Ørregaard Nielsen, Morten: search on Z-Library

The world's largest scientific articles store. 70,000,000+ articles for free.

Don't use scam websites

51

Efficient Likelihood Inference in Nonstationary Univariate Models

Morten Ørregaard Nielsen

Journal:

Econometric Theory

Year:

2004

Language:

english

File:

PDF, 2.63 MB

english, 2004

52

Efficient inference in multivariate fractionally integrated time series models

Morten Ørregaard Nielsen

Journal:

The Econometrics Journal

Year:

2004

Language:

english

File:

PDF, 3.20 MB

english, 2004

53

Forecasting daily political opinion polls using the fractionally cointegrated vector auto-regressive model

Nielsen, Morten Ørregaard, Shibaev, Sergei S.

Journal:

Journal of the Royal Statistical Society Series A (General)

Year:

2016

Language:

english

File:

PDF, 1.36 MB

english, 2016

54

Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form

Cavaliere, Giuseppe, Nielsen, Morten Ørregaard, Taylor, A.M. Robert

Journal:

Journal of Econometrics

Year:

2017

Language:

english

File:

PDF, 677 KB

english, 2017

55

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren, Nielsen, Morten Ørregaard

Journal:

Journal of Econometrics

Year:

2017

Language:

english

File:

PDF, 443 KB

english, 2017

56

THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS

Johansen, Søren, Nielsen, Morten Ørregaard

Journal:

Econometric Theory

Year:

2016

Language:

english

File:

PDF, 433 KB

english, 2016

57

Testing the CVAR in the Fractional CVAR Model

Johansen, Søren, Nielsen, Morten Ørregaard

Journal:

Journal of Time Series Analysis

Year:

2018

Language:

english

File:

PDF, 211 KB

english, 2018

58

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets

Busch, Thomas, Christensen, Bent Jesper, Nielsen, Morten Ørregaard

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 441 KB

english, 2007

59

The Effect of Long Memory in Volatility on Stock Market Fluctuations

Nielsen, Morten Ørregaard

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 371 KB

english, 2007

60

Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching

Haldrup, Niels, Nielsen, Frank, Nielsen, Morten Ørregaard

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 3.77 MB

english, 2007

61

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

Christensen, Bent Jesper, Nielsen, Morten Ørregaard, Zhu, Jie

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 995 KB

english, 2007

62

Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices

Haldrup, Niels, Nielsen, Morten Ørregaard

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 2.24 MB

english, 2005

63

Likelihood Inference for a Nonstationary Fractional Autoregressive Model

Johansen, Soren, Nielsen, Morten Ørregaard, Sommer, Margit

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 480 KB

english, 2007

64

Efficient Likelihood Inference in Nonstationary Univariate Models

Nielsen, Morten Ørregaard

Journal:

SSRN Electronic Journal

Year:

2001

Language:

english

File:

PDF, 369 KB

english, 2001

65

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

Johansen, Soren, Nielsen, Morten Ørregaard, Sommer, Margit

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 459 KB

english, 2010

66

Seasonality in Economic Models

Brendstrup, Bjarne, Hylleberg, Svend, Nielsen, Morten Ørregaard, Skipper, Lars, Stentoft, Lars

Journal:

SSRN Electronic Journal

Year:

2001

Language:

english

File:

PDF, 641 KB

english, 2001

67

Bias-Reduced Estimation of Long Memory Stochastic Volatility

Frederiksen, Per Skaarup, Nielsen, Morten Ørregaard

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 561 KB

english, 2008

68

A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic

Nielsen, Morten Ørregaard

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 376 KB

english, 2008

69

Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis

Jansson, Michael, Nielsen, Morten Ørregaard

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 230 KB

english, 2009

70

Fast and wild: Bootstrap inference in Stata using boottest

Roodman, David, Nielsen, Morten Ørregaard, MacKinnon, James G., Webb, Matthew D.

Journal:

The Stata Journal: Promoting communications on statistics and Stata

Year:

2019

File:

PDF, 569 KB

2019

71

Special 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

Nielsen, Morten Ørregaard, Hualde, Javier

Journal:

Journal of Time Series Analysis

Year:

2019

Language:

english

File:

PDF, 84 KB

english, 2019

72

A Fast Fractional Difference Algorithm

Jensen, Andreas, Nielsen, Morten Ørregaard

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 198 KB

english, 2013

73

TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS

Hualde, Javier, Nielsen, Morten Ørregaard

Journal:

Econometric Theory

Year:

2019

Language:

english

File:

PDF, 243 KB

english, 2019

74

A Fast Fractional Difference Algorithm

Jensen, Andreas, Nielsen, Morten Ørregaard

Journal:

SSRN Electronic Journal

Year:

2013

File:

PDF, 198 KB

2013

75

Nonparametric Cointegration Analysis of Fractional Systems with Unknown Integration Orders

Nielsen, Morten Ørregaard

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 478 KB

english, 2009

76

Wild Bootstrap and Asymptotic Inference with Multiway Clustering

MacKinnon, James G., Nielsen, Morten Ørregaard, Webb, Matthew D.

Journal:

Journal of Business and Economic Statistics

Year:

2019

Language:

english

File:

PDF, 1.18 MB

english, 2019