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Spectral analysis of fractiona...
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Cointegration
Theorie
149
Theory
141
Zeitreihenanalyse
97
Schätztheorie
94
Time series analysis
93
Estimation theory
89
Kointegration
85
Volatilität
51
VAR model
49
VAR-Modell
47
Volatility
45
Stochastischer Prozess
40
Stochastic process
37
Einheitswurzeltest
36
Unit root test
36
fractional cointegration
35
Estimation
34
Schätzung
34
fractional integration
32
long memory
32
Maximum likelihood estimation
31
Maximum-Likelihood-Schätzung
31
Nichtparametrisches Verfahren
30
ARCH-Modell
29
Optionspreistheorie
29
Option pricing theory
28
ARCH model
27
Induktive Statistik
27
Monte Carlo simulation
27
Nonparametric statistics
26
Statistical inference
26
Bootstrap approach
23
Bootstrap-Verfahren
23
Monte-Carlo-Simulation
22
Statistical test
22
Statistischer Test
22
CRVE
21
cluster-robust variance estimator
21
Cluster analysis
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Free
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45
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44
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42
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42
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17
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English
83
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Nielsen, Morten Ørregaard
75
Johansen, Søren
13
Xu, Ke
10
Dolatabadi, Sepideh
9
Haldrup, Niels
6
Jansson, Michael
5
Ørregaard Nielsen, Morten
5
Boswijk, Herman Peter
4
Christensen, Bent Jesper
4
Frederiksen, Per
4
Johansen, Soren
4
Nielsen, Frank S.
4
Popiel, Michal Ksawery
4
Jones, Maggie E. C.
3
Cavaliere, Giuseppe
2
MacKinnon, James G.
2
Narayan, Paresh Kumar
2
Rosholm, Michael
2
Seong, Dakyung
2
Shibaev, Sergei S.
2
Shimotsu, Katsumi
2
Taylor, Robert
2
Bec, Frédérique
1
Boswijk, H. Peter
1
Dolatabadim, Sepideh
1
Engsted, Tom
1
Haulde, Javier
1
Narayan, Kumar Paresh
1
Nielsen, Frank
1
Rahbek, Anders
1
Seo, Won-Ki
1
Seo, Wonk-ki
1
Sommer, Margit
1
Taulbjerg, Jes
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Centre for Analytical Finance <Århus>
6
Aarhus Universitet / Afdeling for Nationaløkonomi
4
Economics Department, Queen's University
1
School of Economics and Management, University of Aarhus
1
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Queen's Economics Department working paper
17
CREATES research paper
14
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
7
Journal of econometrics
6
Economics working paper
5
Discussion papers / Department of Economics, University of Copenhagen
2
Economics letters
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
CREATES Research Paper
1
CREATES Research Papers
1
Discussion paper / Tinbergen Institute
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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1
Journal of applied econometrics
1
Journal of empirical finance
1
Queen's Economics Department Working Paper
1
The Canadian journal of economics
1
The econometrics journal
1
The journal of futures markets
1
Tinbergen Institute Discussion Paper 12-097/III
1
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1
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ECONIS (ZBW)
80
RePEc
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EconStor
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Noncontemporaneous cointegration and the importance of timing
Nielsen, Morten Ørregaard
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002227585
Saved in:
2
Optimal residual based tests for fractional cointegration and exchange rate dynamics
Nielsen, Morten Ørregaard
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702310
Saved in:
3
Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high-frequency options data
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599144
Saved in:
4
Spectral analysis of fractionally cointegrated systems
Nielsen, Morten Ørregaard
- In:
Economics letters
83
(
2004
)
2
,
pp. 225-231
Persistent link: https://www.econbiz.de/10001991527
Saved in:
5
Noncontemporaneous cointegration and the importance of timing
Nielsen, Morten Ørregaard
- In:
Economics letters
86
(
2005
)
1
,
pp. 113-119
Persistent link: https://www.econbiz.de/10002516515
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/10002135512
Saved in:
7
Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard
- In:
Journal of econometrics
155
(
2010
)
2
,
pp. 170-187
Persistent link: https://www.econbiz.de/10003966977
Saved in:
8
Local Whittle analysis of stationary fractional cointegration and the implied-realized volatility relation
Nielsen, Morten Ørregaard
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003301063
Saved in:
9
Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard
-
2009
Persistent link: https://www.econbiz.de/10003849417
Saved in:
10
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/10003566055
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