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 2 6 8 558
A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support 0 0 0 182 3 9 17 404
A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets 0 0 0 92 1 6 9 269
A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets 0 0 0 190 0 5 9 422
A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model 0 7 20 1,139 2 18 46 2,099
A Necessary Moment Condition For The Fractional Functional Central Limit Theorem 0 0 0 62 5 14 16 188
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 0 5 9 282
A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic 0 0 0 59 0 4 4 159
A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis 0 0 0 116 1 4 4 492
A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis 0 0 0 37 1 7 10 153
A Regime Switching Long Memory Model for Electricity Prices 0 0 0 632 0 10 14 1,473
A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching 0 0 0 271 3 7 11 770
A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching 0 0 0 132 3 6 9 397
A fast fractional difference algorithm 0 0 1 43 2 9 16 147
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 0 54 1 9 12 109
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets 0 0 0 42 0 4 4 132
A necessary moment condition for the fractional functional central limit theorem 0 0 0 15 1 10 11 77
Adaptive Inference In Heteroskedastic Fractional Time Series Models 0 0 0 188 1 7 9 343
Adaptive Inference in Heteroskedastic Fractional Time Series Models 1 1 3 11 1 4 7 45
Asset Market Perspectives on the Israeli-Palestinian Conflict 0 0 0 6 0 3 4 32
Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors 1 2 5 281 3 15 31 564
Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors 1 1 1 14 1 5 11 81
Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models 0 1 1 212 0 4 12 425
Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models 0 0 0 23 0 4 6 61
Bias-reduced estimation of long memory stochastic volatility 0 0 0 63 2 9 13 206
Bootstrap And Asymptotic Inference With Multiway Clustering 0 0 3 240 3 13 29 495
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 6 409
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 7 8 96
Bootstrap inference in the presence of bias 1 8 22 110 2 24 56 254
Cluster-Robust Inference: A Guide to Empirical Practice 3 6 22 450 4 17 70 899
Cluster-Robust Inference: A Guide to Empirical Practice 0 0 0 13 0 5 17 47
Cluster-Robust Inference: A Guide to Empirical Practice 1 2 3 25 2 12 26 85
Cluster-Robust Jackknife and Bootstrap Inference for Binary Response Models 0 0 2 5 0 5 14 22
Cluster-robust jackknife and bootstrap inference for logistic regression models 0 6 18 32 1 28 63 93
Cluster–robust inference: A guide to empirical practice 0 0 1 21 19 33 51 126
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 1 1 6 302
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 0 7 16 942
Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach 0 0 0 164 4 14 17 540
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 133 1 4 4 367
Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model 0 0 1 230 0 8 11 564
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 0 0 0 8 2 5 9 62
Efficient Inference in Multivariate Fractionally Integrated Time Series Models 0 0 0 188 1 4 4 546
Efficient Likelihold Inference in Nonstationary Univariate Models 0 0 0 21 2 6 7 115
Estimation of Fractional Integration in the Presence of Data Noise 0 0 0 35 0 6 10 137
Fast And Wild: Bootstrap Inference In Stata Using Boottest 7 19 58 1,088 32 107 299 3,458
Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference 0 0 0 5 2 5 10 34
Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference 2 2 7 139 9 15 29 278
Fast and Wild: Bootstrap Inference in Stata Using boottest 1 1 3 48 2 8 23 227
Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model 0 0 0 791 2 6 11 1,719
Finite Sample Accuracy Of Integrated Volatility Estimators 0 0 0 23 1 3 8 139
Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration 0 0 0 73 0 3 8 311
Forecasting Exchange Rate Volatility In The Presence Of Jumps 0 0 0 144 1 5 8 577
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 0 0 36 3 12 12 93
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 0 1 196 0 3 7 482
Fractional integration and cointegration 2 3 5 21 30 80 91 124
Fractional integration and cointegration 1 1 1 137 1 10 16 116
Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration 0 0 0 12 0 4 6 57
Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration 0 0 0 105 1 7 10 362
Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration 0 0 0 50 1 4 5 162
Improved Inference for CSDID Using the Cluster Jackknife 5 5 5 5 11 11 11 11
Improved Inference for Nonparametric Regression 5 17 17 17 16 44 44 44
Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model 0 0 0 48 1 1 3 183
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 0 49 0 8 12 144
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 0 16 1 3 6 89
Inference on common trends in functional time series 1 2 15 37 4 11 30 73
Inference on the dimension of the nonstationary subspace in functional time series 0 0 0 11 1 2 3 28
Inference on the dimension of the nonstationary subspace in functional time series 0 0 0 267 3 6 11 591
Jackknife Inference with Two-Way Clustering 0 0 1 8 1 5 9 31
Jackknife inference with two-way clustering 1 3 24 42 2 8 48 87
Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust 0 0 2 74 1 9 15 155
Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust 0 0 0 20 0 3 8 54
Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model 0 0 2 326 12 33 37 595
Likelihood Inference For A Nonstationary Fractional Autoregressive Model 0 0 0 223 0 4 6 562
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 0 0 0 47 2 14 17 195
Likelihood Inference for a Nonstationary Fractional Autoregressive Model 0 0 0 110 0 9 10 270
Likelihood inference for a fractionally cointegrated vector autoregressive model 0 0 0 123 1 6 7 209
Likelihood inference for a nonstationary fractional autoregressive model 0 0 0 29 0 5 6 105
Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence 0 0 0 105 0 4 4 335
Local Polynomial Whittle Estimation Of Perturbed Fractional Processes 0 0 0 79 3 7 7 233
Local Whittle Analysis of Stationary Fractional Cointegration 0 0 0 110 0 3 6 399
Local polynomial Whittle estimation of perturbed fractional processes 0 0 0 54 0 2 7 171
Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model 0 0 0 197 0 3 7 517
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model 0 0 0 141 0 5 7 327
Multivariate Lagrange Multiplier Tests for Fractional Integration 0 0 2 171 2 5 7 881
Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots 0 0 0 37 1 4 9 167
Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis 0 0 0 184 1 4 8 419
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 0 17 5 7 9 82
Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order 0 0 2 96 0 1 6 140
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 0 0 0 34 0 2 6 124
Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders 0 0 0 146 1 5 10 396
Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders 0 0 1 68 1 3 10 177
Nonstationary Cointegration In The Fractionally Cointegrated Var Model 0 0 0 134 0 4 5 229
Nonstationary cointegration in the fractionally cointegrated VAR model 0 0 0 35 0 4 8 63
Nonstationary cointegration in the fractionally cointegrated VAR model 1 1 2 14 1 6 10 54
Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests 0 0 5 501 1 5 14 958
Numerical distribution functions of fractional unit root and cointegration tests 0 0 0 58 2 2 4 137
Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 0 0 176 2 7 8 533
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 26 2 8 9 59
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 0 0 0 224 2 7 10 453
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 0 3 6 435
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 1 1 2 9 2 13 21 48
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 0 1 3 1 4 9 18
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 0 0 60 0 4 8 125
Spectral Analysis of Fractionally Cointegrated Systems 0 0 0 110 0 4 4 269
Testing The Cvar In The Fractional Cvar Model 0 0 1 75 1 7 8 106
Testing for the appropriate level of clustering in linear regression models 0 0 0 19 1 7 13 48
Testing for the appropriate level of clustering in linear regression models 0 0 4 386 2 5 20 840
Testing the CVAR in the fractional CVAR model 0 0 0 6 2 6 8 51
Testing the CVAR in the fractional CVAR model 0 0 0 19 1 5 9 54
The Cointegrated Vector Autoregressive Model With General Deterministic Terms 0 0 1 84 2 5 9 158
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 0 0 82 3 3 9 256
The Global Carbon Budget as a cointegrated system 2 3 28 52 5 13 62 86
The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect 0 0 0 115 0 5 9 429
The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices 0 0 0 195 0 5 5 752
The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps 0 1 1 212 0 17 23 1,149
The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets 0 1 2 386 1 8 18 1,198
The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models 0 0 0 217 0 6 19 443
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 1 4 6 60
The cointegrated vector autoregressive model with general deterministic terms 0 0 0 63 1 6 7 68
The impact of financial crises on the risk-return tradeoff and the leverage effect 0 0 0 89 0 3 9 339
The role of initial values in nonstationary fractional time series models 0 0 0 17 1 1 3 73
The role of initial values in nonstationary fractional time series models 0 0 0 32 2 3 6 76
To infinity and beyond: Efficient computation of ARCH(1) models 1 1 1 180 3 6 8 36
To infinity and beyond: Efficient computation of ARCH(\infty) models 0 0 0 102 7 13 14 146
Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends 0 0 0 112 2 8 9 188
Truncated sum of squares estimation of fractional time series models with deterministic trends 1 1 2 10 1 2 3 34
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend 0 0 0 41 3 7 10 77
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend 1 1 1 8 1 7 9 32
Validity Of Wild Bootstrap Inference With Clustered Errors 0 0 0 115 0 8 13 207
Weak convergence to derivatives of fractional Brownian motion 0 1 3 16 4 8 14 53
Wild Bootstrap and Asymptotic Inference with Multiway Clustering 1 1 2 22 2 7 12 66
Wild Bootstrap and Asymptotic Inference with Multiway Clustering 0 0 4 167 0 6 23 372
Total Working Papers 41 99 310 17,113 292 1,157 2,145 44,649

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 1 4 133 5 16 29 340
A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets 0 0 1 88 1 8 12 246
