Frank S. Nielsen
Personal Details
First Name: | Frank |
Middle Name: | S. |
Last Name: | Nielsen |
Suffix: | |
RePEc Short-ID: | pni154 |
[This author has chosen not to make the email address public] | |
http://www.econ.au.dk/afn/PhD/nielsenfs.htm | |
Affiliation
(in no particular order)
Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi (Department of Economics and Business Economics)
Aarhus Universitet (Aarhus University)
Aarhus, Denmarkhttp://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)
School of Economics and Management
Institut for Økonomi (Department of Economics and Business Economics)
Aarhus Universitet (Aarhus University)
Aarhus, Denmarkhttp://www.econ.au.dk/
RePEc:edi:anaaudk (more details at EDIRC)
Research output
Jump to: Working papersWorking papers
- Frank S. Nielsen, 2009. "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers 2009-38, Department of Economics and Business Economics, Aarhus University.
- Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2008.
"Local polynomial Whittle estimation of perturbed fractional processes,"
CREATES Research Papers
2008-29, Department of Economics and Business Economics, Aarhus University.
- Frederiksen, Per & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2012. "Local polynomial Whittle estimation of perturbed fractional processes," Journal of Econometrics, Elsevier, vol. 167(2), pages 426-447.
- Frank S. Nielsen & Morten Ø. Nielsen & Per Houmann Frederiksen, 2009. "Local Polynomial Whittle Estimation Of Perturbed Fractional Processes," Working Paper 1218, Economics Department, Queen's University.
- Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, Department of Economics and Business Economics, Aarhus University.
- 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, Department of Economics and Business Economics, Aarhus University.
- Haldrup, Niels & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2010. "A vector autoregressive model for electricity prices subject to long memory and regime switching," Energy Economics, Elsevier, vol. 32(5), pages 1044-1058, September.
- Frank S. Nielsen & Morten Ø. Nielsen & Niels Haldrup, 2009. "A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching," Working Paper 1211, Economics Department, Queen's University.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Frank S. Nielsen, 2009.
"Local Whittle estimation of multivariate fractionally integrated processes,"
CREATES Research Papers
2009-38, Department of Economics and Business Economics, Aarhus University.
Cited by:
- Abry, Patrice & Didier, Gustavo, 2018. "Wavelet eigenvalue regression for n-variate operator fractional Brownian motion," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 75-104.
- Niels Haldrup & Robinson Kruse, 2014. "Discriminating between fractional integration and spurious long memory," CREATES Research Papers 2014-19, Department of Economics and Business Economics, Aarhus University.
- Kristoufek, Ladislav, 2015.
"On the interplay between short and long term memory in the power-law cross-correlations setting,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 218-222.
- Ladislav Kristoufek, 2014. "On the interplay between short and long term memory in the power-law cross-correlations setting," Papers 1409.6444, arXiv.org, revised Dec 2014.
- Paulo M.M. Rodrigues & Marina Balboa, 2021.
"Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume,"
Working Papers
w202102, Banco de Portugal, Economics and Research Department.
- Balboa, Marina & Rodrigues, Paulo MM & Rubia, Antonio & Taylor, AM Robert, 2021. "Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume," Essex Finance Centre Working Papers 29777, University of Essex, Essex Business School.
- Marina Balboa & Paulo M. M. Rodrigues & Antonio Rubia & A. M. Robert Taylor, 2021. "Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 544-565, August.
- de Truchis, Gilles, 2013.
"Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue,"
Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
- Gilles de Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," Working Papers halshs-00793220, HAL.
- Gilles De Truchis, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Post-Print hal-01498262, HAL.
- Gilles de Truchis, 2012. "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," AMSE Working Papers 1220, Aix-Marseille School of Economics, France.
- Kristoufek, Ladislav, 2013.
"Mixed-correlated ARFIMA processes for power-law cross-correlations,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6484-6493.
- Ladislav Kristoufek, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Papers 1307.6046, arXiv.org, revised Aug 2013.
- Zouhaier Dhifaoui, 2021. "Robustness of Detrended Cross-correlation Analysis Method Under Outliers Observations," Working Papers hal-03411380, HAL.
- Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2008.
"Local polynomial Whittle estimation of perturbed fractional processes,"
CREATES Research Papers
2008-29, Department of Economics and Business Economics, Aarhus University.
