Morten Ørregaard Nielsen
Morten Ørregaard Nielsen
Other namesMorten Orregaard Nielsen
DNRF Chair and Professor of Economics, Aarhus University
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Cited by
Cited by
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
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
A regime switching long memory model for electricity prices
N Haldrup, MØ Nielsen
Journal of econometrics 135 (1-2), 349-376, 2006
Likelihood inference for a fractionally cointegrated vector autoregressive model
S Johansen, MØ Nielsen
Econometrica 80 (6), 2667-2732, 2012
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
Likelihood inference for a nonstationary fractional autoregressive model
S Johansen, MØ Nielsen
Journal of Econometrics 158 (1), 51-66, 2010
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
Asset market perspectives on the Israeli–Palestinian conflict
A Zussman, N Zussman, MØ Nielsen
Economica 75 (297), 84-115, 2008
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
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
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
A Matlab program and user's guide for the fractionally cointegrated VAR model
MØ Nielsen, MK Popiel
Queen's Economics Department Working Paper, 2014
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
Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration
MØ Nielsen, PH Frederiksen
Econometric Reviews 24 (4), 405-443, 2005
A fast fractional difference algorithm
AN Jensen, MØ Nielsen
Journal of Time Series Analysis 35 (5), 428-436, 2014
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
Estimation of fractional integration in the presence of data noise
N Haldrup, MØ Nielsen
Computational Statistics & Data Analysis 51 (6), 3100-3114, 2007
Asymptotic theory and wild bootstrap inference with clustered errors
AA Djogbenou, JG MacKinnon, MØ Nielsen
Journal of Econometrics 212 (2), 393-412, 2019
Local Whittle analysis of stationary fractional cointegration and the implied–realized volatility relation
MØ Nielsen
Journal of Business & Economic Statistics 25 (4), 427-446, 2007
Fully modified narrow‐band least squares estimation of weak fractional cointegration
MØ Nielsen, P Frederiksen
The Econometrics Journal 14 (1), 77-120, 2011
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