Access Statistics for Morten Ørregaard Nielsen

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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 0 2 8 558
A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support 0 0 0 182 1 8 18 405
A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets 0 0 0 92 2 7 11 271
A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets 0 0 0 190 3 5 12 425
A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model 1 4 20 1,140 3 15 47 2,102
A Necessary Moment Condition For The Fractional Functional Central Limit Theorem 0 0 0 62 2 14 18 190
A Necessary Moment Condition for the Fractional Functional Central Limit Theorem 0 0 0 25 0 2 2 146
A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic 0 0 0 79 1 4 10 283
A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic 0 0 0 59 0 3 4 159
A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis 0 0 0 116 0 4 4 492
A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis 0 0 0 37 2 5 12 155
A Regime Switching Long Memory Model for Electricity Prices 0 0 0 632 0 9 14 1,473
A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching 0 0 0 271 2 7 13 772
A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching 0 0 0 132 1 5 10 398
A fast fractional difference algorithm 0 0 1 43 1 6 17 148
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 0 54 0 6 11 109
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets 0 0 0 42 2 6 6 134
A necessary moment condition for the fractional functional central limit theorem 0 0 0 15 0 9 11 77
Adaptive Inference In Heteroskedastic Fractional Time Series Models 0 0 0 188 1 7 10 344
Adaptive Inference in Heteroskedastic Fractional Time Series Models 0 1 3 11 0 4 7 45
Asset Market Perspectives on the Israeli-Palestinian Conflict 0 0 0 6 0 1 4 32
Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors 0 1 4 281 2 13 32 566
Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors 0 1 1 14 0 4 11 81
Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models 0 0 1 212 0 1 12 425
Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models 0 0 0 23 1 3 7 62
Bias-reduced estimation of long memory stochastic volatility 0 0 0 63 0 6 13 206
Bootstrap And Asymptotic Inference With Multiway Clustering 0 0 3 240 1 12 29 496
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 1 5 7 410
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 1 8 9 97
Bootstrap inference in the presence of bias 2 10 22 112 2 18 51 256
Cluster-Robust Inference: A Guide to Empirical Practice 0 1 3 25 2 10 28 87
Cluster-Robust Inference: A Guide to Empirical Practice 1 6 21 451 4 15 69 903
Cluster-Robust Inference: A Guide to Empirical Practice 0 0 0 13 1 6 18 48
Cluster-Robust Jackknife and Bootstrap Inference for Binary Response Models 0 0 2 5 0 2 14 22
Cluster-robust jackknife and bootstrap inference for logistic regression models 2 6 18 34 3 20 60 96
Cluster–robust inference: A guide to empirical practice 0 0 1 21 5 34 54 131
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 0 1 5 302
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 1 6 17 943
Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach 0 0 0 164 1 12 18 541
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 133 0 4 4 367
Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model 0 0 1 230 1 6 12 565
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 0 0 0 8 1 4 10 63
Efficient Inference in Multivariate Fractionally Integrated Time Series Models 0 0 0 188 1 5 5 547
Efficient Likelihold Inference in Nonstationary Univariate Models 0 0 0 21 2 5 9 117
Estimation of Fractional Integration in the Presence of Data Noise 0 0 0 35 2 8 12 139
Fast And Wild: Bootstrap Inference In Stata Using Boottest 6 22 63 1,094 47 120 338 3,505
Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference 0 2 7 139 1 14 28 279
Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference 0 0 0 5 0 4 10 34
Fast and Wild: Bootstrap Inference in Stata Using boottest 1 2 4 49 6 14 29 233
Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model 0 0 0 791 1 5 12 1,720
Finite Sample Accuracy Of Integrated Volatility Estimators 0 0 0 23 2 5 10 141
Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration 0 0 0 73 1 3 9 312
Forecasting Exchange Rate Volatility In The Presence Of Jumps 0 0 0 144 0 4 8 577
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 0 1 196 0 0 7 482
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 0 0 36 0 9 12 93
Fractional integration and cointegration 0 1 1 137 1 8 17 117
Fractional integration and cointegration 0 3 5 21 10 87 101 134
Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration 0 0 0 12 1 2 7 58
Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration 0 0 0 105 2 6 12 364
Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration 0 0 0 50 0 3 5 162
Improved Inference for CSDID Using the Cluster Jackknife 5 10 10 10 17 28 28 28
Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model 0 0 0 48 0 1 3 183
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 0 49 0 6 12 144
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 0 16 0 3 6 89
Improved inference for nonparametric regression and regression-discontinuity designs 4 17 21 21 8 39 52 52
Inference on common trends in functional time series 0 2 14 37 3 13 32 76
Inference on the dimension of the nonstationary subspace in functional time series 0 0 0 11 1 3 4 29
Inference on the dimension of the nonstationary subspace in functional time series 0 0 0 267 0 4 10 591
Jackknife Inference with Two-Way Clustering 0 0 1 8 1 3 10 32
