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Spectral analysis of fractiona...
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Theory
Theorie
149
Zeitreihenanalyse
97
Schätztheorie
94
Time series analysis
93
Estimation theory
89
Kointegration
85
Cointegration
83
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
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Optionspreistheorie
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Option pricing theory
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Induktive Statistik
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Monte Carlo simulation
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Nonparametric statistics
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Statistical inference
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Bootstrap approach
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Bootstrap-Verfahren
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cluster-robust variance estimator
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Free
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Language
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English
141
Author
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Nielsen, Morten Ørregaard
66
Christensen, Bent Jesper
12
Ørregaard Nielsen, Morten
11
Jansson, Michael
10
Johansen, Søren
10
Barndorff-Nielsen, Ole E.
8
Haldrup, Niels
5
Boswijk, Herman Peter
4
Busch, Thomas
4
Stentoft, Lars
4
Tanggaard, Carsten
4
Brendstrup, Bjarne
3
Di Miscia, Orazio
3
Frederiksen, Per
3
Hylleberg, Svend
3
Johansen, Soren
3
Lunde, Asger
3
Mikkelsen, Peter
3
Narayan, Paresh Kumar
3
Rosholm, Michael
3
Shepard, Neil
3
Shephard, Neil G.
3
Skipper, Lars
3
Strunk Hansen, Charlotte
3
Søndergaard Rasmussen, Nicki
3
Sørensen, Michael
3
Taulbjerg, Jes
3
Xu, Ke
3
Cavaliere, Giuseppe
2
Christensen, Claus Vorm
2
Christiansen, Charlotte
2
Dolatabadi, Sepideh
2
Engsted, Tom
2
Hansen, Peter Reinhard
2
Jones, Maggie E. C.
2
Løchte Jørgensen, Peter
2
Myhre Lildholt, Peter
2
Nielsen, Frank S.
2
Nielsen, Jens Perch
2
Popiel, Michal Ksawery
2
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Centre for Analytical Finance <Århus>
69
Aarhus Universitet / Afdeling for Nationaløkonomi
8
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
71
Queen's Economics Department working paper
13
Economics working paper
8
CREATES research paper
6
Econometric theory
4
Journal of econometrics
4
CREATES Research Paper
2
Discussion papers / Department of Economics, University of Copenhagen
2
Univ. of Copenhagen Dept. of Economics Discussion Paper
2
Aarhus University Economics Paper
1
CAE working paper
1
CREATES Research Paper 2009-55
1
Discussion paper / Tinbergen Institute
1
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Energy economics
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of time series econometrics
1
Macroeconomic dynamics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Tinbergen Institute Discussion Paper 12-097/III
1
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ECONIS (ZBW)
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Semiparametric estimation in time series regressioon with long range dependence
Nielsen, Morten Ørregaard
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491368
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
Efficient likelihood inference in nonstationary univariate models
Ørregaard Nielsen, Morten
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001622255
Saved in:
4
Efficient inference in multivariate fractionally integrated time series models
Ørregaard Nielsen, Morten
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001922185
Saved in:
5
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:
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
Spectral analysis of fractionally cointegrated systems
Ørregaard Nielsen, Morten
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001695143
Saved in:
8
Local empirical spectral measure of multivariate process with long range dependence
Ørregaard Nielsen, Morten
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001712283
Saved in:
9
Semiparametric estimation in time series regression with long range dependence
Ørregaard Nielsen, Morten
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001712292
Saved in:
10
Multivariate lagrange multiplier tests for fractional integration
Ørregaard Nielsen, Morten
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001712293
Saved in:
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