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A fractionally cointegrated VA...
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Nielsen, Morten Ørregaard
22
Christensen, Bent Jesper
3
Frederiksen, Per
3
Haldrup, Niels
2
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2
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Journal of econometrics
6
Econometric theory
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Economics letters
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International journal of business process integration and management : IJBPIM
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OLC EcoSci
ECONIS (ZBW)
271
RePEc
99
EconStor
55
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1
Applications and Case Studies - A Kernel-Based Spatio-Temporal Dynamical Model for Nowcasting Weather Radar Reflectivities
Xu, Ke
;
Wikle, Christopher K.
;
Fox, Neil I.
- In:
Journal of the American Statistical Association : JASA
100
(
2005
)
472
,
pp. 1133-1144
Persistent link: https://www.econbiz.de/10006605504
Saved in:
2
Pi calculus-based bitransformation of state-driven model and flow-driven model
Xu, Ke
;
Liu, Ying
;
Zhu, Jun
;
Wu, Cheng
- In:
International journal of business process integration …
1
(
2005/06
)
4
,
pp. 292-306
Persistent link: https://www.econbiz.de/10009869380
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3
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
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4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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