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 2 241 0 0 7 545
A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support 1 1 2 181 1 2 6 383
A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets 0 0 0 91 0 1 2 258
A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets 0 0 0 189 2 4 5 406
A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model 2 4 32 1,086 5 11 74 1,984
A Necessary Moment Condition For The Fractional Functional Central Limit Theorem 0 0 0 62 0 0 1 171
A Necessary Moment Condition for the Fractional Functional Central Limit Theorem 0 0 1 25 0 0 2 144
A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic 0 0 0 79 0 1 1 272
A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic 0 0 0 59 0 0 0 154
A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis 0 0 0 116 0 0 0 487
A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis 0 0 0 37 0 0 1 142
A Regime Switching Long Memory Model for Electricity Prices 0 0 0 630 0 0 1 1,456
A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching 0 0 0 271 0 0 1 758
A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching 0 0 1 132 0 1 2 386
A fast fractional difference algorithm 0 0 2 41 0 0 5 126
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 1 52 0 0 1 93
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets 0 0 0 42 0 0 1 128
A necessary moment condition for the fractional functional central limit theorem 0 0 0 15 0 0 0 64
Adaptive Inference In Heteroskedastic Fractional Time Series Models 0 0 0 186 0 0 3 329
Adaptive Inference in Heteroskedastic Fractional Time Series Models 0 0 1 7 0 0 4 34
Asset Market Perspectives on the Israeli-Palestinian Conflict 0 0 0 5 1 2 3 26
Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors 1 4 12 259 2 5 17 504
Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors 0 0 0 12 0 1 3 65
Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models 0 0 0 211 0 1 2 412
Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models 0 0 0 23 0 0 0 55
Bias-reduced estimation of long memory stochastic volatility 0 0 0 63 0 0 0 193
Bootstrap And Asymptotic Inference With Multiway Clustering 0 1 3 237 1 3 10 454
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 0 0 0 403
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 0 0 0 88
Bootstrap inference in the presence of bias 2 7 21 41 14 28 65 77
Cluster-Robust Inference: A Guide to Empirical Practice 0 1 3 12 0 1 7 22
Cluster-Robust Inference: A Guide to Empirical Practice 9 22 83 357 17 37 184 680
Cluster-Robust Inference: A Guide to Empirical Practice 1 1 9 18 1 1 21 44
Cluster–robust inference: A guide to empirical practice 0 1 6 13 2 6 27 50
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 0 0 7 294
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 1 1 2 373 1 2 8 921
Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach 0 0 0 164 0 0 0 523
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 133 0 0 0 362
Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model 0 0 2 228 1 1 7 543
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 0 0 1 7 0 1 5 49
Efficient Inference in Multivariate Fractionally Integrated Time Series Models 0 0 0 188 0 0 0 541
Efficient Likelihold Inference in Nonstationary Univariate Models 0 0 0 21 0 0 0 108
Estimation of Fractional Integration in the Presence of Data Noise 0 0 1 35 0 0 1 127
Fast And Wild: Bootstrap Inference In Stata Using Boottest 11 25 121 921 37 97 448 2,755
Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference 8 14 47 109 12 24 96 199
Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference 0 0 5 5 1 2 19 19
Fast and Wild: Bootstrap Inference in Stata Using boottest 1 1 4 42 3 4 16 192
Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model 0 1 5 785 0 1 17 1,688
Finite Sample Accuracy Of Integrated Volatility Estimators 0 0 0 23 0 0 0 129
Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration 0 0 0 73 1 1 2 302
Forecasting Exchange Rate Volatility In The Presence Of Jumps 0 0 1 144 0 0 2 565
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 1 1 194 0 2 3 472
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 0 1 35 0 0 1 78
Fractional integration and cointegration 0 0 8 134 0 1 14 91
Fractional integration and cointegration 1 2 11 11 3 6 23 23
Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration 0 0 0 12 0 0 0 51
Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration 0 0 0 105 0 0 1 350
Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration 0 0 0 50 0 0 0 157
Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model 0 0 0 48 0 0 0 180
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 0 14 0 0 0 81
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 0 49 0 0 0 132
Inference on the dimension of the nonstationary subspace in functional time series 1 2 8 260 5 6 25 555
Inference on the dimension of the nonstationary subspace in functional time series 0 1 4 10 0 1 5 21
Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust 3 3 17 69 6 9 42 123
Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust 0 0 9 20 2 5 34 43
Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model 0 0 1 322 0 0 5 554
Likelihood Inference For A Nonstationary Fractional Autoregressive Model 0 0 1 223 0 0 1 554
