Citations of
Morten Ørregaard Nielsen

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Working papers

1. Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers 2008-35, School of Economics and Management, University of Aarhus. [Downloadable!]
   Published as:
   • Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-Reduced Estimation of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 496-512, Fall. [Downloadable!] (restricted)

   Cited by:

   1. Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2008. "Local polynomial Whittle estimation of perturbed fractional processes," CREATES Research Papers 2008-29, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
      • Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2009. "Local polynomial Whittle estimation of perturbed fractional processes," Working Papers 1218, Queen's University, Department of Economics. [Downloadable!]

2. Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2008. "Local polynomial Whittle estimation of perturbed fractional processes," CREATES Research Papers 2008-29, School of Economics and Management, University of Aarhus. [Downloadable!]
   Other versions:
   • Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2009. "Local polynomial Whittle estimation of perturbed fractional processes," Working Papers 1218, Queen's University, Department of Economics. [Downloadable!]

   Cited by:

   1. Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers 2008-35, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
      • Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-Reduced Estimation of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 496-512, Fall. [Downloadable!] (restricted)
   2. Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, School of Economics and Management, University of Aarhus. [Downloadable!]
   3. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, School of Economics and Management, University of Aarhus. [Downloadable!]

3. Morten Ørregaard Nielsen, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 1175, Queen's University, Department of Economics. [Downloadable!]
   Other versions:
   • Nielsen, Morten, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 08-05, Cornell University, Center for Analytic Economics. [Downloadable!]

   Cited by:

   1. Morten Ørregaard Nielsen, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 1175, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
      • Nielsen, Morten, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 08-05, Cornell University, Center for Analytic Economics. [Downloadable!]
   2. Morten Ørregaard Nielsen, 2008. "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," Working Papers 1185, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
      • Morten Ørregaard Nielsen, 2008. "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," CREATES Research Papers 2008-36, School of Economics and Management, University of Aarhus. [Downloadable!]
      • Nielsen, Morten ?rregaard, 2009. "A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1515-1544, December. [Downloadable!]

4. Morten Ørregaard Nielsen & Per Frederiksen, 2008. "Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration," Working Papers 1171, Queen's University, Department of Economics. [Downloadable!]

   Cited by:

   1. Esben Hoeg & Per Frederiksen, 2006. "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006 194, Society for Computational Economics. [Downloadable!]
   2. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, School of Economics and Management, University of Aarhus. [Downloadable!]

5. Morten Ørregaard Nielsen, 2008. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," Working Papers 1174, Queen's University, Department of Economics. [Downloadable!]
   Other versions:
   • Morten Ørregaard Nielsen, 2009. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," CREATES Research Papers 2009-02, School of Economics and Management, University of Aarhus. [Downloadable!]

   Cited by:

   1. Esben Hoeg & Per Frederiksen, 2006. "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006 194, Society for Computational Economics. [Downloadable!]

6. Morten Ørregaard Nielsen, 2008. "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," CREATES Research Papers 2008-36, School of Economics and Management, University of Aarhus. [Downloadable!]
   Other versions:
   • Morten Ørregaard Nielsen, 2008. "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," Working Papers 1185, Queen's University, Department of Economics. [Downloadable!]
   
   Published as:
   • Nielsen, Morten ?rregaard, 2009. "A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1515-1544, December. [Downloadable!]

   Cited by:

   1. Morten Ørregaard Nielsen, 2008. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," Working Papers 1174, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
      • Morten Ørregaard Nielsen, 2009. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," CREATES Research Papers 2009-02, School of Economics and Management, University of Aarhus. [Downloadable!]

7. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," CREATES Research Papers 2007-03, School of Economics and Management, University of Aarhus. [Downloadable!]
   Published as:
   • Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 684-700, 05. [Downloadable!] (restricted)

   Cited by:

   1. Christian Conrad & Menelaos Karanasos & Ning Zeng, 2008. "Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study," Working Papers 0472, University of Heidelberg, Department of Economics, revised Jul 2008. [Downloadable!]
   2. Jie Zhu, 2008. "FIEGARCH-M and and International Crises: A Cross-Country Analysis," CREATES Research Papers 2008-16, School of Economics and Management, University of Aarhus. [Downloadable!]
   3. Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008. "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers 2008-46, School of Economics and Management, University of Aarhus. [Downloadable!]
   4. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007. "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers 2007-10, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
      • Bent Jesper Christensen & Jie Zhu & Morten Ørregaard Nielsen, 2009. "Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model," Working Papers 1207, Queen's University, Department of Economics. [Downloadable!]

8. Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers 2007-21, School of Economics and Management, University of Aarhus. [Downloadable!]
   Other versions:
   • Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," Working Papers 1173, Queen's University, Department of Economics. [Downloadable!]

   Cited by:

   1. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany. [Downloadable!]
      Other versions:
      • Hurvich, Clifford & Wang, Yi, 2009. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 12575, University Library of Munich, Germany. [Downloadable!]
   2. Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, School of Economics and Management, University of Aarhus. [Downloadable!]

9. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers 2007-09, School of Economics and Management, University of Aarhus. [Downloadable!]
   Other versions:
   • Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2008. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," Working Papers 1181, Queen's University, Department of Economics. [Downloadable!]

   Cited by:

   1. Gael M. Martin & Andrew Reidy & Jill Wright, 2009. "Does the option market produce superior forecasts of noise-corrected volatility measures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 77-104. [Downloadable!]
      Other versions:
      • Gael M. Martin & Andrew Reidy & Jill Wright, 2007. "Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?," Monash Econometrics and Business Statistics Working Papers 5/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
   2. Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2009. "Option-Implied Measures of Equity Risk," CIRANO Working Papers 2009s-33, CIRANO. [Downloadable!]
   3. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena. [Downloadable!]
   4. Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007. "Forward-Looking Betas," CREATES Research Papers 2007-39, School of Economics and Management, University of Aarhus. [Downloadable!]
   5. Fulvio Corsi & Davide Pirino & Roberto Reno, 2009. "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series gd08-036, Institute of Economic Research, Hitotsubashi University. [Downloadable!]

10. Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood Inference for a Nonstationary Fractional Autoregressive Model," Discussion Papers 07-27, University of Copenhagen. Department of Economics. [Downloadable!]
    Other versions:
    • Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood inference for a nonstationary fractional autoregressive model," CREATES Research Papers 2007-33, School of Economics and Management, University of Aarhus. [Downloadable!]
    • Søren Johansen & Morten Ørregaard Nielsen, 2009. "Likelihood inference for a nonstationary fractional autoregressive model," Working Papers 1172, Queen's University, Department of Economics. [Downloadable!]

    Cited by:

    1. Morten Ørregaard Nielsen, 2009. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," CREATES Research Papers 2009-02, School of Economics and Management, University of Aarhus. [Downloadable!]
       Other versions:
       • Morten Ørregaard Nielsen, 2008. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," Working Papers 1174, Queen's University, Department of Economics. [Downloadable!]

11. Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006. "Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach," Working Papers 1029, Queen's University, Department of Economics. [Downloadable!]
    Published as:
    • Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December. [Downloadable!] (restricted)

    Cited by:

    1. Frank S. Nielsen, 2009. "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers 2009-38, School of Economics and Management, University of Aarhus. [Downloadable!]
    2. Xu Cheng & Peter C. B. Phillips, 2009. "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers 1688, Cowles Foundation, Yale University. [Downloadable!]

12. Morten Ørregaard Nielsen & Per Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Working Papers 1189, Queen's University, Department of Economics. [Downloadable!]

    Cited by:

    1. Aaron Smallwood; Alex Maynard; Mark Wohar, 2005. "The Long and the Short of It: Long Memory Regressors and Predictive Regressions," Computing in Economics and Finance 2005 384, Society for Computational Economics. [Downloadable!]
    2. Nuno Cassola & Claudio Morana, 2006. "Comovements in volatility in the euro money market," Working Paper Series 703, European Central Bank. [Downloadable!]
    3. Afonso Gonçalves da Silva & Peter M Robinson, 2006. "Finite Sample Performance in CointegrationAnalysis of Nonlinear Time Series with LongMemory," STICERD - Econometrics Paper Series /2006/501, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
       Other versions:
       • Afonso Gonçalves da Silva & Peter Robinson, 2008. "Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 268-297. [Downloadable!] (restricted)
    4. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, School of Economics and Management, University of Aarhus. [Downloadable!]

13. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "Forecasting Exchange Rate Volatility in the Presence of Jumps," Working Papers 1187, Queen's University, Department of Economics. [Downloadable!]

    Cited by:

    1. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2006. "The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps," Working Papers 1188, Queen's University, Department of Economics. [Downloadable!]

14. Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:
    • Niels Haldrup & Morten Ø. Nielsen, 2006. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(3). [Downloadable!]

    Cited by:

    1. Matteo Manera & Massimiliano Serati & Michele Plotegher, 2008. "Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal," Working Papers 2008.9, Fondazione Eni Enrico Mattei. [Downloadable!]
       Other versions:
       • Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics 210, Cattaneo University (LIUC). [Downloadable!]

15. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices," Working Papers 1186, Queen's University, Department of Economics. [Downloadable!]

    Cited by:

    1. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2006. "The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps," Working Papers 1188, Queen's University, Department of Economics. [Downloadable!]
    2. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "Forecasting Exchange Rate Volatility in the Presence of Jumps," Working Papers 1187, Queen's University, Department of Economics. [Downloadable!]

16. Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:
    • Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376. [Downloadable!] (restricted)

    Cited by:

    1. Bent Jesper Christensen & Thomas Elgaard Jensen & Rune Mølgaard, 2007. "Market Power in Power Markets: Evidence from Forward Prices of Electricity," CREATES Research Papers 2007-30, School of Economics and Management, University of Aarhus. [Downloadable!]
    2. Matteo Manera & Massimiliano Serati & Michele Plotegher, 2008. "Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal," Working Papers 2008.9, Fondazione Eni Enrico Mattei. [Downloadable!]
       Other versions:
       • Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics 210, Cattaneo University (LIUC). [Downloadable!]
    3. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-427, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    4. Giulio Bottazzi & Sandro Sapio & Angelo Secchi, 2004. "Some Statistical Investigations on the Nature and Dynamics of Electricity Prices," LEM Papers Series 2004/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    5. BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V. K., 2006. "Nonparametric density estimation for positive time series," CORE Discussion Papers 2006085, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
       Other versions:
       • Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006. "Nonparametric Density Estimation for Positive Time Series," Cahiers de recherche 06-09, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
    6. Svend Hylleberg, 2004. "On the Exploitation of Market Power in the Nordic Electricity Markets. The Case of Elsam," Economics Working Papers 2004-5, School of Economics and Management, University of Aarhus. [Downloadable!]
    7. Hipòlit Torró & Julio Lucia, 2008. "Short-term electricity futures prices: Evidence on the time-varying risk premium," Working Papers. Serie EC 2008-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    8. Niels Haldrup & Frank S. Nielsen & Morten Ørregaard Nielsen, 2007. "A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching," CREATES Research Papers 2007-29, School of Economics and Management, University of Aarhus. [Downloadable!]
       Other versions:
       • Niels Haldrup & Frank S. Nielsen & Morten Ørregaard Nielsen, 2009. "A vector autoregressive model for electricity prices subject to long memory and regime switching," Working Papers 1211, Queen's University, Department of Economics. [Downloadable!]
    9. Morten Ørregaard Nielsen & Per Frederiksen, 2008. "Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration," Working Papers 1171, Queen's University, Department of Economics. [Downloadable!]
    10. Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005. "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 05-091/4, Tinbergen Institute. [Downloadable!]
        Other versions:
        • Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007. "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March. [Downloadable!] (restricted)
    11. Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, School of Economics and Management, University of Aarhus. [Downloadable!]
        Other versions:
        • Niels Haldrup & Morten Ø. Nielsen, 2006. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(3). [Downloadable!]

17. Morten Oerregaard Nielsen, . "Efficient Inference in Multivariate Fractionally Integrated Time Series Models," Economics Working Papers 2002-6, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:
    • Morten Orregaard Nielsen, 2004. "Efficient inference in multivariate fractionally integrated time series models," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 63-97, 06. [Downloadable!] (restricted)

    Cited by:

    1. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "A Multivariate Long-Memory Model with Structural Breaks," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]

18. Haldrup, Niels & Nielsen, Morten Oe., . "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers 2003-10, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:
    • Haldrup, Niels & Nielsen, Morten Orregaard, 2007. "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3100-3114, March. [Downloadable!] (restricted)

