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Nielsen, Morten Ørregaard
22
Davidson, Russell
15
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9
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9
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4
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Journal of econometrics
8
Econometric theory
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
The econometrics journal
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Economics letters
2
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2
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Kyklos : international review for social sciences
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Macroeconomic dynamics
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Review of African political economy
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1
A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
Johansen, Søren
;
Ørregaard Nielsen, Morten
- In:
Econometric theory
28
(
2011
)
3
,
pp. 671-680
Persistent link: https://www.econbiz.de/10009968679
Saved in:
2
Noncontemporaneous cointegration and the importance of timing
Nielsen, Morten Ørregaard
- In:
Economics letters
86
(
2005
)
1
,
pp. 113-120
Persistent link: https://www.econbiz.de/10006749174
Saved in:
3
Spectral analysis of fractionally cointegrated systems
Nielsen, Morten Ørregaard
- In:
Economics letters
83
(
2004
)
2
,
pp. 225-232
Persistent link: https://www.econbiz.de/10006757772
Saved in:
4
SEASONALITY IN ECONOMIC MODELS
Brendstrup, Bjarne
;
Hylleberg, Svend
;
Nielsen, Morten …
- In:
Macroeconomic dynamics
8
(
2004
)
3
,
pp. 362-394
Persistent link: https://www.econbiz.de/10006022368
Saved in:
5
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics
Nielsen, Morten Ørregaard
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
3
,
pp. 331-345
Persistent link: https://www.econbiz.de/10008214558
Saved in:
6
Local Whittle Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation
Nielsen, Morten Ørregaard
- In:
Journal of business & economic statistics : JBES ; a …
25
(
2007
)
4
,
pp. 427-446
Persistent link: https://www.econbiz.de/10008221521
Saved in:
7
The 2005 Invited Address - Comment - Realized Variance and Market Microstructure Noise
Andersen, Torben G.
;
Bollerslev, Tim
;
Frederiksen, Per …
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
2
,
pp. 173-178
Persistent link: https://www.econbiz.de/10008222690
Saved in:
8
Efficient inference in multivariate fractionally integrated time series models
Nielsen, Morten Ørregaard
- In:
The econometrics journal
7
(
2004
)
1
,
pp. 63-97
Persistent link: https://www.econbiz.de/10007449962
Saved in:
9
Finite sample accuracy and choice of sampling frequency in integrated volatility estimation
Nielsen, Morten Ørregaard
;
Frederiksen, Per
- In:
Journal of empirical finance
15
(
2008
)
2
,
pp. 265-286
Persistent link: https://www.econbiz.de/10007908280
Saved in:
10
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
Nielsen, Morten Ørregaard
;
Shimotsu, Katsumi
- In:
Journal of econometrics
141
(
2007
)
2
,
pp. 574-596
Persistent link: https://www.econbiz.de/10007859777
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