Jackknife inference with two-way clustering 0 2 20 42 1 8 41 88
Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust 0 0 2 74 0 5 14 155
Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust 0 0 0 20 0 2 8 54
Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model 0 0 2 326 6 37 43 601
Likelihood Inference For A Nonstationary Fractional Autoregressive Model 0 0 0 223 0 3 6 562
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 0 0 0 47 0 8 17 195
Likelihood Inference for a Nonstationary Fractional Autoregressive Model 0 0 0 110 0 5 10 270
Likelihood inference for a fractionally cointegrated vector autoregressive model 0 0 0 123 1 5 8 210
Likelihood inference for a nonstationary fractional autoregressive model 0 0 0 29 0 4 6 105
Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence 0 0 0 105 0 3 4 335
Local Polynomial Whittle Estimation Of Perturbed Fractional Processes 0 0 0 79 1 7 8 234
Local Whittle Analysis of Stationary Fractional Cointegration 0 0 0 110 1 3 7 400
Local polynomial Whittle estimation of perturbed fractional processes 0 0 0 54 2 3 9 173
Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model 0 0 0 197 2 4 9 519
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model 0 0 0 141 1 3 8 328
Multivariate Lagrange Multiplier Tests for Fractional Integration 0 0 2 171 2 7 9 883
Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots 0 0 0 37 0 4 9 167
Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis 0 0 0 184 1 4 9 420
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 0 17 0 6 9 82
Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order 0 0 2 96 1 1 6 141
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 0 0 0 34 1 2 7 125
Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders 0 0 0 146 0 4 10 396
Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders 0 0 1 68 0 3 10 177
Nonstationary Cointegration In The Fractionally Cointegrated Var Model 0 0 0 134 0 3 5 229
Nonstationary cointegration in the fractionally cointegrated VAR model 0 1 2 14 1 7 11 55
Nonstationary cointegration in the fractionally cointegrated VAR model 0 0 0 35 1 4 9 64
Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests 0 0 5 501 0 3 14 958
Numerical distribution functions of fractional unit root and cointegration tests 0 0 0 58 0 2 4 137
Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 0 0 176 1 7 9 534
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 26 0 4 9 59
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 0 0 0 224 1 6 11 454
Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data 0 0 0 300 0 0 3 1,184
Semiparametric Estimation in Time Series Regression with Long Range Dependence 0 0 0 115 1 3 7 436
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 1 2 9 1 10 22 49
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 0 1 3 0 2 9 18
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 0 0 60 1 2 8 126
Spectral Analysis of Fractionally Cointegrated Systems 0 0 0 110 0 2 4 269
Testing The Cvar In The Fractional Cvar Model 0 0 1 75 0 5 8 106
Testing for the appropriate level of clustering in linear regression models 0 0 0 19 0 7 13 48
Testing for the appropriate level of clustering in linear regression models 0 0 4 386 0 3 20 840
Testing the CVAR in the fractional CVAR model 0 0 0 6 4 10 12 55
Testing the CVAR in the fractional CVAR model 0 0 0 19 0 3 8 54
The Cointegrated Vector Autoregressive Model With General Deterministic Terms 0 0 1 84 1 6 10 159
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 0 0 82 1 4 10 257
The Global Carbon Budget as a cointegrated system 0 3 21 52 1 10 53 87
The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect 0 0 0 115 1 2 10 430
The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices 0 0 0 195 1 4 6 753
The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps 0 1 1 212 0 5 22 1,149
The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets 1 1 3 387 3 10 21 1,201
The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models 0 0 0 217 1 5 20 444
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets 0 0 1 215 0 6 11 619
The cointegrated vector autoregressive model with general deterministic terms 0 0 0 11 2 5 8 62
The cointegrated vector autoregressive model with general deterministic terms 0 0 0 63 0 6 7 68
The impact of financial crises on the risk-return tradeoff and the leverage effect 0 0 0 89 1 4 10 340
The role of initial values in nonstationary fractional time series models 0 0 0 17 1 2 4 74
The role of initial values in nonstationary fractional time series models 0 0 0 32 0 3 6 76
To infinity and beyond: Efficient computation of ARCH(1) models 0 1 1 180 1 6 9 37
To infinity and beyond: Efficient computation of ARCH(\infty) models 0 0 0 102 1 13 15 147
Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends 0 0 0 112 0 5 9 188
Truncated sum of squares estimation of fractional time series models with deterministic trends 0 1 1 10 1 2 3 35
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend 0 1 1 8 0 5 8 32
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend 0 0 0 41 0 4 9 77
Validity Of Wild Bootstrap Inference With Clustered Errors 0 0 0 115 0 6 13 207
Weak convergence to derivatives of fractional Brownian motion 0 0 3 16 0 6 14 53
Wild Bootstrap and Asymptotic Inference with Multiway Clustering 0 1 1 22 0 6 11 66
Wild Bootstrap and Asymptotic Inference with Multiway Clustering 0 0 4 167 0 6 22 372
Total Working Papers 23 102 310 17,136 202 1,066 2,281 44,851

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 1 2 5 134 3 13 32 343
