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1

The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

Thomas Busch, Bent Jesper Christensen, Morten Ørregaard Nielsen

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 393 KB

english, 2011

2

A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets

Dolatabadi, Sepideh, Nielsen, Morten Ørregaard, Xu, Ke

Journal:

Journal of Futures Markets

Year:

2015

Language:

english

File:

PDF, 1.29 MB

english, 2015

3

LIKELIHOOD INFERENCE FOR A FRACTIONALLY COINTEGRATED VECTOR AUTOREGRESSIVE MODEL

Søren Johansen and Morten Ørregaard Nielsen

Journal:

Year:

2012

Language:

english

File:

PDF, 4.26 MB

english, 2012

4

A regime switching long memory model for electricity prices

Niels Haldrup, Morten Ørregaard Nielsen

Journal:

Journal of Econometrics

Year:

2006

Language:

english

File:

PDF, 528 KB

english, 2006

5

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model

Dolatabadi, Sepideh, Narayan, Paresh Kumar, Nielsen, Morten Ørregaard, Xu, Ke

Journal:

Journal of Futures Markets

Year:

2018

Language:

english

File:

PDF, 4.02 MB

english, 2018

6

Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics

Morten Ørregaard Nielsen

Journal:

Journal of Business and Economic Statistics

Year:

2004

Language:

english

File:

PDF, 758 KB

english, 2004

7

Asset Market Perspectives on the Israeli-Palestinian Conflict

Asaf Zussman, Noam Zussman and Morten Ørregaard Nielsen

Journal:

Year:

2008

Language:

english

File:

PDF, 3.84 MB

english, 2008

8

Guest editors’ introduction: Special issue of Journal of Banking and Finance on recent developments in financial econometrics and applications

Narayan, Paresh Kumar, Nielsen, Morten Ørregaard

Journal:

Journal of Banking & Finance

Year:

2015

Language:

english

File:

PDF, 178 KB

english, 2015

9

A FAST FRACTIONAL DIFFERENCE ALGORITHM

Jensen, Andreas Noack, Nielsen, Morten Ørregaard

Journal:

Journal of Time Series Analysis

Year:

2014

Language:

english

File:

PDF, 358 KB

english, 2014

10

Finite sample accuracy and choice of sampling frequency in integrated volatility estimation

Morten Ørregaard Nielsen, Per Frederiksen

Journal:

Journal of Empirical Finance

Year:

2008

Language:

english

File:

PDF, 388 KB

english, 2008

11

Comment

Andersen, Torben G, Bollerslev, Tim, Frederiksen, Per Houmann, Nielsen, Morten Ørregaard

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 224 KB

english, 2006

12

Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation

Nielsen, Morten Ørregaard

Journal:

Journal of Business and Economic Statistics

Year:

2007

Language:

english

File:

PDF, 418 KB

english, 2007

13

A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets

Dolatabadi, Sepideh, Nielsen, Morten Ørregaard, Xu, Ke

Journal:

Journal of Empirical Finance

Year:

2015

Language:

english

File:

PDF, 1.21 MB

english, 2015

14

Local Whittle Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation

Morten Ørregaard Nielsen

Journal:

Journal of Business and Economic Statistics

Year:

2007

Language:

english

File:

PDF, 2.46 MB

english, 2007

15

Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics

Nielsen, Morten Ørregaard

Journal:

Journal of Business and Economic Statistics

Year:

2004

Language:

english

File:

PDF, 406 KB

english, 2004

16

The impact of financial crises on the risk–return tradeoff and the leverage effect

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

Journal:

Economic Modelling

Year:

2015

Language:

english

File:

PDF, 2.01 MB

english, 2015

17

[Realized Variance and Market Microstructure Noise]: Comment

Torben G. Andersen, Tim Bollerslev, Per Houmann Frederiksen and Morten Ørregaard Nielsen

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 1.17 MB

english, 2006

18

Nonstationary Cointegration in the Fractionally Cointegrated VAR Model

Johansen, Søren, Nielsen, Morten Ørregaard

Journal:

Journal of Time Series Analysis

Year:

2018

Language:

english

File:

PDF, 402 KB

english, 2018

19

Fully modified narrow-band least squares estimation of weak fractional cointegration

Morten Ørregaard Nielsen, Per Frederiksen

Journal:

The Econometrics Journal

Year:

2011

Language:

english

File:

PDF, 401 KB

english, 2011

20

A fractionally cointegrated VAR analysis of economic voting and political support

Jones, Maggie E. C., Nielsen, Morten Ørregaard, Popiel, Michał Ksawery

Journal:

Canadian Journal of Economics/Revue canadienne d'économique

Year:

