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 3 233 0 2 13 507
A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support 0 1 7 168 0 3 24 321
A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets 2 2 8 83 4 4 21 217
A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets 1 2 6 176 2 11 29 344
A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model 4 17 127 793 10 33 272 1,325
A Necessary Moment Condition For The Fractional Functional Central Limit Theorem 0 0 0 60 0 0 3 154
A Necessary Moment Condition for the Fractional Functional Central Limit Theorem 0 0 1 22 0 4 15 122
A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic 0 1 1 77 0 1 1 264
A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic 0 0 0 59 1 1 2 149
A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis 2 2 2 113 2 2 6 468
A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis 0 0 0 37 1 2 3 132
A Regime Switching Long Memory Model for Electricity Prices 0 0 1 625 3 3 6 1,424
A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching 0 0 0 270 0 0 6 741
A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching 0 0 0 131 0 0 3 373
A fast fractional difference algorithm 0 0 3 36 1 2 11 94
A fractionally cointegrated VAR analysis of economic voting and political support 0 1 4 48 0 1 6 63
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets 0 0 1 36 0 0 7 98
A necessary moment condition for the fractional functional central limit theorem 0 0 0 15 0 0 1 56
Adaptive Inference In Heteroskedastic Fractional Time Series Models 5 7 48 140 10 16 105 213
Asset Market Perspectives on the Israeli-Palestinian Conflict 0 0 0 0 1 1 1 1
Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors 5 13 90 162 12 35 202 295
Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors 1 1 5 5 5 9 19 19
Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models 0 0 0 209 0 1 7 398
Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models 0 0 0 19 0 2 5 38
Bias-reduced estimation of long memory stochastic volatility 0 0 0 61 1 1 2 178
Bootstrap And Asymptotic Inference With Multiway Clustering 6 11 50 180 10 21 115 323
Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets 1 1 2 174 1 1 12 379
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 1 1 72
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 60 2 3 11 238
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 1 1 1 368 1 1 9 854
Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach 0 0 1 163 1 1 3 512
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 133 0 0 2 346
Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model 1 1 8 213 5 8 46 464
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 0 0 3 3 2 5 15 15
Efficient Inference in Multivariate Fractionally Integrated Time Series Models 1 1 1 187 1 1 2 533
Efficient Likelihold Inference in Nonstationary Univariate Models 0 0 1 21 0 0 2 94
Estimation of Fractional Integration in the Presence of Data Noise 0 0 0 33 2 2 5 115
Fast And Wild: Bootstrap Inference In Stata Using Boottest 13 47 244 362 60 182 687 921
Fast and Wild: Bootstrap Inference in Stata Using boottest 1 2 5 5 4 11 28 28
Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model 1 2 26 726 4 7 83 1,510
Finite Sample Accuracy Of Integrated Volatility Estimators 0 0 1 23 1 2 3 116
Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration 2 2 3 71 4 5 17 272
Forecasting Exchange Rate Volatility In The Presence Of Jumps 1 1 4 139 1 1 12 537
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 0 7 186 1 2 44 437
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 0 0 34 1 4 19 59
Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration 0 0 0 12 0 0 0 43
Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration 1 1 1 105 2 2 10 338
Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration 0 0 0 49 0 0 4 147
Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model 0 0 1 48 0 0 4 167
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 1 14 0 0 4 67
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 0 49 1 1 1 126
Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model 0 0 0 317 0 0 5 527
Likelihood Inference For A Nonstationary Fractional Autoregressive Model 0 1 2 219 1 3 9 536
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 0 0 1 44 0 0 6 146
Likelihood Inference for a Nonstationary Fractional Autoregressive Model 0 0 1 108 0 0 2 247
Likelihood inference for a fractionally cointegrated vector autoregressive model 0 0 0 114 0 0 6 169
Likelihood inference for a nonstationary fractional autoregressive model 0 0 0 27 0 0 1 84
Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence 0 0 0 105 0 0 1 324
Local Polynomial Whittle Estimation Of Perturbed Fractional Processes 0 0 0 76 1 1 5 215
Local Whittle Analysis of Stationary Fractional Cointegration 0 0 1 108 0 0 3 379
Local polynomial Whittle estimation of perturbed fractional processes 0 0 0 53 1 1 1 154
Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model 1 2 6 190 5 8 39 469
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model 0 0 0 139 0 0 0 309
Multivariate Lagrange Multiplier Tests for Fractional Integration 0 0 0 164 0 0 1 858
Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots 0 0 0 37 2 3 13 143
Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis 1 2 5 177 1 4 22 372
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 0 17 0 2 4 57
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 0 0 0 34 0 1 4 104
Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders 0 0 0 144 0 0 0 371
Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders 0 1 1 64 0 3 4 151
Nonstationary Cointegration In The Fractionally Cointegrated Var Model 1 3 30 106 3 8 72 126
Nonstationary cointegration in the fractionally cointegrated VAR model 0 0 0 5 0 3 7 17
Nonstationary cointegration in the fractionally cointegrated VAR model 0 0 4 21 0 3 15 22
Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests 1 1 5 461 2 4 21 876
Numerical distribution functions of fractional unit root and cointegration tests 0 0 2 50 0 5 8 111
Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 0 0 176 0 0 2 516
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 1 24 1 1 6 33
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 2 2 10 210 2 5 36 386
Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data 0 1 3 298 0 1 7 1,161