A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets 0 0 1 88 2 7 14 248
A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM 0 0 0 48 0 9 18 238
A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC 0 0 0 63 0 3 11 195
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 0 4 1 3 9 34
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 0 108 0 4 7 259
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets 0 1 2 62 1 9 13 241
A regime switching long memory model for electricity prices 0 0 1 346 0 26 75 995
A vector autoregressive model for electricity prices subject to long memory and regime switching 0 0 2 97 2 4 12 330
Adaptive Inference in Heteroscedastic Fractional Time Series Models 0 0 2 21 0 2 6 50
Asset Market Perspectives on the Israeli–Palestinian Conflict 0 0 2 92 1 6 18 386
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting 0 0 0 179 0 1 7 431
Asymptotic theory and wild bootstrap inference with clustered errors 1 2 7 54 2 8 31 169
Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models 0 0 0 41 1 4 13 128
Bias-Reduced Estimation of Long-Memory Stochastic Volatility 0 0 2 52 2 5 11 188
Bootstrap Inference in the Presence of Bias 0 2 13 17 2 9 43 55
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 3 6 12 209
Cluster-robust inference: A guide to empirical practice 1 1 8 47 3 9 60 176
Comment 0 0 0 29 0 1 3 148
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 1 170 1 18 36 613
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach 0 0 0 249 1 8 11 705
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 96 1 8 17 289
EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS 0 0 2 56 1 3 8 165
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 0 0 1 43 0 4 7 148
Efficient inference in multivariate fractionally integrated time series models 0 0 0 83 1 4 6 335
Estimation of fractional integration in the presence of data noise 0 0 0 104 1 10 16 271
Fast and reliable jackknife and bootstrap methods for cluster‐robust inference 0 2 5 14 3 15 27 62
Fast and wild: Bootstrap inference in Stata using boottest 2 7 29 174 22 53 160 694
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration 0 0 1 62 3 6 20 263
Finite sample accuracy and choice of sampling frequency in integrated volatility estimation 0 0 0 117 0 1 9 491
Forecasting daily political opinion polls using the fractionally cointegrated vector auto‐regressive model 0 0 2 81 0 6 14 232
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 0 100 0 3 5 331
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 0 8 0 4 4 36
INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES 0 0 3 11 1 9 13 39
Improved likelihood ratio tests for cointegration rank in the VAR model 0 0 0 29 1 6 11 136
Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust 0 0 0 12 0 25 42 75
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 0 2 12 643 2 17 50 1,576
Likelihood inference for a nonstationary fractional autoregressive model 0 0 0 81 2 16 24 242
Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation 0 0 0 66 0 2 7 186
Local empirical spectral measure of multivariate processes with long range dependence 0 0 0 17 1 7 8 77
Local polynomial Whittle estimation of perturbed fractional processes 0 0 1 44 1 4 9 250
Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model 0 0 2 124 2 6 16 431
Multivariate Lagrange Multiplier Tests for Fractional Integration 0 0 1 136 0 3 7 781
NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS 0 0 5 99 2 7 20 239
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 0 29 1 7 9 139
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 0 0 1 151 1 6 16 527
Noncontemporaneous cointegration and the importance of timing 0 0 0 49 0 2 4 166
Nonparametric cointegration analysis of fractional systems with unknown integration orders 0 0 2 245 0 3 9 611
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model 0 0 1 25 0 2 7 88
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 0 1 86 0 1 8 215
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 0 0 0 49 0 13 20 195
Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence 0 0 0 93 1 6 10 368
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 0 3 19 1 4 18 67
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 1 7 0 3 5 33
Spectral analysis of fractionally cointegrated systems 0 1 2 104 2 6 9 299
THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS 0 0 2 35 2 12 22 124
TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS 0 1 1 29 1 16 22 76
Testing for the appropriate level of clustering in linear regression models 0 0 3 15 1 5 21 60
Testing the CVAR in the Fractional CVAR Model 0 0 0 29 0 9 13 131
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 0 1 202 0 4 15 629
The cointegrated vector autoregressive model with general deterministic terms 0 0 3 50 1 8 13 199
The impact of financial crises on the risk–return tradeoff and the leverage effect 0 0 1 31 0 3 6 133
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets 0 0 4 401 4 7 34 1,437
To infinity and beyond: Efficient computation of ARCH(∞) models 0 1 2 26 1 6 11 170
Wild Bootstrap and Asymptotic Inference With Multiway Clustering 0 2 5 24 2 14 38 109
Total Journal Articles 5 24 144 5,865 87 511 1,252 19,266

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 5 14 1 9 37 92
SUMMCLUST: Stata module to compute cluster level measures of leverage, influence, and a cluster jackknife variance estimator 1 2 7 46 1 20 42 227
Total Software Items 1 3 12 60 2 29 79 319

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