, Wenjie ; Zhang, Yichong ; 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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2025Inference in High-Dimensional Panel Models: Two-Way Dependence and Unobserved Heterogeneity. (2025). Chen, Kaicheng. In: Papers. RePEc:arx:papers:2504.18772.

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2025A new equilibrium: COVID-19 lockdowns and WFH persistence. (2025). Yu, Lizi ; Morris, Todd ; Ketter, Laura. In: Papers. RePEc:arx:papers:2506.16671.

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2025An Empirical Comparison of Weak-IV-Robust Procedures in Just-Identified Models. (2025). Li, Wenze. In: Papers. RePEc:arx:papers:2506.18001.

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2026Analytic inference with two-way clustering. (2025). Davezies, Laurent ; D'Haultfoeuille, Xavier ; Guyonvarch, Yannick. In: Papers. RePEc:arx:papers:2506.20749.

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2025Wild Bootstrap Inference for Linear Regressions with Many Covariates. (2025). Li, Wenze. In: Papers. RePEc:arx:papers:2506.20972.

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2026An Improved Inference for IV Regressions. (2025). Dou, Liyu ; Zhang, Yichong ; Min, Pengjin ; Wang, Wenjie. In: Papers. RePEc:arx:papers:2506.23816.

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2026Estimation in linear models with clustered data. (2025). Jing, Baiyun ; Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2508.12860.

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2025Functional Regression with Nonstationarity and Error Contamination: Application to the Economic Impact of Climate Change. (2025). Seo, Won-Ki ; Nam, Kyungsik. In: Papers. RePEc:arx:papers:2509.08591.

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2025Semiparametric Estimation of Fractional Integration: An Evaluation of Local Whittle Methods. (2025). Blevins, Jason R. In: Papers. RePEc:arx:papers:2511.15689.

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2025Nonparametric methods for comparing distribution functionals for dependent samples with application to inequality measures. (2025). He, Tianyu ; Dufour, Jean-Marie. In: Papers. RePEc:arx:papers:2512.21862.

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2026A machine learning approach to volatility forecasting. (2026). Veliyev, Bezirgen ; Siggaard, Mathias ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13014.

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2026Cross-Fitting-Free Debiased Machine Learning with Multiway Dependence. (2026). Chiang, Harold D ; Chen, Kaicheng. In: Papers. RePEc:arx:papers:2602.11333.

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2026Two-way Clustering Robust Variance Estimator in Quantile Regression Models. (2026). Lin, Jiahao ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:2602.16376.

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2026Targeted Local Projections. (2026). Boldea, Otilia ; Nemtyrev, Aleksei. In: Papers. RePEc:arx:papers:2603.00248.

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2026Inference in Regression Discontinuity Designs with Clustered Data. (2026). Rothe, Christoph ; Olma, Tomasz ; Noack, Claudia. In: Papers. RePEc:arx:papers:2603.18870.

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2026Refined Cluster Robust Inference. (2026). Ura, Takuya ; Gafarov, Bulat. In: Papers. RePEc:arx:papers:2603.24786.

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2026When Can We Trust Cluster-Robust Inference?. (2026). MacKinnon, James. In: Papers. RePEc:arx:papers:2604.02000.

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2026Bootstrap Inference in Nonlinear Panel Data Models with Interactive Fixed Effects. (2026). Beyhum, Jad ; Dhaene, Geert ; Miao, Wei ; Xu, Haoyuan. In: Papers. RePEc:arx:papers:2604.26826.

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2026Subsampling Under Two-way Clustering with Serial Correlation. (2026). Miao, Haonan. In: Papers. RePEc:arx:papers:2604.27215.

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2026Bootstrap Inference under General Two-way Clustering with Serially and Spatially Dependent Common Effects. (2026). Lin, Jiahao ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:2605.00709.

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2026Estimation and Inference for the $\tau$-Quantile of Individual Heterogeneous Coefficient. (2026). Galvao, Antonio ; Lin, Jiahao ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:2605.01923.