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 0 0 0 46 0 0 3 173
Likelihood Inference for a Nonstationary Fractional Autoregressive Model 0 0 0 110 0 0 0 259
Likelihood inference for a fractionally cointegrated vector autoregressive model 0 0 1 122 0 0 2 198
Likelihood inference for a nonstationary fractional autoregressive model 0 0 0 28 0 0 0 98
Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence 0 0 0 105 0 0 0 331
Local Polynomial Whittle Estimation Of Perturbed Fractional Processes 0 0 0 78 0 0 0 225
Local Whittle Analysis of Stationary Fractional Cointegration 0 1 1 109 0 3 4 392
Local polynomial Whittle estimation of perturbed fractional processes 0 0 0 54 0 0 0 163
Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model 0 0 1 196 0 0 5 509
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model 0 0 0 141 0 0 1 320
Multivariate Lagrange Multiplier Tests for Fractional Integration 0 0 0 169 0 0 0 874
Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots 0 0 0 37 0 0 0 156
Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis 0 0 2 184 0 0 3 410
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 0 17 0 0 2 73
Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order 1 1 9 87 1 1 15 121
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 0 0 0 34 0 0 1 116
Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders 0 0 0 145 0 0 1 384
Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders 0 0 1 67 0 0 1 167
Nonstationary Cointegration In The Fractionally Cointegrated Var Model 0 0 1 134 0 0 7 221
Nonstationary cointegration in the fractionally cointegrated VAR model 0 0 0 34 0 1 1 53
Nonstationary cointegration in the fractionally cointegrated VAR model 0 0 0 12 0 0 1 43
Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests 0 0 4 491 0 0 6 936
Numerical distribution functions of fractional unit root and cointegration tests 0 0 0 57 0 0 1 130
Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 0 0 176 0 0 0 525
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 26 1 1 1 47
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 0 0 1 222 1 3 6 438
Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data 0 0 0 300 0 0 1 1,179
Semiparametric Estimation in Time Series Regression with Long Range Dependence 0 0 0 115 0 0 0 429
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 1 1 2 5 1 1 3 21
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 0 0 60 0 0 0 117
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 0 0 2 0 0 0 9
Spectral Analysis of Fractionally Cointegrated Systems 0 0 0 110 0 0 0 264
Testing The Cvar In The Fractional Cvar Model 0 0 0 74 0 0 1 96
Testing for the appropriate level of clustering in linear regression models 1 2 16 16 1 4 29 29
Testing for the appropriate level of clustering in linear regression models 3 5 50 375 8 11 141 789
Testing the CVAR in the fractional CVAR model 0 0 0 18 0 0 2 42
Testing the CVAR in the fractional CVAR model 0 0 1 6 0 0 2 41
The Cointegrated Vector Autoregressive Model With General Deterministic Terms 0 0 0 83 0 0 2 147
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 0 1 81 0 1 4 239
The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect 0 0 0 114 0 0 1 418
The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices 0 1 1 195 1 2 18 743
The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps 0 0 2 208 1 1 15 1,115
The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets 0 0 2 383 1 1 9 1,173
The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models 1 1 1 215 1 2 5 420
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets 0 0 1 213 0 1 6 604
The cointegrated vector autoregressive model with general deterministic terms 0 0 0 11 0 0 0 51
The cointegrated vector autoregressive model with general deterministic terms 0 0 0 63 0 0 1 59
The impact of financial crises on the risk-return tradeoff and the leverage effect 0 0 0 88 0 0 0 327
The role of initial values in nonstationary fractional time series models 0 0 0 32 0 0 0 69
The role of initial values in nonstationary fractional time series models 0 0 1 17 0 1 6 66
To infinity and beyond: Efficient computation of ARCH(1) models 0 1 1 179 0 1 1 26
To infinity and beyond: Efficient computation of ARCH(\infty) models 0 0 0 101 0 0 4 130
Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends 0 0 0 106 0 0 1 172
Truncated sum of squares estimation of fractional time series models with deterministic trends 0 0 0 8 0 0 1 28
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend 0 0 1 4 0 1 4 10
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend 0 0 0 38 0 0 0 60
Validity Of Wild Bootstrap Inference With Clustered Errors 0 0 0 115 0 0 3 193
Weak convergence to derivatives of fractional Brownian motion 0 2 7 8 1 5 18 27
Wild Bootstrap and Asymptotic Inference with Multiway Clustering 0 0 3 157 0 2 9 335
Wild Bootstrap and Asymptotic Inference with Multiway Clustering 0 1 4 20 0 1 7 47
Total Working Papers 49 109 544 16,285 136 312 1,593 41,012
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 1 8 125 1 3 18 299
A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets 0 0 0 87 0 0 2 230
A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM 0 0 2 48 0 1 3 214