    Cited by:

    1. Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers 2008-35, School of Economics and Management, University of Aarhus. [Downloadable!]
       Other versions:
       • Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-Reduced Estimation of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 496-512, Fall. [Downloadable!] (restricted)
    2. Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, School of Economics and Management, University of Aarhus. [Downloadable!]
       Other versions:
       • Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376. [Downloadable!] (restricted)
    3. Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research. [Downloadable!]
    4. Nuno Cassola & Claudio Morana, 2006. "Comovements in volatility in the euro money market," Working Paper Series 703, European Central Bank. [Downloadable!]
    5. Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, School of Economics and Management, University of Aarhus. [Downloadable!]
       Other versions:
       • Niels Haldrup & Morten Ø. Nielsen, 2006. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(3). [Downloadable!]

19. Bent Jesper Christensen & Morten Ø. Nielsen, . "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data," Economics Working Papers 2001-4, School of Economics and Management, University of Aarhus. [Downloadable!]

    Cited by:

    1. Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series /2006/502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    2. Javier Hualde & Peter M Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series /2006/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]

20. Morten Oerregaard Nielsen, . "Local Whittle Analysis of Stationary Fractional Cointegration," Economics Working Papers 2002-8, School of Economics and Management, University of Aarhus. [Downloadable!]

    Cited by:

    1. Katsumi Shimotsu, 2003. "Exact Local Whittle Estimation of Fractionally Cointegrated Systems," Economics Discussion Papers 570, University of Essex, Department of Economics. [Downloadable!]
    2. Peter M Robinson, 2007. "Multiple Local Whittle Estimation in StationarySystems," STICERD - Econometrics Paper Series /2007/525, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]

21. Morten Oerregaard Nielsen, . "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers 2002-7, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:
    • Nielsen M.O., 2004. "Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 331-345, July. [Downloadable!] (restricted)

    Cited by:

    1. Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006. "Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach," Working Papers 1029, Queen's University, Department of Economics. [Downloadable!]
       Other versions:
       • Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December. [Downloadable!] (restricted)
    2. Xu Cheng & Peter C. B. Phillips, 2009. "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers 1688, Cowles Foundation, Yale University. [Downloadable!]
    3. Mauro Costantini & Roy Cerqueti, 2007. "Non parametric Fractional Cointegration Analysis," ISAE Working Papers 78, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]

22. Nielsen, Morten Oe., . "Semiparametric Estimation in Time Series Regression with Long Range Dependence," Economics Working Papers 2002-17, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:
    • Morten Orregaard Nielsen, 2005. "Semiparametric Estimation in Time-Series Regression with Long-Range Dependence," Journal of Time Series Analysis, Blackwell Publishing, vol. 26(2), pages 279-304, 03. [Downloadable!] (restricted)

    Cited by:

    1. Morten Ørregaard Nielsen & Per Frederiksen, 2008. "Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration," Working Papers 1171, Queen's University, Department of Economics. [Downloadable!]
    2. Afonso Gonçalves da Silva & Peter M Robinson, 2006. "Finite Sample Performance in CointegrationAnalysis of Nonlinear Time Series with LongMemory," STICERD - Econometrics Paper Series /2006/501, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
       Other versions:
       • Afonso Gonçalves da Silva & Peter Robinson, 2008. "Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 268-297. [Downloadable!] (restricted)
    3. Peter M Robinson, 2007. "Multiple Local Whittle Estimation in StationarySystems," STICERD - Econometrics Paper Series /2007/525, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]

23. Nielsen, Morten Oe., . "Spectral Analysis of Fractionally Cointegrated Systems," Economics Working Papers 2002-12, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:
    • Nielsen, Morten Orregaard, 2004. "Spectral analysis of fractionally cointegrated systems," Economics Letters, Elsevier, vol. 83(2), pages 225-231, May. [Downloadable!] (restricted)

    Cited by:

    1. Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006. "Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach," Working Papers 1029, Queen's University, Department of Economics. [Downloadable!]
       Other versions:
       • Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December. [Downloadable!] (restricted)

24. Morten Oe. Nielsen, . "Efficient Likelihold Inference in Nonstationary Univariate Models," Economics Working Papers 2001-8, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:
    • Nielsen, Morten rregaard, 2004. "Efficient Likelihood Inference In Nonstationary Univariate Models," Econometric Theory, Cambridge University Press, vol. 20(01), pages 116-146, February. [Downloadable!]