A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM 0 0 0 48 2 11 19 238
A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC 0 0 0 63 0 4 11 195
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 0 108 3 4 7 259
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 0 4 1 5 9 33
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets 0 1 2 62 2 10 12 240
A regime switching long memory model for electricity prices 0 0 2 346 1 66 76 995
A vector autoregressive model for electricity prices subject to long memory and regime switching 0 0 2 97 1 3 10 328
Adaptive Inference in Heteroscedastic Fractional Time Series Models 0 0 2 21 0 3 6 50
Asset Market Perspectives on the Israeli–Palestinian Conflict 0 0 2 92 1 6 23 385
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting 0 0 0 179 0 2 8 431
Asymptotic theory and wild bootstrap inference with clustered errors 1 3 6 53 3 10 32 167
Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models 0 0 0 41 1 4 13 127
Bias-Reduced Estimation of Long-Memory Stochastic Volatility 0 0 2 52 1 3 9 186
Bootstrap Inference in the Presence of Bias 1 3 16 17 5 9 48 53
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 2 4 9 206
Cluster-robust inference: A guide to empirical practice 0 1 7 46 1 16 62 173
Comment 0 0 0 29 1 2 3 148
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 1 170 0 27 35 612
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach 0 0 0 249 2 8 11 704
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 96 0 12 16 288
EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS 0 0 3 56 0 2 8 164
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 0 0 1 43 1 6 7 148
Efficient inference in multivariate fractionally integrated time series models 0 0 0 83 1 5 5 334
Estimation of fractional integration in the presence of data noise 0 0 0 104 2 9 15 270
Fast and reliable jackknife and bootstrap methods for cluster‐robust inference 1 2 5 14 3 13 24 59
Fast and wild: Bootstrap inference in Stata using boottest 3 8 30 172 8 45 142 672
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration 0 0 1 62 0 5 17 260
Finite sample accuracy and choice of sampling frequency in integrated volatility estimation 0 0 0 117 1 4 9 491
Forecasting daily political opinion polls using the fractionally cointegrated vector auto‐regressive model 0 0 2 81 1 7 14 232
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 1 8 1 4 5 36
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 0 100 0 4 5 331
INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES 0 0 3 11 3 8 13 38
Improved likelihood ratio tests for cointegration rank in the VAR model 0 0 0 29 1 5 10 135
Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust 0 0 0 12 0 34 42 75
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 0 2 13 643 5 18 50 1,574
Likelihood inference for a nonstationary fractional autoregressive model 0 0 0 81 5 16 22 240
Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation 0 0 0 66 0 4 7 186
Local empirical spectral measure of multivariate processes with long range dependence 0 0 1 17 0 6 8 76
Local polynomial Whittle estimation of perturbed fractional processes 0 0 1 44 0 5 9 249
Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model 0 0 2 124 2 6 15 429
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 0 6 18 237
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 0 29 1 7 8 138
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 0 0 1 151 1 6 16 526
Noncontemporaneous cointegration and the importance of timing 0 0 0 49 0 3 4 166
Nonparametric cointegration analysis of fractional systems with unknown integration orders 0 0 3 245 0 3 11 611
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model 0 0 1 25 0 3 8 88
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 1 1 86 0 4 8 215
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 0 0 0 49 3 16 20 195
Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence 0 0 0 93 0 6 9 367
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 1 3 19 2 6 17 66
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 1 2 2 104 2 5 7 297
THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS 0 0 2 35 5 11 20 122
TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS 1 1 1 29 4 16 22 75
Testing for the appropriate level of clustering in linear regression models 0 1 4 15 0 5 23 59
Testing the CVAR in the Fractional CVAR Model 0 0 0 29 2 9 13 131
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 0 1 202 0 8 16 629
The cointegrated vector autoregressive model with general deterministic terms 0 0 3 50 1 8 12 198
The impact of financial crises on the risk–return tradeoff and the leverage effect 0 0 1 31 0 3 7 133
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets 0 0 5 401 0 6 31 1,433
To infinity and beyond: Efficient computation of ARCH(∞) models 1 1 2 26 2 6 13 169
Wild Bootstrap and Asymptotic Inference With Multiway Clustering 1 2 5 24 4 18 37 107
Total Journal Articles 11 30 153 5,860 94 600 1,219 19,179

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 1 3 5 14 5 17 37 91
SUMMCLUST: Stata module to compute cluster level measures of leverage, influence, and a cluster jackknife variance estimator 0 1 6 45 6 21 42 226
Total Software Items 1 4 11 59 11 38 79 317

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