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 1 234 0 4 10 514
A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support 2 3 5 172 5 8 19 332
A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets 0 0 7 83 2 6 19 223
A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets 1 2 6 179 3 11 31 360
A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model 14 26 92 832 20 53 216 1,406
A Necessary Moment Condition For The Fractional Functional Central Limit Theorem 0 0 0 60 0 2 4 158
A Necessary Moment Condition for the Fractional Functional Central Limit Theorem 0 0 0 22 1 2 16 127
A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic 0 0 1 77 0 2 3 266
A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic 0 0 0 59 0 0 1 149
A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis 0 0 2 113 1 3 9 473
A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis 0 0 0 37 0 0 4 133
A Regime Switching Long Memory Model for Electricity Prices 0 1 1 626 1 11 17 1,437
A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching 0 0 0 270 0 2 10 749
A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching 0 0 0 131 1 4 7 378
A fast fractional difference algorithm 0 0 1 36 3 6 13 102
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 2 48 3 4 13 72
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets 0 0 1 37 2 3 10 104
A necessary moment condition for the fractional functional central limit theorem 0 0 0 15 0 1 4 59
Adaptive Inference In Heteroskedastic Fractional Time Series Models 3 6 28 152 8 20 72 245
Asset Market Perspectives on the Israeli-Palestinian Conflict 0 0 2 2 3 3 7 7
Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors 2 5 55 178 5 19 131 339
Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors 0 0 5 5 1 4 27 27
Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models 0 0 1 210 0 2 6 402
Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models 0 0 0 19 3 5 8 43
Bias-reduced estimation of long memory stochastic volatility 0 0 0 61 2 3 5 182
Bootstrap And Asymptotic Inference With Multiway Clustering 1 8 39 192 4 15 86 348
Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets 0 0 1 174 2 6 17 390
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 42 1 4 6 77
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 1 1 61 1 3 13 244
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 1 1 2 369 3 8 20 869
Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach 0 0 0 163 1 2 3 514
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 133 3 5 6 351
Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model 1 1 8 215 9 14 50 492
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 0 0 3 5 4 7 23 29
Efficient Inference in Multivariate Fractionally Integrated Time Series Models 0 0 1 187 0 1 4 535
Efficient Likelihold Inference in Nonstationary Univariate Models 0 0 0 21 4 6 7 100
Estimation of Fractional Integration in the Presence of Data Noise 0 0 0 33 0 1 5 117
Fast And Wild: Bootstrap Inference In Stata Using Boottest 8 33 184 426 48 124 656 1,156
Fast and Wild: Bootstrap Inference in Stata Using boottest 1 2 10 11 3 11 47 51
Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model 0 6 19 734 3 17 62 1,540
Finite Sample Accuracy Of Integrated Volatility Estimators 0 0 1 23 1 4 8 121
Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration 0 0 2 71 4 8 20 283
Forecasting Exchange Rate Volatility In The Presence Of Jumps 0 0 2 139 4 8 14 547
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 0 0 34 2 2 19 62
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 0 1 186 1 4 18 443
Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration 0 0 0 12 0 0 3 46
Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration 0 0 1 105 3 5 12 344
Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration 0 0 0 49 1 4 6 152
Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model 0 0 1 48 1 1 10 175
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 0 49 0 0 2 127
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 0 14 3 4 6 73
Inference on the dimension of the nonstationary subspace in functional time series 10 47 123 123 50 132 230 230
Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model 0 0 0 317 1 3 5 532
Likelihood Inference For A Nonstationary Fractional Autoregressive Model 0 0 3 220 3 4 11 542
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 0 1 2 45 2 8 12 156
Likelihood Inference for a Nonstationary Fractional Autoregressive Model 1 1 1 109 2 4 4 251
Likelihood inference for a fractionally cointegrated vector autoregressive model 0 3 3 117 2 7 11 179
Likelihood inference for a nonstationary fractional autoregressive model 0 0 0 27 3 6 8 91
Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence 0 0 0 105 1 3 4 328
Local Polynomial Whittle Estimation Of Perturbed Fractional Processes 0 0 0 76 2 3 5 218
Local Whittle Analysis of Stationary Fractional Cointegration 0 0 1 108 0 2 4 381
Local polynomial Whittle estimation of perturbed fractional processes 0 0 0 53 2 3 4 157
Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model 1 1 5 191 1 4 34 481
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model 0 1 1 140 2 3 5 314
Multivariate Lagrange Multiplier Tests for Fractional Integration 0 0 1 165 1 1 3 861
Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots 0 0 0 37 0 1 9 145
Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis 0 0 4 177 3 5 21 380
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 0 17 2 3 9 63
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 0 0 0 34 2 2 5 107
Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders 0 0 0 144 2 4 7 378
Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders 0 0 1 64 0 2 6 154
Nonstationary Cointegration In The Fractionally Cointegrated Var Model 2 5 20 113 6 12 65 155
Nonstationary cointegration in the fractionally cointegrated VAR model 0 0 2 7 1 1 12 24
Nonstationary cointegration in the fractionally cointegrated VAR model 0 1 4 24 0 1 12 26
Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests 2 4 8 467 4 8 25 891
Numerical distribution functions of fractional unit root and cointegration tests 0 2 2 52 1 3 9 114
Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 0 0 176 0 0 2 517
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 24 3 3 7 37
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 0 2 5 212 2 12 31 403
Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data 0 0 4 299 1 4 10 1,167
Semiparametric Estimation in Time Series Regression with Long Range Dependence 0 0 0 114 3 3 5 365
Spectral Analysis of Fractionally Cointegrated Systems 0 0 2 109 1 2 6 259
Testing The Cvar In The Fractional Cvar Model 0 0 2 70 0 5 11 79
Testing the CVAR in the fractional CVAR model 0 0 3 3 0 1 12 27
Testing the CVAR in the fractional CVAR model 0 1 2 15 0 3 10 29
The Cointegrated Vector Autoregressive Model With General Deterministic Terms 0 0 3 81 3 3 13 123
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 0 0 78 1 1 6 224
The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect 0 0 1 114 1 2 9 403
The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices 0 0 2 191 3 7 17 685
The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps 0 0 1 204 3 7 18 1,044
The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets 0 0 2 379 3 5 12 1,136
The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models 1 2 2 204 4 5 11 365
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets 0 0 1 208 1 11 22 577
The cointegrated vector autoregressive model with general deterministic terms 0 1 3 11 2 3 14 44
The cointegrated vector autoregressive model with general deterministic terms 0 0 2 63 2 3 12 46
The impact of financial crises on the risk-return tradeoff and the leverage effect 0 0 0 87 3 3 7 310
The role of initial values in nonstationary fractional time series models 0 0 0 31 1 1 1 58
The role of initial values in nonstationary fractional time series models 0 0 0 15 0 1 5 53
Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends 2 2 13 92 2 3 24 137
Validity Of Wild Bootstrap Inference With Clustered Errors 0 0 3 109 2 3 22 170
Wild Bootstrap and Asymptotic Inference with Multiway Clustering 1 11 95 95 6 30 189 189
Total Working Papers 54 180 813 13,070 310 788 2,781 33,078
44 registered items for which data could not be found


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 4 7 86 5 13 31 203
A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets 0 0 6 74 1 4 34 194
A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC 0 0 1 61 1 2 12 162
A fractionally cointegrated VAR analysis of economic voting and political support 1 1 9 83 2 3 27 187
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets 1 1 9 34 4 5 28 122
A regime switching long memory model for electricity prices 0 2 8 321 4 11 26 856
A vector autoregressive model for electricity prices subject to long memory and regime switching 0 0 0 87 2 4 8 279
Asset Market Perspectives on the Israeli–Palestinian Conflict 1 2 3 74 3 5 16 325
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting 1 2 7 166 2 7 22 383
Asymptotic theory and wild bootstrap inference with clustered errors 1 5 6 6 4 17 24 24
Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models 1 1 3 31 3 5 13 91
Bias-Reduced Estimation of Long-Memory Stochastic Volatility 0 0 0 44 2 3 9 164
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets 0 1 2 57 2 7 17 170
Comment 0 0 0 26 1 4 5 135
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 1 4 165 1 6 22 519
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach 0 0 1 232 3 5 19 601
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 91 3 5 12 256
EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS 0 0 0 48 3 4 8 139
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 5 6 17 20 13 19 51 74
Efficient inference in multivariate fractionally integrated time series models 0 0 0 82 1 2 15 322
Estimation of fractional integration in the presence of data noise 0 0 1 102 1 3 9 245
Fast and wild: Bootstrap inference in Stata using boottest 3 7 42 42 12 32 177 177
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration 0 1 1 50 2 6 13 220
Finite sample accuracy and choice of sampling frequency in integrated volatility estimation 0 0 0 114 1 5 11 467
Forecasting daily political opinion polls using the fractionally cointegrated vector auto†regressive model 0 5 22 32 5 20 67 91
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 1 93 1 4 16 299
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 1 3 1 1 4 23
Improved likelihood ratio tests for cointegration rank in the VAR model 1 1 2 26 3 5 16 105
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 4 7 25 516 10 25 78 1,194
Likelihood inference for a nonstationary fractional autoregressive model 1 3 5 68 2 6 15 181
Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation 0 0 0 61 3 6 11 164
Local empirical spectral measure of multivariate processes with long range dependence 0 0 0 13 2 4 8 61
Local polynomial Whittle estimation of perturbed fractional processes 1 1 2 36 4 7 16 214
Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model 0 0 4 114 2 6 18 378
Multivariate Lagrange Multiplier Tests for Fractional Integration 0 0 2 133 3 6 13 763
NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS 1 3 12 63 4 11 33 158
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 2 27 1 4 14 119
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 1 4 10 133 8 17 41 433
Noncontemporaneous cointegration and the importance of timing 0 0 0 47 1 2 4 155
Nonparametric cointegration analysis of fractional systems with unknown integration orders 2 2 5 213 3 6 16 537
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model 0 3 5 5 7 13 35 35
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 0 0 83 2 4 7 195
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 2 2 3 27 6 11 33 112
Semiparametric Estimation in Time-Series Regression with Long-Range Dependence 0 0 1 87 4 7 14 343
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 2 4 4 1 4 16 16
Spectral analysis of fractionally cointegrated systems 0 0 0 97 2 5 12 270
THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS 1 2 6 16 4 10 23 57
Testing the CVAR in the Fractional CVAR Model 0 0 8 14 6 13 48 68
The Effect of Long Memory in Volatility on Stock Market Fluctuations 1 1 3 195 3 6 16 569
The cointegrated vector autoregressive model with general deterministic terms 1 1 5 29 4 15 46 123
The impact of financial crises on the risk–return tradeoff and the leverage effect 0 0 2 29 8 12 23 106
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets 1 6 21 360 5 15 66 1,226
Total Journal Articles 32 77 278 4,620 181 422 1,318 14,310


Statistics updated 2020-02-04