Sledovat
Morten Ørregaard Nielsen
Morten Ørregaard Nielsen
Další jménaMorten Orregaard Nielsen, Morten Oerregaard Nielsen
DNRF Chair and Professor of Economics, Aarhus University
E-mailová adresa ověřena na: econ.au.dk - Domovská stránka
Název
Citace
Citace
Rok
Fast and wild: Bootstrap inference in Stata using boottest
D Roodman, MØ Nielsen, JG MacKinnon, MD Webb
The Stata Journal 19 (1), 4-60, 2019
9662019
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
T Busch, BJ Christensen, MØ Nielsen
Journal of Econometrics 160 (1), 48-57, 2011
4242011
Likelihood inference for a fractionally cointegrated vector autoregressive model
S Johansen, MØ Nielsen
Econometrica 80 (6), 2667-2732, 2012
3622012
A regime switching long memory model for electricity prices
N Haldrup, MØ Nielsen
Journal of econometrics 135 (1-2), 349-376, 2006
3402006
Continuous‐time models, realized volatilities, and testable distributional implications for daily stock returns
TG Andersen, T Bollerslev, P Frederiksen, M Ørregaard Nielsen
Journal of Applied Econometrics 25 (2), 233-261, 2010
3032010
Cluster-robust inference: A guide to empirical practice
JG MacKinnon, MØ Nielsen, MD Webb
Journal of Econometrics 232 (2), 272-299, 2023
2242023
Likelihood inference for a nonstationary fractional autoregressive model
S Johansen, MØ Nielsen
Journal of Econometrics 158 (1), 51-66, 2010
2052010
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
BJ Christensen, MØ Nielsen
Journal of Econometrics 133 (1), 343-371, 2006
189*2006
Asymptotic theory and wild bootstrap inference with clustered errors
AA Djogbenou, JG MacKinnon, MØ Nielsen
Journal of Econometrics 212 (2), 393-412, 2019
1302019
The effect of long memory in volatility on stock market fluctuations
BJ Christensen, MØ Nielsen
The Review of Economics and Statistics 89 (4), 684-700, 2007
1242007
Asset market perspectives on the Israeli–Palestinian conflict
A Zussman, N Zussman, MØ Nielsen
Economica 75 (297), 84-115, 2008
1192008
A Matlab program and user’s guide for the fractionally cointegrated VAR model
M ßrregaard Nielsen, MÅC Ksawery Popiel
111*2018
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
MØ Nielsen, K Shimotsu
Journal of Econometrics 141 (2), 574-596, 2007
1072007
The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
S Johansen, MØ Nielsen
Econometric Theory 32 (5), 1095-1139, 2016
105*2016
A vector autoregressive model for electricity prices subject to long memory and regime switching
N Haldrup, FS Nielsen, MØ Nielsen
Energy Economics 32 (5), 1044-1058, 2010
982010
Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration
MØ Nielsen, PH Frederiksen
Econometric Reviews 24 (4), 405-443, 2005
962005
Wild bootstrap and asymptotic inference with multiway clustering
JG MacKinnon, MØ Nielsen, MD Webb
Journal of Business & Economic Statistics 39 (2), 505-519, 2021
90*2021
A fast fractional difference algorithm
AN Jensen, MØ Nielsen
Journal of Time Series Analysis 35 (5), 428-436, 2014
892014
Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model
BJ Christensen, MØ Nielsen, J Zhu
Journal of Empirical Finance 17 (3), 460-470, 2010
892010
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
S Dolatabadi, MØ Nielsen, K Xu
Journal of Futures Markets 35 (4), 339-356, 2015
822015
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Články 1–20