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2024Persistence of Green Asset Returns, Fossil Fuel Returns, and Climate Policy Uncertainty. (2024). Okunoye, Ismaila ; Akpa, Emeka ; Badmus, Sheriff ; Jimmy, Maxwell. In: Energy RESEARCH LETTERS. RePEc:ayb:jrnerl:94.

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2024Univariate Measures of Persistence: A Comparative Analysis. (2024). Orraca, Maria Jose ; Martinez-Ramirez, Francisco J ; Arango-Castillo, Lenin. In: Working Papers. RePEc:bdm:wpaper:2024-11.

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2025Social Pensions and Intimate Partner Violence against Older Women. (2025). Ya, Hen ; Obrero, Cristina Bells ; la Mattina, Giulia. In: Working Papers. RePEc:bge:wpaper:1491.

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2024.

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2025Will the “True” Productivity Series Please Stand Up? Identifying Inconsistencies Across Productivity Series. (2025). Plastina, Alejandro ; Lence, Sergio. In: Agricultural Economics. RePEc:bla:agecon:v:56:y:2025:i:6:p:1192-1206.

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2026Integrating Soil Natural Capital Into Production Frontiers of Ecosystem Services in Agriculture. (2026). Garcia, Serge ; Schwartz, Christophe ; Hien, Toho. In: Agricultural Economics. RePEc:bla:agecon:v:57:y:2026:i:1:n:e70076.

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2025Can ESG ratings drive digital innovation in enterprises? Exploring Porters hypothesis in the digital era. (2025). Wang, Zhen. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:34:y:2025:i:1:p:945-964.

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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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2024Does a requirement to offer retirement plans help low‐income workers save for retirement? Early evidence from the OregonSaves program. (2024). Dao, Ngoc. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:42:y:2024:i:3:p:524-543.

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

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2024Is research on hedge fund performance published selectively? A quantitative survey. (2024). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1085-1131.

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2024Meta‐analysis of social science research: A practitioners guide. (2024). Stanley, T. ; Irsova, Zuzana ; Havranek, Tomas ; Doucouliagos, Hristos. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:5:p:1547-1566.

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2025The exchange rate pass‐through to domestic prices: A meta‐analysis. (2025). Iorngurum, Tersoo. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:39:y:2025:i:3:p:1092-1124.

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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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2024Local Whittle estimation with (quasi‐)analytic wavelets. (2024). Gannaz, Irne ; Achard, Sophie. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:421-443.

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2024A residual‐based nonparametric variance ratio no‐cointegration test. (2024). Reichold, Karsten. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:5:p:847-856.

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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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2025Drivers 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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2024The impact of international students in the UK on the cultural goods trade. (2024). Zhu, Yu ; Rambaccussing, Dooruj ; Lin, Yuheng. In: French Stata Users' Group Meetings 2024. RePEc:boc:fsug24:29.

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2024Moderation or indulgence? Effects of bank distribution restrictions during stress. (2024). Baruník, Jozef ; Katsoulis, Petros ; Barunik, Jozef ; Acosta-Smith, Jonathan ; Gerba, Eddie. In: Bank of England working papers. RePEc:boe:boeewp:1053.

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2024Social Pensions and Intimate Partner Violence Against Older Women. (2024). Ye, Han ; la Mattina, Giulia ; Belles-Obrero, Cristina. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2024_602.

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2025Social Pensions and Intimate Partner Violence Against Older Women. (2025). Ye, Han ; la Mattina, Giulia ; Belles-Obrero, Cristina. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2024_602v2.

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2024Oil Market Efficiency, Quantity of Information, and Oil Market Turbulence. (2024). Wadud, Sania ; Gronwald, Marc ; Dogah, Kingsley. 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). Wadud, Sania ; Gronwald, Marc ; Dogah, Kingsley. 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). Stutzer, Alois ; Ahrens, Achim ; Slotwinski, Michaela ; Hangartner, Dominik ; Auer, Daniel ; Kurt, Stefanie ; Kurer, Selina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11051.

