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 Fast Fractional Difference Algorithm 0 0 0 241 3 5 10 561
A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support 0 0 0 182 5 9 23 410
A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets 0 0 0 92 2 5 13 273
A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets 0 0 0 190 2 5 14 427
A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model 0 1 17 1,140 2 7 43 2,104
A Necessary Moment Condition For The Fractional Functional Central Limit Theorem 0 0 0 62 1 8 19 191
A Necessary Moment Condition for the Fractional Functional Central Limit Theorem 0 0 0 25 3 3 5 149
A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic 0 0 0 79 3 4 13 286
A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic 0 0 0 59 3 3 7 162
A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis 0 0 0 116 3 4 7 495
A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis 0 0 0 37 2 5 14 157
A Regime Switching Long Memory Model for Electricity Prices 0 0 0 632 1 1 15 1,474
A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching 0 0 0 271 3 8 16 775
A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching 0 0 0 132 0 4 10 398
A fast fractional difference algorithm 1 1 1 44 2 5 18 150
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 0 54 2 3 13 111
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets 0 0 0 42 2 4 8 136
A necessary moment condition for the fractional functional central limit theorem 0 0 0 15 1 2 12 78
Adaptive Inference In Heteroskedastic Fractional Time Series Models 0 0 0 188 4 6 13 348
Adaptive Inference in Heteroskedastic Fractional Time Series Models 0 1 3 11 2 3 9 47
Asset Market Perspectives on the Israeli-Palestinian Conflict 0 0 0 6 3 3 7 35
Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors 0 1 3 281 3 8 34 569
Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors 0 1 1 14 1 2 12 82
Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models 0 0 1 212 1 1 13 426
Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models 0 0 0 23 3 4 10 65
Bias-reduced estimation of long memory stochastic volatility 0 0 0 63 2 4 15 208
Bootstrap And Asymptotic Inference With Multiway Clustering 0 0 2 240 7 11 34 503
Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets 0 0 0 178 4 6 11 414
Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets 0 0 0 45 2 5 11 99
Bootstrap inference in the presence of bias 1 4 23 113 5 9 56 261
Cluster-Robust Inference: A Guide to Empirical Practice 0 0 0 13 2 3 19 50
Cluster-Robust Inference: A Guide to Empirical Practice 2 6 21 453 8 16 69 911
Cluster-Robust Inference: A Guide to Empirical Practice 0 1 2 25 2 6 28 89
Cluster-Robust Jackknife and Bootstrap Inference for Binary Response Models 0 0 2 5 4 4 17 26
Cluster-robust jackknife and bootstrap inference for logistic regression models 0 2 18 34 2 6 61 98
Cluster–robust inference: A guide to empirical practice 0 0 1 21 4 28 57 135
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 2 3 7 304
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 4 5 21 947
Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach 0 0 0 164 3 8 21 544
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 133 3 4 7 370
Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model 0 0 1 230 4 5 15 569
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 0 0 0 8 1 4 11 64
Efficient Inference in Multivariate Fractionally Integrated Time Series Models 0 0 0 188 0 2 5 547
Efficient Likelihold Inference in Nonstationary Univariate Models 0 0 0 21 4 8 13 121
Estimation of Fractional Integration in the Presence of Data Noise 0 0 0 35 3 5 15 142
Fast And Wild: Bootstrap Inference In Stata Using Boottest 5 18 64 1,099 43 122 361 3,548
Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference 0 0 0 5 3 5 13 37
Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference 1 3 7 140 6 16 33 285
Fast and Wild: Bootstrap Inference in Stata Using boottest 0 2 4 49 14 22 43 247
Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model 0 0 0 791 3 6 15 1,723
Finite Sample Accuracy Of Integrated Volatility Estimators 0 0 0 23 1 4 11 142
Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration 0 0 0 73 4 5 13 316
Forecasting Exchange Rate Volatility In The Presence Of Jumps 0 0 0 144 1 2 8 578
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 0 1 196 5 5 12 487
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 0 0 36 1 4 13 94
Fractional integration and cointegration 1 3 5 22 5 45 102 139
Fractional integration and cointegration 0 1 1 137 3 5 20 120
Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration 0 0 0 12 0 1 7 58
Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration 0 0 0 105 3 6 15 367
Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration 0 0 0 50 0 1 5 162
Improved Inference for CSDID Using the Cluster Jackknife 3 13 13 13 12 40 40 40
Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model 0 0 0 48 6 7 9 189
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 0 16 2 3 8 91
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 0 49 1 1 13 145
Improved inference for nonparametric regression and regression-discontinuity designs 5 14 26 26 12 36 64 64
Inference on common trends in functional time series 0 1 14 37 3 10 35 79
Inference on the dimension of the nonstationary subspace in functional time series 0 0 0 11 0 2 4 29
Inference on the dimension of the nonstationary subspace in functional time series 0 0 0 267 1 4 11 592
Jackknife Inference with Two-Way Clustering 0 0 1 8 3 5 13 35
Jackknife inference with two-way clustering 0 1 17 42 1 4 37 89
Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust 0 0 0 20 3 3 11 57
Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust 0 0 1 74 2 3 14 157
Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model 0 0 1 326 1 19 43 602
Likelihood Inference For A Nonstationary Fractional Autoregressive Model 0 0 0 223 1 1 7 563
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 0 0 0 47 4 6 21 199
Likelihood Inference for a Nonstationary Fractional Autoregressive Model 0 0 0 110 2 2 12 272
Likelihood inference for a fractionally cointegrated vector autoregressive model 0 0 0 123 3 5 11 213
Likelihood inference for a nonstationary fractional autoregressive model 0 0 0 29 0 0 6 105
Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence 0 0 0 105 0 0 4 335
Local Polynomial Whittle Estimation Of Perturbed Fractional Processes 0 0 0 79 3 7 11 237
Local Whittle Analysis of Stationary Fractional Cointegration 0 0 0 110 0 1 7 400
Local polynomial Whittle estimation of perturbed fractional processes 0 0 0 54 0 2 9 173
Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model 0 0 0 197 0 2 9 519
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model 0 0 0 141 2 3 10 330
Multivariate Lagrange Multiplier Tests for Fractional Integration 0 0 2 171 0 4 9 883
Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots 0 0 0 37 5 6 14 172
Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis 0 0 0 184 4 6 13 424
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 0 17 3 8 12 85
Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order 0 0 2 96 2 3 8 143
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 0 0 0 34 3 4 10 128
Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders 0 0 0 146 1 2 11 397
Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders 0 0 0 68 3 4 11 180
Nonstationary Cointegration In The Fractionally Cointegrated Var Model 0 0 0 134 1 1 6 230
Nonstationary cointegration in the fractionally cointegrated VAR model 0 1 2 14 3 5 14 58
Nonstationary cointegration in the fractionally cointegrated VAR model 0 0 0 35 4 5 13 68
Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests 0 0 4 501 5 6 17 963
Numerical distribution functions of fractional unit root and cointegration tests 0 0 0 58 3 5 7 140
Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 0 0 176 1 4 10 535
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 26 3 5 12 62
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 0 0 0 224 10 13 21 464
Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data 0 0 0 300 2 2 5 1,186
Semiparametric Estimation in Time Series Regression with Long Range Dependence 0 0 0 115 3 4 10 439
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 0 0 60 3 4 11 129
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 1 2 9 0 3 22 49
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 0 1 3 3 4 12 21
Spectral Analysis of Fractionally Cointegrated Systems 0 0 0 110 4 4 8 273
Testing The Cvar In The Fractional Cvar Model 0 0 1 75 1 2 9 107
Testing for the appropriate level of clustering in linear regression models 0 0 0 19 3 4 16 51
Testing for the appropriate level of clustering in linear regression models 0 0 2 386 7 9 24 847
Testing the CVAR in the fractional CVAR model 0 0 0 6 1 7 13 56
Testing the CVAR in the fractional CVAR model 0 0 0 19 4 5 12 58
The Cointegrated Vector Autoregressive Model With General Deterministic Terms 0 0 1 84 1 4 11 160
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 0 0 82 0 4 10 257
The Global Carbon Budget as a cointegrated system 1 3 19 53 2 8 47 89
The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect 0 0 0 115 3 4 13 433
The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices 0 0 0 195 7 8 13 760
The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps 0 0 1 212 1 1 23 1,150
The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets 0 1 3 387 3 7 23 1,204
The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models 0 0 0 217 4 5 23 448
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets 0 0 1 215 3 3 14 622
The cointegrated vector autoregressive model with general deterministic terms 0 0 0 63 0 1 7 68
The cointegrated vector autoregressive model with general deterministic terms 0 0 0 11 2 5 10 64
The impact of financial crises on the risk-return tradeoff and the leverage effect 0 0 0 89 1 2 11 341
The role of initial values in nonstationary fractional time series models 0 0 0 17 3 5 7 77
The role of initial values in nonstationary fractional time series models 0 0 0 32 1 3 7 77
To infinity and beyond: Efficient computation of ARCH(1) models 0 1 1 180 2 6 11 39
To infinity and beyond: Efficient computation of ARCH(\infty) models 0 0 0 102 1 9 16 148
Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends 0 0 0 112 3 5 12 191
Truncated sum of squares estimation of fractional time series models with deterministic trends 0 1 1 10 3 5 6 38
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend 0 0 0 41 1 4 10 78
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend 0 1 1 8 1 2 9 33
Validity Of Wild Bootstrap Inference With Clustered Errors 0 0 0 115 2 2 15 209
Weak convergence to derivatives of fractional Brownian motion 0 0 3 16 3 7 17 56
Wild Bootstrap and Asymptotic Inference with Multiway Clustering 0 1 1 22 3 5 14 69
Wild Bootstrap and Asymptotic Inference with Multiway Clustering 0 0 4 167 2 2 24 374
Total Working Papers 20 84 303 17,156 411 905 2,614 45,262

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A FAST FRACTIONAL DIFFERENCE ALGORITHM 0 2 5 134 1 9 31 344
A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets 0 0 1 88 3 6 17 251