2014

Language:

english

File:

PDF, 1.21 MB

english, 2014

21

Newbold Conference Special Issue || A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic

Morten Ørregaard Nielsen

Journal:

Econometric Theory

Year:

2009

Language:

english

File:

PDF, 2.16 MB

english, 2009

22

Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration

Nielsen, Morten Ørregaard, Frederiksen, Per Houmann

Journal:

Econometric Reviews

Year:

2005

Language:

english

File:

PDF, 253 KB

english, 2005

23

Asset Market Perspectives on the Israeli–Palestinian Conflict

ASAF ZUSSMAN, NOAM ZUSSMAN, MORTEN ØRREGAARD NIELSEN

Journal:

Year:

2008

Language:

english

File:

PDF, 369 KB

english, 2008

24

Efficient Likelihood Inference in Nonstationary Univariate Models

Nielsen, Morten Ørregaard

Journal:

SSRN Electronic Journal

Year:

2001

Language:

english

File:

PDF, 369 KB

english, 2001

25

The Effect of Long Memory in Volatility on Stock Market Fluctuations

Bent Jesper Christensen and Morten Ørregaard Nielsen

Journal:

Review of Economics and Statistics

Year:

2007

Language:

english

File:

PDF, 2.22 MB

english, 2007

26

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

27

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

28

A Fast Fractional Difference Algorithm

Jensen, Andreas, Nielsen, Morten Ørregaard

Journal:

SSRN Electronic Journal

Year:

2013

File:

PDF, 198 KB

2013

29

EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS

Nielsen, Morten Ørregaard

Journal:

Econometric Theory

Year:

2004

Language:

english

File:

PDF, 606 KB

english, 2004

30

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

31

Semiparametric Estimation in Time-Series Regression with Long-Range Dependence

Morten Ørregaard Nielsen

Journal:

Journal of Time Series Analysis

Year:

2005

Language:

english

File:

PDF, 216 KB

english, 2005

32

Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

Torben G. Andersen, Tim Bollerslev, Per Frederiksen, Morten Ørregaard Nielsen

Journal:

Journal of Applied Econometrics

Year:

2010

Language:

english

File:

PDF, 239 KB

english, 2010

33

Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach

Morten Ørregaard Nielsen, Katsumi Shimotsu

Journal:

Journal of Econometrics

Year:

2007

Language:

english

File:

PDF, 348 KB

english, 2007

34

Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models

Nielsen, Morten Ørregaard

Journal:

Journal of Time Series Analysis

Year:

2015

Language:

english

File:

PDF, 483 KB

english, 2015

35

NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS

James G. MacKinnon, Morten Ørregaard Nielsen

Journal:

Journal of Applied Econometrics

Year:

2012

Language:

english

File:

PDF, 560 KB

english, 2012

36

Efficient Likelihood Inference in Nonstationary Univariate Models

Morten Ørregaard Nielsen

Journal:

Econometric Theory

Year:

2004

Language:

english

File:

PDF, 2.63 MB

english, 2004

37

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

38

Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots

Jansson, Michael, Nielsen, Morten Ørregaard

Journal:

Journal of Time Series Econometrics

Year:

2011

Language:

english

File:

PDF, 267 KB

english, 2011

39

A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC

Nielsen, Morten Ørregaard

Journal:

Econometric Theory

Year:

2009

Language:

english

File:

PDF, 299 KB

english, 2009

40

Improved likelihood ratio tests for cointegration rank in the VAR model

Boswijk, H. Peter, Jansson, Michael, Nielsen, Morten Ørregaard

Journal:

Journal of Econometrics

Year:

2015

Language:

english

File:

PDF, 571 KB

english, 2015

41

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

42

Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting

Bent Jesper Christensen, Morten Ørregaard Nielsen

Journal:

Journal of Econometrics

Year:

2006

Language:

english

File:

PDF, 363 KB

english, 2006

43

Local empirical spectral measure of multivariate processes with long range dependence

Morten Ørregaard Nielsen

Journal:

Stochastic Processes and their Applications

Year:

2004

Language:

english

File:

PDF, 345 KB

english, 2004

44

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

45

A Fast Fractional Difference Algorithm

Jensen, Andreas, Nielsen, Morten Ørregaard

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 198 KB

english, 2013

46

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

47

A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM

Johansen, Søren, Ørregaard Nielsen, Morten

Journal:

Econometric Theory

Year:

2012

Language:

english

File:

PDF, 91 KB

english, 2012

48

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

49

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

50

Spectral analysis of fractionally cointegrated systems

Morten Ørregaard Nielsen

Journal:

Economics Letters

Year:

2004

Language:

english

File:

PDF, 104 KB

english, 2004

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