A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC 0 0 0 63 0 0 1 174
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 1 103 0 0 6 242
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 0 2 0 0 3 18
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets 0 0 4 54 1 2 11 216
A regime switching long memory model for electricity prices 0 2 5 337 1 5 11 904
A vector autoregressive model for electricity prices subject to long memory and regime switching 0 0 2 94 1 1 5 311
Adaptive Inference in Heteroscedastic Fractional Time Series Models 1 1 4 9 1 5 15 31
Asset Market Perspectives on the Israeli–Palestinian Conflict 0 1 4 83 0 1 7 352
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting 0 0 0 176 0 0 3 414
Asymptotic theory and wild bootstrap inference with clustered errors 1 3 10 34 1 5 30 111
Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models 0 0 0 41 0 1 2 114
Bias-Reduced Estimation of Long-Memory Stochastic Volatility 0 0 1 49 0 0 2 176
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 61 0 0 0 192
Cluster-robust inference: A guide to empirical practice 0 2 15 15 3 11 44 44
Comment 1 2 2 29 1 2 2 143
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 0 167 0 1 4 564
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach 0 0 0 249 1 5 11 679
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 96 2 2 2 270
EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS 0 0 0 52 0 0 0 152
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 0 0 3 40 0 0 6 136
Efficient inference in multivariate fractionally integrated time series models 0 0 0 83 0 1 1 327
Estimation of fractional integration in the presence of data noise 0 0 0 104 0 0 0 253
Fast and reliable jackknife and bootstrap methods for cluster‐robust inference 0 2 2 2 3 8 11 11
Fast and wild: Bootstrap inference in Stata using boottest 0 1 14 126 2 9 42 456
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration 2 2 5 60 3 3 6 239
Finite sample accuracy and choice of sampling frequency in integrated volatility estimation 0 0 1 116 0 0 2 480
Forecasting daily political opinion polls using the fractionally cointegrated vector auto‐regressive model 0 1 5 72 1 3 15 203
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 0 98 0 0 2 321
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 0 6 0 0 0 27
INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES 1 1 2 2 3 5 9 9
Improved likelihood ratio tests for cointegration rank in the VAR model 0 0 0 29 0 1 4 123
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 0 2 18 597 1 5 40 1,441
Likelihood inference for a nonstationary fractional autoregressive model 1 2 3 79 1 2 5 210
Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation 0 0 0 65 0 0 0 174
Local empirical spectral measure of multivariate processes with long range dependence 0 0 1 15 0 0 1 67
Local polynomial Whittle estimation of perturbed fractional processes 0 0 0 43 0 0 2 238
Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model 0 0 1 122 0 0 8 413
Multivariate Lagrange Multiplier Tests for Fractional Integration 0 0 0 134 0 0 0 773
NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS 0 2 4 87 0 2 8 210
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 0 28 0 0 1 128
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 0 0 0 147 0 0 3 501
Noncontemporaneous cointegration and the importance of timing 0 1 1 49 0 1 1 161
Nonparametric cointegration analysis of fractional systems with unknown integration orders 0 0 1 240 0 0 8 597
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model 0 0 1 22 0 1 5 75
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 0 0 84 0 0 0 203
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 0 0 2 45 1 1 7 167
Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence 0 0 1 92 0 0 1 357
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 3 10 12 1 6 29 37
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 6 0 0 0 26
Spectral analysis of fractionally cointegrated systems 1 1 1 102 1 1 4 286
THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS 0 0 0 29 0 0 0 94
TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS 0 0 2 21 0 0 4 40
Testing for the appropriate level of clustering in linear regression models 0 0 1 1 3 5 10 10
Testing the CVAR in the Fractional CVAR Model 0 0 2 28 0 0 6 114
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 0 2 201 0 1 6 606
The cointegrated vector autoregressive model with general deterministic terms 0 0 3 45 0 2 9 178
The impact of financial crises on the risk–return tradeoff and the leverage effect 0 0 0 30 0 0 1 123
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets 0 2 4 388 1 6 44 1,376
To infinity and beyond: Efficient computation of ARCH(∞) models 0 0 4 19 0 1 29 143
Wild Bootstrap and Asymptotic Inference With Multiway Clustering 0 0 4 13 0 2 15 54
Total Journal Articles 8 32 156 5,456 34 111 527 17,237


Software Item File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
SUMMCLUST: Stata module to compute cluster level measures of leverage, influence, and a cluster jackknife variance estimator 2 6 22 32 4 13 74 143
Total Software Items 2 6 22 32 4 13 74 143


Statistics updated 2023-12-04