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A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - In: Journal of empirical finance 38 (2016), pp. 623-639
Persistent link: https://www.econbiz.de/10011663388
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To infinity and beyond : Efficient computation of ARCH( ∞ ) models
Nielsen, Morten Ørregaard; Noël, Antoine L. - In: Journal of Time Series Analysis 42 (2020) 3, pp. 338-354
Persistent link: https://www.econbiz.de/10012410065
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Cluster-robust inference : a guide to empirical practice
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - In: Journal of econometrics 232 (2023) 2, pp. 272-299
Persistent link: https://www.econbiz.de/10014339912
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Weak convergence to derivatives of fractional brownian motion
Johansen, Søren; Nielsen, Morten Ørregaard - In: Econometric theory 40 (2024) 4, pp. 859-874
Persistent link: https://www.econbiz.de/10015154308
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Nearly efficient likelihood ratio tests for seasonal unit roots
Jansson, Michael; Nielsen, Morten Ørregaard - In: Journal of time series econometrics 3 (2011) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10009623579
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Directional congestion and regime switching in a long memory model for electricity prices
Haldrup, Niels (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10003559004
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - In: Economic modelling 49 (2015), pp. 407-418
Persistent link: https://www.econbiz.de/10011439598
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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - In: Journal of econometrics 202 (2018) 2, pp. 214-229
Persistent link: https://www.econbiz.de/10011974563
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The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
Johansen, Søren; Nielsen, Morten Ørregaard - In: Econometric theory 32 (2016) 5, pp. 1095-1139
Persistent link: https://www.econbiz.de/10011661716