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2024Persistence of the Sovereign Debt Components and Debt Sustainability: Some Evidence for the US and Europe. (2024). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Carmona-Gonzlez, Nieves ; Martin-Valmayor, Miguel A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11409.

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2024Female-Specific Labor Regulation and Employment: Historical Evidence from the United States. (2024). Kattan, Lamis ; Haddad, Joanne. 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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2025Earthquakes and Stock Market Performance: Evidence from Japan. (2025). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Muoz, Leyre. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11822.

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2025An In-Sample Evaluation of Exchange Rate Models: In Search of Scapegoats. (2025). Cheung, Yin-Wong ; Westermann, Frank ; Wang, Wenhao. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11852.

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2025The COVID-19 Shock and Spanish Hotel Activity. (2025). Caporale, Guglielmo Maria ; Ruiz-Alba, Jos L ; Poza, Carlos ; Gil-Alana, Luis Alberiko. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11985.

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2025Timing of School Entry and Personality Traits in Adulthood. (2025). Barabasch, Anton ; Cygan-Rehm, Kamila ; Leibing, Andreas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12273.

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2026Cross-Platform Entry Effects of Commission Rates: Evidence from Mobile Applications in China. (2026). Hou, Jiayi ; Teng, Xuan ; Wang, Xuan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12378.

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2026Sherlocking: The Effects of Platform-Owner Entry on the Competitive Behavior of Third-Party Firms. (2026). Leyden, Benjamin T. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12512.

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2026Long-Run Linkages and Parameter Instability in the Gold–Silver Relationship, 2010–2025. (2026). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Palomares, Antonio Fons. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12559.

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2026Persistence and Long-Run Linkages Between US Stock Market Prices and Bond Yields. (2026). Gil-Alana, Luis Alberiko ; Caporale, Guglielmo Maria ; Cafferata, Juan Diego. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12649.

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2024Elections and Rural Road Construction: Evidence from India. (2024). Basistha, Ahana ; Chaudhuri, Arka Roy ; Dhillon, Amrita. In: CAGE Online Working Paper Series. RePEc:cge:wacage:712.

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2024Did Tariffs Make American Manufacturing Great? New Evidence from the Gilded Age. (2024). Meissner, Christopher ; Klein, Alexander. In: CAGE Online Working Paper Series. RePEc:cge:wacage:729.

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2024Can Schools Change Religious Attitudes? Evidence from German State Reforms of Compulsory Religious Education. (2024). Zierow, Larissa ; Woessmann, Ludger ; Arold, Benjamin W. In: CAGE Online Working Paper Series. RePEc:cge:wacage:732.

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2024Favor Exchange with Private Costs: An Experiment. (2024). Xie, Huan ; Li, Yushen ; Degan, Arianna. 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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2026Exchange rate pass-through in Latin America: Does dollarization matter?. (2026). Notte, Vincent. In: LIDAM Discussion Papers IRES. RePEc:ctl:louvir:2026007.

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2026Misperceived Social Norms and Political Accountability: Evidence and Theory. (2026). Yamada, Katsunori ; Takahashi, Ryo ; Kitamura, Shuhei. In: ISER Discussion Paper. RePEc:dpr:wpaper:1289rr.

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2025From lower levels of formality to a formal firm in Ecuador: Short-run evidence. (2025). Camino-Mogro, Segundo ; Guzman, Mara Auxiliadora ; Dominguez, Juan Manuel. In: Economics Bulletin. RePEc:ebl:ecbull:eb-23-00504.

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

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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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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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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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2024Bootstrap Inference in the Presence of Bias.(2024) In: Journal of the American Statistical Association.
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2023Testing for the appropriate level of clustering in linear regression models.(2023) In: Journal of Econometrics.
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