Semiparametric Estimation in Time Series Regression with Long Range Dependence 0 0 0 114 0 0 3 360
Spectral Analysis of Fractionally Cointegrated Systems 0 1 2 109 0 1 2 255
Testing The Cvar In The Fractional Cvar Model 0 0 2 70 0 1 7 71
Testing the CVAR in the fractional CVAR model 0 0 1 14 0 1 10 24
Testing the CVAR in the fractional CVAR model 0 0 2 2 1 3 10 23
The Cointegrated Vector Autoregressive Model With General Deterministic Terms 0 0 1 79 0 1 12 116
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 0 0 78 0 2 4 221
The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect 0 0 1 114 2 3 15 401
The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices 1 2 2 191 3 6 12 676
The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps 1 1 1 204 2 3 9 1,031
The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets 1 1 2 378 2 2 8 1,127
The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models 0 0 1 202 0 1 7 357
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets 0 0 1 207 2 4 7 559
The cointegrated vector autoregressive model with general deterministic terms 0 0 1 9 1 2 10 38
The cointegrated vector autoregressive model with general deterministic terms 1 1 2 63 1 3 8 40
The impact of financial crises on the risk-return tradeoff and the leverage effect 0 0 0 87 0 1 3 306
The role of initial values in nonstationary fractional time series models 0 0 0 15 0 0 2 49
The role of initial values in nonstationary fractional time series models 0 0 0 31 0 0 0 57
Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends 5 5 18 87 7 9 41 131
Validity Of Wild Bootstrap Inference With Clustered Errors 1 1 7 108 3 5 25 160
Variance ratio test for the number of stochastic trends in functional time series 24 24 24 24 31 31 31 31
Wild Bootstrap and Asymptotic Inference with Multiway Clustering 15 22 72 72 55 79 128 128
Total Working Papers 104 188 879 12,724 287 609 2,563 31,731
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 0 0 17 82 1 4 39 187
A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets 0 0 6 73 10 12 37 185
A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM 0 0 4 44 0 1 10 206
A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC 0 0 1 61 2 4 9 157
A fractionally cointegrated VAR analysis of economic voting and political support 1 5 11 80 2 10 36 179
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets 3 4 11 33 3 7 30 112
A regime switching long memory model for electricity prices 1 1 3 316 3 4 15 838
A vector autoregressive model for electricity prices subject to long memory and regime switching 0 0 1 87 1 1 7 274
Asset Market Perspectives on the Israeli–Palestinian Conflict 0 0 2 72 0 1 11 316
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting 0 0 8 162 1 2 20 373
Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models 0 1 4 30 1 2 13 82
Bias-Reduced Estimation of Long-Memory Stochastic Volatility 0 0 1 44 1 1 7 157
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets 0 1 1 56 2 4 12 160
Comment 0 0 0 26 0 0 3 130
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 4 162 1 5 21 507
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach 0 0 4 232 1 2 24 593
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 91 1 3 9 249
EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS 0 0 0 48 2 2 9 134
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 0 0 12 12 1 5 43 46
Efficient inference in multivariate fractionally integrated time series models 0 0 1 82 4 4 13 314
Estimation of fractional integration in the presence of data noise 0 0 1 101 0 0 10 240
Fast and wild: Bootstrap inference in Stata using boottest 4 17 27 27 29 66 115 115
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration 0 0 1 49 0 1 13 210
Finite sample accuracy and choice of sampling frequency in integrated volatility estimation 0 0 1 114 1 2 9 460
Forecasting daily political opinion polls using the fractionally cointegrated vector auto†regressive model 2 4 22 22 3 12 56 59
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 1 3 1 1 4 21
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 2 93 2 2 18 293
Improved likelihood ratio tests for cointegration rank in the VAR model 0 0 3 24 1 1 13 94
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 1 2 29 507 7 15 72 1,156
Likelihood inference for a nonstationary fractional autoregressive model 0 1 4 64 0 2 16 172
Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation 0 0 0 61 0 0 9 157
Local empirical spectral measure of multivariate processes with long range dependence 0 0 0 13 1 1 7 56
Local polynomial Whittle estimation of perturbed fractional processes 0 0 1 35 0 1 5 201
Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model 1 1 4 113 2 2 15 368
Multivariate Lagrange Multiplier Tests for Fractional Integration 0 0 2 132 0 0 8 754
NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS 1 2 13 58 3 6 36 143
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 1 4 27 1 3 12 112
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 0 0 10 129 2 3 39 410
Noncontemporaneous cointegration and the importance of timing 0 0 1 47 0 0 4 152
Nonparametric cointegration analysis of fractional systems with unknown integration orders 0 1 7 210 0 1 28 529
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model 1 2 2 2 3 12 12 12
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 0 2 83 0 0 7 190
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 0 0 4 25 2 7 28 95
SEASONALITY IN ECONOMIC MODELS 0 0 2 190 0 0 6 487
Semiparametric Estimation in Time-Series Regression with Long-Range Dependence 0 0 2 87 0 0 8 332
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 2 2 3 11 11 11
Spectral analysis of fractionally cointegrated systems 0 0 1 97 0 0 12 263
THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS 0 0 2 11 1 3 14 43
Testing the CVAR in the Fractional CVAR Model 0 1 12 12 2 7 47 47
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 0 4 193 0 1 16 558
The cointegrated vector autoregressive model with general deterministic terms 0 0 12 26 0 5 47 97
The impact of financial crises on the risk–return tradeoff and the leverage effect 0 0 4 29 1 4 16 92
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets 2 3 23 353 6 13 56 1,192
Total Journal Articles 17 49 296 4,732 108 256 1,137 14,320


Statistics updated 2019-09-09