    Cited by:

    1. Morten Ørregaard Nielsen & Per Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Working Papers 1189, Queen's University, Department of Economics. [Downloadable!]
    2. Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, School of Economics and Management, University of Aarhus. [Downloadable!]
    3. Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood inference for a nonstationary fractional autoregressive model," CREATES Research Papers 2007-33, School of Economics and Management, University of Aarhus. [Downloadable!]
       Other versions:
       • Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood Inference for a Nonstationary Fractional Autoregressive Model," Discussion Papers 07-27, University of Copenhagen. Department of Economics. [Downloadable!]
       • Søren Johansen & Morten Ørregaard Nielsen, 2009. "Likelihood inference for a nonstationary fractional autoregressive model," Working Papers 1172, Queen's University, Department of Economics. [Downloadable!]
    4. Morten Oerregaard Nielsen, . "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers 2002-7, School of Economics and Management, University of Aarhus. [Downloadable!]
       Other versions:
       • Nielsen M.O., 2004. "Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 331-345, July. [Downloadable!] (restricted)
    5. Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, School of Economics and Management, University of Aarhus. [Downloadable!]
       Other versions:
       • Niels Haldrup & Morten Ø. Nielsen, 2006. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(3). [Downloadable!]

25. Nielsen, Morten Oe., . "Multivariate Lagrange Multiplier Tests for Fractional Integration," Economics Working Papers 2002-18, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:
    • Morten Ørregaard Nielsen, 2005. "Multivariate Lagrange Multiplier Tests for Fractional Integration," Journal of Financial Econometrics, Oxford University Press, vol. 3(3), pages 372-398. [Downloadable!] (restricted)

    Cited by:

    1. Katarzyna Lasak, 2008. "Likelihood based testing for no fractional cointegration," CREATES Research Papers 2008-52, School of Economics and Management, University of Aarhus. [Downloadable!]
    2. Gil-Alana, Luis A. & Fischer, Christian, 2007. "International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications," 105th Seminar, March 8-10, 2007, Bologna, Italy 7859, European Association of Agricultural Economists. [Downloadable!]
    3. Luis Alberiko Gil-Alana & Antonio Moreno, . "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers 03/06, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    4. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006. "Fractional Integration And Impulse Responses: A Bivariate Application To Real Output In The Us And The Scandinavian Countries," Economics and Finance Discussion Papers 06-25, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]

1. Nielsen, Morten ?rregaard, 2009. "A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1515-1544, December. [Downloadable!]
   Other versions:
   • Morten Ørregaard Nielsen, 2008. "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," Working Papers 1185, Queen's University, Department of Economics. [Downloadable!]
   • Morten Ørregaard Nielsen, 2008. "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," CREATES Research Papers 2008-36, School of Economics and Management, University of Aarhus. [Downloadable!]

   See citations under working paper version above.

2. Asaf Zussman & Noam Zussman & Morten Orregaard Nielsen, 2008. "Asset Market Perspectives on the Israeli-Palestinian Conflict," Economica, London School of Economics and Political Science, vol. 75(297), pages 84-115, 02. [Downloadable!] (restricted)

   Cited by:

   1. V. Smith & Carol Mansfield & Laurel Clayton, 2009. "Valuing a homeland security policy: Countermeasures for the threats from shoulder mounted missiles," Journal of Risk and Uncertainty, Springer, vol. 38(3), pages 215-243, June. [Downloadable!] (restricted)
   2. Timothy Besley & Hannes Mueller, 2009. "Estimating the Peace Dividend:The Impact of Violence on HousePrices in Northern Ireland," STICERD - Economic Organisation and Public Policy Discussion Papers Series 011, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
   3. Alberto Abadie & Sofia Dermisi, 2006. "Is Terrorism Eroding Agglomeration Economies in Central Business Districts? Lessons from the Office Real Estate Market in Downtown Chicago," NBER Working Papers 12678, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
      • Abadie, Alberto & Dermisi, Sofia, 2008. "Is terrorism eroding agglomeration economies in Central Business Districts? Lessons from the office real estate market in downtown Chicago," Journal of Urban Economics, Elsevier, vol. 64(2), pages 451-463, September. [Downloadable!] (restricted)
      • Abadie, Alberto & Dermisi, Sofia, 2008. "Is Terrorism Eroding Agglomeration Economies in Central Business Districts? Lessons from the Office Real Estate Market in Downtown Chicago," Working Paper Series rwp08-019, Harvard University, John F. Kennedy School of Government. [Downloadable!]
   4. V. Kerry Smith & Carol Mansfield & Laurel Clayton, 2008. "Valuing a Homeland Security Policy: Countermeasures for the Threats from Shoulder Mounted Missiles," NBER Working Papers 14325, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

3. Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-Reduced Estimation of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 496-512, Fall. [Downloadable!] (restricted)
   Other versions:
   • Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers 2008-35, School of Economics and Management, University of Aarhus. [Downloadable!]

   See citations under working paper version above.

4. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March. [Downloadable!] (restricted)

   Cited by:

   1. Francis In & Sangbae Kim & Vijaya Marisetty & Robert Faff, 2008. "Analysing the performance of managed funds using the wavelet multiscaling method," Review of Quantitative Finance and Accounting, Springer, vol. 31(1), pages 55-70, July. [Downloadable!] (restricted)
   2. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil). [Downloadable!]
      Other versions:
      • Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 10-45. [Downloadable!] (restricted)
   3. S. Sanfelici & S. Ogawa, 2008. "An improved two-step regularization scheme for spot volatility estimation," Economics Department Working Papers 2008-ME02, Department of Economics, Parma University (Italy). [Downloadable!]
   4. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," Working Papers 1173, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
      • Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers 2007-21, School of Economics and Management, University of Aarhus. [Downloadable!]

5. Haldrup, Niels & Nielsen, Morten Orregaard, 2007. "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3100-3114, March. [Downloadable!] (restricted)
   Other versions:
   • Haldrup, Niels & Nielsen, Morten Oe., . "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers 2003-10, School of Economics and Management, University of Aarhus. [Downloadable!]

   See citations under working paper version above.

6. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 684-700, 05. [Downloadable!] (restricted)
   Other versions:
   • Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," CREATES Research Papers 2007-03, School of Economics and Management, University of Aarhus. [Downloadable!]

   See citations under working paper version above.

7. Nielsen, Morten Orregaard, 2007. "Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 427-446, October. [Downloadable!] (restricted)

   Cited by:

   1. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, School of Economics and Management, University of Aarhus. [Downloadable!]

8. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December. [Downloadable!] (restricted)
   Other versions:
   • Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006. "Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach," Working Papers 1029, Queen's University, Department of Economics. [Downloadable!]

   See citations under working paper version above.

9. Niels Haldrup & Morten Ø. Nielsen, 2006. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(3). [Downloadable!]
   Other versions:
   • Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, School of Economics and Management, University of Aarhus. [Downloadable!]

   See citations under working paper version above.

10. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376. [Downloadable!] (restricted)
    Other versions:
    • Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, School of Economics and Management, University of Aarhus. [Downloadable!]

    See citations under working paper version above.

11. Christensen, Bent Jesper & Nielsen, Morten Orregaard, 2006. "Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting," Journal of Econometrics, Elsevier, vol. 133(1), pages 343-371, July. [Downloadable!] (restricted)

    Cited by:

    1. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," CREATES Research Papers 2007-03, School of Economics and Management, University of Aarhus. [Downloadable!]
       Other versions:
       • Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 684-700, 05. [Downloadable!] (restricted)
    2. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, School of Economics and Management, University of Aarhus. [Downloadable!]
    3. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics. [Downloadable!]
    4. David Berger & Alain Chaboud & Erik Hjalmarsson & Edward Howorka, 2006. "What drives volatility persistence in the foreign exchange market?," International Finance Discussion Papers 862, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    5. Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006. "Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach," Working Papers 1029, Queen's University, Department of Economics. [Downloadable!]
       Other versions:
       • Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December. [Downloadable!] (restricted)
    6. Marco Avarucci & Domenico Marinucci, 2005. "Polynomial Cointegration Among Stationary Processes With Long Memory," Economics Working Papers we055123, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    7. M. Gerolimetto & Peter M Robinson, 2006. "Instrumental Variables Estimation of Stationaryand Nonstationary Cointegrating Regressions," STICERD - Econometrics Paper Series /2006/500, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    8. Morten Ørregaard Nielsen & Per Frederiksen, 2008. "Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration," Working Papers 1171, Queen's University, Department of Economics. [Downloadable!]
    9. Afonso Gonçalves da Silva & Peter M Robinson, 2006. "Finite Sample Performance in CointegrationAnalysis of Nonlinear Time Series with LongMemory," STICERD - Econometrics Paper Series /2006/501, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
       Other versions:
       • Afonso Gonçalves da Silva & Peter Robinson, 2008. "Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 268-297. [Downloadable!] (restricted)
    10. Peter M Robinson, 2007. "Multiple Local Whittle Estimation in StationarySystems," STICERD - Econometrics Paper Series /2007/525, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]