- Frederiksen, Per & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2012. "Local polynomial Whittle estimation of perturbed fractional processes," Journal of Econometrics, Elsevier, vol. 167(2), pages 426-447.
- Frank S. Nielsen & Morten Ø. Nielsen & Per Houmann Frederiksen, 2009. "Local Polynomial Whittle Estimation Of Perturbed Fractional Processes," Working Paper 1218, Economics Department, Queen's University.
Cited by:
- Per Frederiksen & Morten Orregaard Nielsen, 2008.
"Bias-Reduced Estimation of Long-Memory Stochastic Volatility,"
Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 496-512, Fall.
- Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers 2008-35, Department of Economics and Business Economics, Aarhus University.
- Mccloskey, Adam & Perron, Pierre, 2013.
"Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends,"
Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
- Pierre Perron & Adam McCloskey, 2010. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Boston University - Department of Economics - Working Papers Series WP2010-048, Boston University - Department of Economics.
- Adam McCloskey & Pierre Perron, 2012. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Working Papers 2012-15, Brown University, Department of Economics.
- Andersen, Torben G. & Varneskov, Rasmus T., 2022.
"Testing for parameter instability and structural change in persistent predictive regressions,"
Journal of Econometrics, Elsevier, vol. 231(2), pages 361-386.
- Torben G. Andersen & Rasmus T. Varneskov, 2021. "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers 28570, National Bureau of Economic Research, Inc.
- Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
- Robinson Kruse & Christian Leschinski & Michael Will, 2016.
"Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting,"
CREATES Research Papers
2016-17, Department of Economics and Business Economics, Aarhus University.
- Kruse, Robinson & Leschinski, Christian & Will, Michael, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," Hannover Economic Papers (HEP) dp-571, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Hou, Jie & Perron, Pierre, 2014. "Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations," Journal of Econometrics, Elsevier, vol. 182(2), pages 309-328.
- Sibbertsen, Philipp & Leschinski, Christian & Busch, Marie, 2018.
"A multivariate test against spurious long memory,"
Journal of Econometrics, Elsevier, vol. 203(1), pages 33-49.
- Sibbertsen, Philipp & Leschinski, Christian & Holzhausen, Marie, 2015. "A Multivariate Test Against Spurious Long Memory," Hannover Economic Papers (HEP) dp-547, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.
- Marcel Aloy & Gilles de Truchis, 2015.
"Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities,"
Post-Print
hal-01410660, HAL.
- Marcel Aloy & Gilles Truchis, 2016. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 83-104, June.
- Marcel Aloy & Gilles De Truchis, 2016. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Post-Print hal-01447864, HAL.
- Dominique Guegan & Zhiping Lu & Beijia Zhu, 2012. "Comparaison of Several Estimation Procedures for Long Term Behavior," Post-Print halshs-00673934, HAL.
- Frank S. Nielsen, 2009. "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers 2009-38, Department of Economics and Business Economics, Aarhus University.
- Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2019. "The Memory of Beta Factors," Hannover Economic Papers (HEP) dp-661, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Torben G. Andersen & Rasmus T. Varneskov, 2021.
"Consistent Inference for Predictive Regressions in Persistent Economic Systems,"
NBER Working Papers
28568, National Bureau of Economic Research, Inc.
- Andersen, Torben G. & Varneskov, Rasmus T., 2021. "Consistent inference for predictive regressions in persistent economic systems," Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
- Leschinski, Christian, 2017.
"On the memory of products of long range dependent time series,"
Economics Letters, Elsevier, vol. 153(C), pages 72-76.
- Leschinski, Christian, 2016. "On the Memory of Products of Long Range Dependent Time Series," Hannover Economic Papers (HEP) dp-569, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Javier Haulde & Morten Ørregaard Nielsen, 2022.
"Fractional integration and cointegration,"
CREATES Research Papers
2022-02, Department of Economics and Business Economics, Aarhus University.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
- Dominique Guegan & Zhiping Lu & BeiJia Zhu, 2012.
"Comparaison of several estimation procedures for long term behavior,"
Documents de travail du Centre d'Economie de la Sorbonne
12008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guegan & Zhiping Lu & Beijia Zhu, 2012. "Comparaison of Several Estimation Procedures for Long Term Behavior," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00673934, HAL.
- Eduardo Rossi & Paolo Santucci de Magistris, 2011.
"Estimation of long memory in integrated variance,"
CREATES Research Papers
2011-11, Department of Economics and Business Economics, Aarhus University.
- Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Estimation of Long Memory in Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 785-814, October.
- Eduardo Rossi & Paolo Santucci de Magistris, 2012. "Estimation of long memory in integrated variance," DEM Working Papers Series 017, University of Pavia, Department of Economics and Management.
- Frank S. Nielsen, 2011. "Local Whittle estimation of multi‐variate fractionally integrated processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 317-335, May.
- Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, Department of Economics and Business Economics, Aarhus University.
- Busch, Marie & Sibbertsen, Philipp, 2018.
"An Overview of Modified Semiparametric Memory Estimation Methods,"
Hannover Economic Papers (HEP)
dp-628, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Marie Busch & Philipp Sibbertsen, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, vol. 6(1), pages 1-21, March.
- Gilles de Truchis & Benjamin Keddad, 2014.
"On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates,"
AMSE Working Papers
1421, Aix-Marseille School of Economics, France, revised May 2014.
- Gilles de Truchis & Benjamin Keddad, 2014. "On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates," Working Papers halshs-00999225, HAL.
- de Truchis, Gilles & Keddad, Benjamin, 2016. "On the risk comovements between the crude oil market and U.S. dollar exchange rates," Economic Modelling, Elsevier, vol. 52(PA), pages 206-215.
- Gilles De Truchis & Benjamin Keddad, 2016. "On the risk comovements between the crude oil market and U.S. dollar exchange rates," Post-Print hal-01447859, HAL.
- Gilles de Truchis & Benjamin Keddad, 2014. "On the risk comovements between the crude oil market and the U.S. dollar exchange rates," Working Papers 2014-383, Department of Research, Ipag Business School.
- Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
- Torben G. Andersen & Rasmus T. Varneskov, 2018. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.
- Stelios Arvanitis & Antonis Demos, 2014.
"A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised),"
DEOS Working Papers
1411, Athens University of Economics and Business, revised 23 Sep 2014.
- Stelios Arvanitis & Antonis Demos, 2015. "A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 200-241, June.
- Lasak, Katarzyna, 2010.
"Likelihood based testing for no fractional cointegration,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
- Katarzyna Lasak, 2008. "Likelihood based testing for no fractional cointegration," CREATES Research Papers 2008-52, Department of Economics and Business Economics, Aarhus University.
- Less, Vivien & Sibbertsen, Philipp, 2022. "Estimation and Testing in a Perturbed Multivariate Long Memory Framework," Hannover Economic Papers (HEP) dp-704, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," Working Papers hal-04141871, HAL.
- Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, Department of Economics and Business Economics, Aarhus University.
- Shi, Wendong & Sun, Jingwei, 2016. "Aggregation and long-memory: An analysis based on the discrete Fourier transform," Economic Modelling, Elsevier, vol. 53(C), pages 470-476.
- Gilles de Truchis & Florent Dubois & Elena Ivona Dumitrescu, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," Working Papers hal-04141882, HAL.
- García-Enríquez, Javier & Hualde, Javier, 2019. "Local Whittle estimation of long memory: Standard versus bias-reducing techniques," Econometrics and Statistics, Elsevier, vol. 12(C), pages 66-77.
- Gilles de Truchis & Elena Ivona Dumitrescu & Florent Dubois, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," EconomiX Working Papers 2019-15, University of Paris Nanterre, EconomiX.
- Frank S. Nielsen, 2008.
"Local polynomial Whittle estimation covering non-stationary fractional processes,"
CREATES Research Papers
2008-28, Department of Economics and Business Economics, Aarhus University.
Cited by:
- Dominique Guegan & Zhiping Lu & Beijia Zhu, 2012. "Comparaison of Several Estimation Procedures for Long Term Behavior," Post-Print halshs-00673934, HAL.
- Frank S. Nielsen, 2009. "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers 2009-38, Department of Economics and Business Economics, Aarhus University.
- Dominique Guegan & Zhiping Lu & BeiJia Zhu, 2012.
"Comparaison of several estimation procedures for long term behavior,"
Documents de travail du Centre d'Economie de la Sorbonne
12008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guegan & Zhiping Lu & Beijia Zhu, 2012. "Comparaison of Several Estimation Procedures for Long Term Behavior," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00673934, HAL.
- Eduardo Rossi & Paolo Santucci de Magistris, 2011.
"Estimation of long memory in integrated variance,"
CREATES Research Papers
2011-11, Department of Economics and Business Economics, Aarhus University.
- Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Estimation of Long Memory in Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 785-814, October.
- Eduardo Rossi & Paolo Santucci de Magistris, 2012. "Estimation of long memory in integrated variance," DEM Working Papers Series 017, University of Pavia, Department of Economics and Management.
- Frank S. Nielsen, 2011. "Local Whittle estimation of multi‐variate fractionally integrated processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 317-335, May.
- Stelios Arvanitis & Antonis Demos, 2014.
"A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised),"
DEOS Working Papers
1411, Athens University of Economics and Business, revised 23 Sep 2014.
- Stelios Arvanitis & Antonis Demos, 2015. "A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 200-241, June.
- Lasak, Katarzyna, 2010.
"Likelihood based testing for no fractional cointegration,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
- Katarzyna Lasak, 2008. "Likelihood based testing for no fractional cointegration," CREATES Research Papers 2008-52, Department of Economics and Business Economics, Aarhus University.
- Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, Department of Economics and Business Economics, Aarhus University.
- 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, Department of Economics and Business Economics, Aarhus University.
- Haldrup, Niels & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2010. "A vector autoregressive model for electricity prices subject to long memory and regime switching," Energy Economics, Elsevier, vol. 32(5), pages 1044-1058, September.
- Frank S. Nielsen & Morten Ø. Nielsen & Niels Haldrup, 2009. "A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching," Working Paper 1211, Economics Department, Queen's University.
Cited by:
- Afanasyev, Dmitriy & Fedorova, Elena, 2015. "The long-term trends on Russian electricity market: comparison of empirical mode and wavelet decompositions," MPRA Paper 62391, University Library of Munich, Germany.
- Afanasyev, Dmitriy O. & Fedorova, Elena A. & Popov, Viktor U., 2015.
"Fine structure of the price–demand relationship in the electricity market: Multi-scale correlation analysis,"
Energy Economics, Elsevier, vol. 51(C), pages 215-226.
- Afanasyev, Dmitriy & Fedorova, Elena & Popov, Viktor, 2014. "Fine structure of the price-demand relationship in the electricity market: multi-scale correlation analysis," MPRA Paper 58827, University Library of Munich, Germany.
- Luis A. Gil-Alana & Rangan Gupta, 2013.
"Persistence and Cycles in Historical Oil Prices Data,"
Working Papers
201375, University of Pretoria, Department of Economics.
- Gil-Alana, Luis A. & Gupta, Rangan, 2014. "Persistence and cycles in historical oil price data," Energy Economics, Elsevier, vol. 45(C), pages 511-516.
- Machin, Stephen & Marie, Olivier & Vujic, Suncica, 2012.
"Youth Crime and Education Expansion,"
IZA Discussion Papers
6582, Institute of Labor Economics (IZA).
- Machin, S. & Marie, O. & Vujic, S., 2012. "Youth crime and education expansion," ROA Research Memorandum 009, Maastricht University, Research Centre for Education and the Labour Market (ROA).
- Machin Stephen & Vujić Sunčica & Marie Olivier, 2012. "Youth Crime and Education Expansion," German Economic Review, De Gruyter, vol. 13(4), pages 366-384, December.
- Stephen Machin & Olivier Marie & Sunčica Vujić, 2012. "Youth Crime and Education Expansion," German Economic Review, Verein für Socialpolitik, vol. 13(4), pages 366-384, November.
- Machin, S. & Marie, O. & Vujic, S., 2012. "Youth crime and education expansion," Research Memorandum 036, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Angelica Gianfreda & Luigi Grossi, 2011.
"Forecasting Italian Electricity Zonal Prices with Exogenous Variables,"
Working Papers
01/2011, University of Verona, Department of Economics.
- Gianfreda, Angelica & Grossi, Luigi, 2012. "Forecasting Italian electricity zonal prices with exogenous variables," Energy Economics, Elsevier, vol. 34(6), pages 2228-2239.
- Pircalabu, A. & Benth, F.E., 2017. "A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets," Energy Economics, Elsevier, vol. 68(C), pages 283-302.
- Д.О. Афанасьев1 & * & Е.А. Федорова2 & **, 2019. "Краткосрочное Прогнозирование Цены Электроэнергии На Российском Рынке С Использованием Класса Моделей Scarx," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 55(1), pages 68-84, январь.
- Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013.
