Access Statistics for Morten Ørregaard Nielsen

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic 2 5 42 44 11 28 101 106
A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic 0 3 14 36 0 4 37 60
A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis 2 7 31 62 11 37 146 196
A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis 0 4 29 29 1 10 41 41
A Regime Switching Long Memory Model for Electricity Prices 2 6 42 523 4 15 90 1,168
A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching 0 3 62 99 2 10 177 234
A vector autoregressive model for electricity prices subject to long memory and regime switching 11 47 47 47 34 75 75 75
Bias-reduced estimation of long memory stochastic volatility 0 2 20 40 0 5 52 83
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 2 9 34 2 8 52 81
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 10 38 129 184 16 59 229 293
Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach 1 2 18 89 3 13 53 258
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 3 12 99 1 5 29 239
Efficient Inference in Multivariate Fractionally Integrated Time Series Models 0 0 7 162 1 3 18 456
Efficient Likelihold Inference in Nonstationary Univariate Models 0 0 3 4 1 1 16 19
Estimation of Fractional Integration in the Presence of Data Noise 2 5 10 11 3 8 24 28
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration 3 4 18 18 7 14 52 52
Forecasting Exchange Rate Volatility in the Presence of Jumps 2 10 38 38 17 49 152 154
Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration 1 8 51 73 10 33 135 167
Likelihood Inference for a Nonstationary Fractional Autoregressive Model 0 2 16 73 3 12 50 124
Likelihood inference for a nonstationary fractional autoregressive model 0 1 5 11 1 4 26 34
Likelihood inference for a nonstationary fractional autoregressive model 5 15 79 114 12 39 208 264
Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence 0 1 10 92 1 4 25 256
Local Whittle Analysis of Stationary Fractional Cointegration 3 3 11 83 6 10 26 274
Local polynomial Whittle estimation of perturbed fractional processes 0 6 29 42 1 12 62 90
Local polynomial Whittle estimation of perturbed fractional processes 8 9 9 9 11 13 13 13
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model 1 2 52 99 2 7 121 158
Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model 10 27 59 59 19 58 68 68
Multivariate Lagrange Multiplier Tests for Fractional Integration 0 1 14 145 0 9 59 739
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 3 14 14 14 19 31 31 31
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 3 10 10 10 9 20 20 20
Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders 1 4 35 35 2 11 59 59
Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders 5 16 71 103 15 44 160 200
Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 2 15 160 0 3 29 453
Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data 1 3 22 260 1 13 82 1,009
Semiparametric Estimation in Time Series Regression with Long Range Dependence 0 0 6 92 1 2 18 283
Spectral Analysis of Fractionally Cointegrated Systems 2 3 8 87 2 3 13 192
The Effect of Long Memory in Volatility on Stock Market Fluctuations 2 2 16 19 3 4 46 59
The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices 10 21 80 80 26 71 252 253
The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps 8 21 62 62 32 87 309 311
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets 1 9 43 143 8 22 124 336
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets 9 25 172 192 18 73 481 491
Total Working Papers 108 346 1,420 3,576 316 929 3,761 9,427

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC 2 2 2 2 2 2 2 2
A regime switching long memory model for electricity prices 1 6 39 110 5 19 106 303
Asset Market Perspectives on the Israeli-Palestinian Conflict 0 1 16 27 3 14 77 125
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting 1 4 20 36 1 6 39 79
Bias-Reduced Estimation of Long-Memory Stochastic Volatility 1 9 11 11 2 17 21 21
Comment 1 2 5 9 1 3 12 72
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach 3 6 21 33 4 13 62 96
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 6 17 42 1 13 46 104
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 0 0 0 0 0
EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS 2 5 7 7 3 10 17 17
Efficient inference in multivariate fractionally integrated time series models 1 1 12 50 4 9 46 207
Estimation of fractional integration in the presence of data noise 5 9 23 31 6 12 32 69
Finite sample accuracy and choice of sampling frequency in integrated volatility estimation 3 11 34 48 8 22 149 182
Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation 0 3 12 16 0 6 21 34
Multivariate Lagrange Multiplier Tests for Fractional Integration 1 6 36 61 3 20 269 419
Noncontemporaneous cointegration and the importance of timing 1 2 11 25 1 3 21 85
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 4 26 48 3 7 40 94
SEASONALITY IN ECONOMIC MODELS 0 7 51 107 2 16 110 241
Semiparametric Estimation in Time-Series Regression with Long-Range Dependence 3 6 24 55 10 20 120 225
Spectral analysis of fractionally cointegrated systems 1 2 15 39 3 4 27 116
The Effect of Long Memory in Volatility on Stock Market Fluctuations 4 13 43 76 12 24 108 178
Total Journal Articles 30 105 425 833 74 240 1,325 2,669

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Statistics updated 2009-11-04