12. Morten Ørregaard Nielsen, 2005. "Multivariate Lagrange Multiplier Tests for Fractional Integration," Journal of Financial Econometrics, Oxford University Press, vol. 3(3), pages 372-398. [Downloadable!] (restricted)
    Other versions:
    • Nielsen, Morten Oe., . "Multivariate Lagrange Multiplier Tests for Fractional Integration," Economics Working Papers 2002-18, School of Economics and Management, University of Aarhus. [Downloadable!]

    See citations under working paper version above.

13. Morten Orregaard Nielsen, 2005. "Semiparametric Estimation in Time-Series Regression with Long-Range Dependence," Journal of Time Series Analysis, Blackwell Publishing, vol. 26(2), pages 279-304, 03. [Downloadable!] (restricted)
    Other versions:
    • Nielsen, Morten Oe., . "Semiparametric Estimation in Time Series Regression with Long Range Dependence," Economics Working Papers 2002-17, School of Economics and Management, University of Aarhus. [Downloadable!]

    See citations under working paper version above.

14. Nielsen, Morten rregaard, 2004. "Efficient Likelihood Inference In Nonstationary Univariate Models," Econometric Theory, Cambridge University Press, vol. 20(01), pages 116-146, February. [Downloadable!]
    Other versions:
    • Morten Oe. Nielsen, . "Efficient Likelihold Inference in Nonstationary Univariate Models," Economics Working Papers 2001-8, School of Economics and Management, University of Aarhus. [Downloadable!]

    See citations under working paper version above.

15. Nielsen M.O., 2004. "Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 331-345, July. [Downloadable!] (restricted)
    Other versions:
    • Morten Oerregaard Nielsen, . "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers 2002-7, School of Economics and Management, University of Aarhus. [Downloadable!]

    See citations under working paper version above.

16. Brendstrup, Bjarne & Hylleberg, Svend & Nielsen, Morten Rregaard & Skipper, Lars & Stentoft, Lars, 2004. "Seasonality In Economic Models," Macroeconomic Dynamics, Cambridge University Press, vol. 8(03), pages 362-394, June. [Downloadable!]

    Cited by:

    1. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Dept. SEGeS. [Downloadable!]
       Other versions:
       • Cubadda, Gianluca & Omtzigt, Pieter, 2005. "Small-sample improvements in the statistical analysis of seasonally cointegrated systems," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 333-348, April. [Downloadable!] (restricted)
    2. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, EconWPA. [Downloadable!]
    3. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, School of Economics and Management, University of Aarhus. [Downloadable!]

17. Morten Orregaard Nielsen, 2004. "Efficient inference in multivariate fractionally integrated time series models," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 63-97, 06. [Downloadable!] (restricted)
    Other versions:
    • Morten Oerregaard Nielsen, . "Efficient Inference in Multivariate Fractionally Integrated Time Series Models," Economics Working Papers 2002-6, School of Economics and Management, University of Aarhus. [Downloadable!]

    See citations under working paper version above.

18. Nielsen, Morten Orregaard, 2004. "Spectral analysis of fractionally cointegrated systems," Economics Letters, Elsevier, vol. 83(2), pages 225-231, May. [Downloadable!] (restricted)
    Other versions:
    • Nielsen, Morten Oe., . "Spectral Analysis of Fractionally Cointegrated Systems," Economics Working Papers 2002-12, School of Economics and Management, University of Aarhus. [Downloadable!]

    See citations under working paper version above.

This page was last updated on 2009-11-25.