"Robust estimation and forecasting of the long-term seasonal component of electricity spot prices,"
Energy Economics, Elsevier, vol. 39(C), pages 13-27.
- Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2012. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," HSC Research Reports HSC/12/06, Hugo Steinhaus Center, Wroclaw University of Technology.
- Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafal, 2012. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," MPRA Paper 42563, University Library of Munich, Germany.
- António Rua & Paulo M.M. Rodrigues & João Pedro Pereira, 2016.
"Market integration and the persistence of electricity prices,"
Working Papers
w201609, Banco de Portugal, Economics and Research Department.
- João Pedro Pereira & Vasco Pesquita & Paulo M. M. Rodrigues & António Rua, 2019. "Market integration and the persistence of electricity prices," Empirical Economics, Springer, vol. 57(5), pages 1495-1514, November.
- Eichler, M. & Türk, D., 2013. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Energy Economics, Elsevier, vol. 36(C), pages 614-624.
- Javier Sánchez García & Salvador Cruz Rambaud, 2022. "Machine Learning Regularization Methods in High-Dimensional Monetary and Financial VARs," Mathematics, MDPI, vol. 10(6), pages 1-15, March.
- Dark, Jonathan, 2024. "An adaptive long memory conditional correlation model," Journal of Empirical Finance, Elsevier, vol. 75(C).
- Nima Nonejad, 2019. "Modeling Persistence and Parameter Instability in Historical Crude Oil Price Data Using a Gibbs Sampling Approach," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1687-1710, April.
- Ehsani, Behdad & Pineau, Pierre-Olivier & Charlin, Laurent, 2024. "Price forecasting in the Ontario electricity market via TriConvGRU hybrid model: Univariate vs. multivariate frameworks," Applied Energy, Elsevier, vol. 359(C).
- Michel Culot & Valérie Goffin & Steve Lawford & Sébastien de Meten & Yves Smeers, 2013. "Practical stochastic modelling of electricity prices," Post-Print hal-01021603, HAL.
- Dmitriy O. Afanasyev & Elena A. Fedorova & Evgeniy V. Gilenko, 2021. "The fundamental drivers of electricity price: a multi-scale adaptive regression analysis," Empirical Economics, Springer, vol. 60(4), pages 1913-1938, April.
- Janczura, Joanna & Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2012.
"Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling,"
MPRA Paper
39277, University Library of Munich, Germany.
- Janczura, Joanna & Trück, Stefan & Weron, Rafał & Wolff, Rodney C., 2013. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," Energy Economics, Elsevier, vol. 38(C), pages 96-110.
- Zachmann, Georg, 2013. "A stochastic fuel switching model for electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 5-13.
- Eichler, M. & Türk, D.D.T., 2012. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Research Memorandum 035, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Lovcha, Yuliya & Pérez Laborda, Àlex, 2016.
"Structural shocks and dinamic elasticities in a long memory model of the US gasoline retail market,"
Working Papers
2072/261538, Universitat Rovira i Virgili, Department of Economics.
- Yuliya Lovcha & Alejandro Perez-Laborda, 2017. "Structural shocks and dynamic elasticities in a long memory model of the US gasoline retail market," Empirical Economics, Springer, vol. 53(2), pages 405-422, September.
- Ergemen, Yunus Emre & Haldrup, Niels & Rodríguez-Caballero, Carlos Vladimir, 2016.
"Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads,"
Energy Economics, Elsevier, vol. 60(C), pages 79-96.
- Yunus Emre Ergemen & Niels Haldrup & Carlos Vladimir Rodríguez-Caballero, 2015. "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," CREATES Research Papers 2015-58, Department of Economics and Business Economics, Aarhus University.
- Barrientos Marín, Jorge Hugo & Toro Martínez, Mónica, 2017.
"Sobre los fundamentales del precio de la energía eléctrica : evidencia empírica para Colombia,"
Borradores Departamento de Economía
17497, Universidad de Antioquia, CIE.
- Jorge Barrientos Marín & Mónica Toro Martínez, 2016. "Sobre Los Fundamentales Del Precio De La Energía Eléctrica: Evidencia Empírica Para Colombia," Grupo Microeconomía Aplicada 74, Universidad de Antioquia, Departamento de Economía.
- Girum Dagnachew Abate & Niels Haldrup, 2017.
"Space-time modeling of electricity spot prices,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
- Girum D. Abate & Niels Haldrup, 2015. "Space-time modeling of electricity spot prices," CREATES Research Papers 2015-22, Department of Economics and Business Economics, Aarhus University.
- Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon, 2015.
"Time-varying effect of oil market shocks on the stock market,"
CAMA Working Papers
2015-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2015. "Time-varying effect of oil market shocks on the stock market," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 150-163.
- Afanasyev, D. & Fedorova, E., 2018. "External and Internal Determinants on the Electricity Market: A Multi-Scale Adaptive Causal Analysis," Journal of the New Economic Association, New Economic Association, vol. 39(3), pages 33-54.
- Eduardo Rossi & Paolo Santucci de Magistris, 2013. "A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(1), pages 77-102, January.
- Xu, Weijun & Sun, Qi & Xiao, Weilin, 2012. "A new energy model to capture the behavior of energy price processes," Economic Modelling, Elsevier, vol. 29(5), pages 1585-1591.
- Jorge Barrientos Marín & Mónica Toro Martínez, 2017. "Análisis de los fundamentales del precio de la energía eléctrica: evidencia empírica para Colombia," Revista de Economía del Caribe 17148, Universidad del Norte.
- Massimiliano Caporin & Fulvio Fontini & Paolo Santucci De Magistris, 2017. "Price convergence within and between the Italian electricity day-ahead and dispatching services markets," "Marco Fanno" Working Papers 0215, Dipartimento di Scienze Economiche "Marco Fanno".
- Martin de Lagarde, Cyril & Lantz, Frédéric, 2018. "How renewable production depresses electricity prices: Evidence from the German market," Energy Policy, Elsevier, vol. 117(C), pages 263-277.
- Taewoon Kong & Dongguen Choi & Geonseok Lee & Kichun Lee, 2021. "Air Pollution Prediction Using an Ensemble of Dynamic Transfer Models for Multivariate Time Series," Sustainability, MDPI, vol. 13(3), pages 1-17, January.
- Joanna Janczura, 2014. "Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 1-30, February.
- Lehna, Malte & Scheller, Fabian & Herwartz, Helmut, 2022. "Forecasting day-ahead electricity prices: A comparison of time series and neural network models taking external regressors into account," Energy Economics, Elsevier, vol. 106(C).
- Florian Ziel & Rafal Weron, 2016. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models," HSC Research Reports HSC/16/08, Hugo Steinhaus Center, Wroclaw University of Technology.
- Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, Department of Economics and Business Economics, Aarhus University.
- Antoine Ferré & Guillaume de Certaines & Jérôme Cazelles & Tancrède Cohet & Arash Farnoosh & Frédéric Lantz, 2021. "Short-term electricity price forecastingmodels comparative analysis : Machine Learning vs. Econometrics," Working Papers hal-03262208, HAL.
- Dias, José G. & Ramos, Sofia B., 2014. "Heterogeneous price dynamics in U.S. regional electricity markets," Energy Economics, Elsevier, vol. 46(C), pages 453-463.
- Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2014. "The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 5-20.
- Monjazeb, Mohammad Reza & Amiri, Hossein & Movahedi, Akram, 2024. "Wholesale electricity price forecasting by Quantile Regression and Kalman Filter method," Energy, Elsevier, vol. 290(C).
- Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019. "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers 2019-23, Department of Economics and Business Economics, Aarhus University.
- Ziel, Florian & Weron, Rafał, 2018.
"Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks,"
Energy Economics, Elsevier, vol. 70(C), pages 396-420.
- Florian Ziel & Rafal Weron, 2018. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks," Papers 1805.06649, arXiv.org.
- Afanasyev, Dmitriy O. & Fedorova, Elena A., 2016. "The long-term trends on the electricity markets: Comparison of empirical mode and wavelet decompositions," Energy Economics, Elsevier, vol. 56(C), pages 432-442.
- Sun, Qi & Xu, Weijun & Xiao, Weilin, 2013. "An empirical estimation for mean-reverting coal prices with long memory," Economic Modelling, Elsevier, vol. 33(C), pages 174-181.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (5) 2008-06-27 2008-06-27 2009-08-22 2009-09-19 2009-10-10. Author is listed
- NEP-ETS: Econometric Time Series (4) 2008-06-27 2008-06-27 2009-09-19 2009-10-10
- NEP-ENE: Energy Economics (2) 2008-06-27 2009-08-22
- NEP-ORE: Operations Research (2) 2008-06-27 2009-10-10
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