A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM 0 0 0 48 0 2 18 238
A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC 0 0 0 63 3 3 14 198
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 0 108 5 8 12 264
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 0 4 2 4 11 36
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets 0 0 2 62 1 4 14 242
A regime switching long memory model for electricity prices 0 0 1 346 4 5 79 999
A vector autoregressive model for electricity prices subject to long memory and regime switching 0 0 2 97 2 5 14 332
Adaptive Inference in Heteroscedastic Fractional Time Series Models 0 0 1 21 3 3 8 53
Asset Market Perspectives on the Israeli–Palestinian Conflict 0 0 2 92 2 4 19 388
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting 0 0 0 179 4 4 11 435
Asymptotic theory and wild bootstrap inference with clustered errors 1 3 8 55 5 10 34 174
Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models 0 0 0 41 0 2 13 128
Bias-Reduced Estimation of Long-Memory Stochastic Volatility 0 0 1 52 2 5 12 190
Bootstrap Inference in the Presence of Bias 0 1 13 17 6 13 48 61
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets 0 0 1 65 5 10 17 214
Cluster-robust inference: A guide to empirical practice 1 2 8 48 7 11 63 183
Comment 0 0 0 29 2 3 5 150
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 1 170 4 5 40 617
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach 0 0 0 249 2 5 13 707
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 96 2 3 19 291
EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS 0 0 1 56 4 5 11 169
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 0 0 1 43 6 7 13 154
Efficient inference in multivariate fractionally integrated time series models 0 0 0 83 2 4 8 337
Estimation of fractional integration in the presence of data noise 0 0 0 104 0 3 16 271
Fast and reliable jackknife and bootstrap methods for cluster‐robust inference 0 1 5 14 4 10 30 66
Fast and wild: Bootstrap inference in Stata using boottest 3 8 31 177 14 44 167 708
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration 0 0 1 62 1 4 21 264
Finite sample accuracy and choice of sampling frequency in integrated volatility estimation 0 0 0 117 5 6 14 496
Forecasting daily political opinion polls using the fractionally cointegrated vector auto‐regressive model 0 0 2 81 1 2 14 233
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 0 8 3 4 7 39
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 0 100 0 0 5 331
INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES 0 0 3 11 0 4 13 39
Improved likelihood ratio tests for cointegration rank in the VAR model 0 0 0 29 2 4 13 138
Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust 1 1 1 13 2 2 44 77
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 0 0 11 643 0 7 45 1,576
Likelihood inference for a nonstationary fractional autoregressive model 0 0 0 81 2 9 26 244
Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation 0 0 0 66 1 1 8 187
Local empirical spectral measure of multivariate processes with long range dependence 0 0 0 17 1 2 9 78
Local polynomial Whittle estimation of perturbed fractional processes 0 0 1 44 0 1 9 250
Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model 0 0 2 124 3 7 19 434
Multivariate Lagrange Multiplier Tests for Fractional Integration 0 0 1 136 5 5 12 786
NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS 0 0 4 99 2 4 20 241
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 0 29 4 6 13 143
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 0 0 1 151 1 3 17 528
Noncontemporaneous cointegration and the importance of timing 0 0 0 49 1 1 5 167
Nonparametric cointegration analysis of fractional systems with unknown integration orders 0 0 2 245 4 4 12 615
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model 0 0 1 25 1 1 8 89
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 0 1 86 5 5 13 220
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 0 0 0 49 3 6 23 198
Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence 0 0 0 93 1 2 11 369
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 0 2 19 3 6 20 70
Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction 0 0 0 7 1 1 5 34
Spectral analysis of fractionally cointegrated systems 0 1 2 104 2 6 11 301
THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS 0 0 1 35 2 9 23 126
TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS 0 1 1 29 0 5 22 76
Testing for the appropriate level of clustering in linear regression models 0 0 3 15 2 3 22 62
Testing the CVAR in the Fractional CVAR Model 0 0 0 29 0 2 13 131
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 0 0 202 0 0 14 629
The cointegrated vector autoregressive model with general deterministic terms 0 0 2 50 3 5 15 202
The impact of financial crises on the risk–return tradeoff and the leverage effect 0 0 1 31 1 1 6 134
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets 2 2 5 403 9 13 39 1,446
To infinity and beyond: Efficient computation of ARCH(∞) models 0 1 1 26 2 5 12 172
Wild Bootstrap and Asymptotic Inference With Multiway Clustering 0 1 5 24 2 8 40 111
Total Journal Articles 8 24 138 5,873 170 351 1,380 19,436

Software Item File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
LOGITJACK: Stata module to provide cluster robust inference for logit models 0 1 4 14 5 11 39 97
SUMMCLUST: Stata module to compute cluster level measures of leverage, influence, and a cluster jackknife variance estimator 0 1 4 46 2 9 41 229
Total Software Items 0 2 8 60 7 20 80 326

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-05-06