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 0 234 2 3 9 519
A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support 0 1 4 173 0 3 20 344
A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets 0 1 5 88 0 3 19 236
A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets 0 3 7 184 1 7 36 385
A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model 3 15 73 879 5 36 172 1,525
A Necessary Moment Condition For The Fractional Functional Central Limit Theorem 0 0 1 61 0 1 5 161
A Necessary Moment Condition for the Fractional Functional Central Limit Theorem 0 0 1 23 1 1 9 134
A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic 0 1 2 79 0 1 4 268
A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic 0 0 0 59 0 2 2 151
A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis 0 0 1 114 1 3 11 481
A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis 0 0 0 37 0 0 2 135
A Regime Switching Long Memory Model for Electricity Prices 0 0 1 626 0 2 14 1,440
A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching 0 0 0 270 0 1 3 750
A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching 0 0 0 131 0 1 5 379
A fast fractional difference algorithm 0 0 1 37 0 2 12 108
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 3 51 0 2 16 84
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets 0 0 1 38 1 5 13 114
A necessary moment condition for the fractional functional central limit theorem 0 0 0 15 0 3 4 62
Adaptive Inference In Heteroskedastic Fractional Time Series Models 0 5 21 167 1 10 53 278
Adaptive Inference in Heteroskedastic Fractional Time Series Models 0 1 3 3 1 6 12 12
Asset Market Perspectives on the Israeli-Palestinian Conflict 0 0 1 3 0 3 10 14
Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors 2 7 26 199 3 13 55 375
Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors 0 0 1 6 0 4 15 38
Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models 0 0 0 210 2 4 7 407
Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models 0 0 0 19 0 1 9 47
Bias-reduced estimation of long memory stochastic volatility 0 0 1 62 0 2 9 188
Bootstrap And Asymptotic Inference With Multiway Clustering 1 6 21 205 1 15 50 383
Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets 0 1 3 177 1 5 13 397
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 44 1 3 9 82
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 1 61 0 0 10 251
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 2 370 1 3 20 881
Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach 0 0 1 164 1 2 5 517
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 133 1 2 11 357
Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model 0 0 6 220 1 8 33 511
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 0 0 0 5 0 4 16 38
Efficient Inference in Multivariate Fractionally Integrated Time Series Models 0 0 0 187 0 0 1 535
Efficient Likelihold Inference in Nonstationary Univariate Models 0 0 0 21 0 1 8 102
Estimation of Fractional Integration in the Presence of Data Noise 0 0 0 33 0 1 3 119
Fast And Wild: Bootstrap Inference In Stata Using Boottest 13 25 120 513 36 88 427 1,459
Fast and Wild: Bootstrap Inference in Stata Using boottest 2 4 14 23 5 12 55 95
Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model 1 5 17 745 2 11 49 1,572
Finite Sample Accuracy Of Integrated Volatility Estimators 0 0 0 23 0 1 5 122
Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration 0 0 1 72 0 2 18 293
Forecasting Exchange Rate Volatility In The Presence Of Jumps 0 0 0 139 0 1 11 550
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 0 1 187 0 0 10 449
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 0 0 34 0 4 7 67
Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration 0 0 0 12 0 1 2 48
Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration 0 0 0 105 0 1 6 345
Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration 0 0 0 49 0 0 4 152
Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model 0 0 0 48 0 2 4 178
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 0 14 1 5 9 78
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 0 49 0 2 3 130
Inference on the dimension of the nonstationary subspace in functional time series 7 26 100 176 14 55 274 372
Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model 0 0 0 317 0 2 7 536
Likelihood Inference For A Nonstationary Fractional Autoregressive Model 0 0 0 220 0 4 9 547
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 0 0 1 45 0 4 17 165
Likelihood Inference for a Nonstationary Fractional Autoregressive Model 0 0 1 109 1 3 8 255
Likelihood inference for a fractionally cointegrated vector autoregressive model 0 0 5 119 1 3 14 186
Likelihood inference for a nonstationary fractional autoregressive model 0 0 0 27 0 1 8 93
Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence 0 0 0 105 0 1 4 329
Local Polynomial Whittle Estimation Of Perturbed Fractional Processes 0 0 2 78 0 2 8 223
Local Whittle Analysis of Stationary Fractional Cointegration 0 0 0 108 0 1 6 385
Local polynomial Whittle estimation of perturbed fractional processes 0 0 1 54 0 1 7 161
Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model 0 0 1 191 0 0 9 486
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model 0 0 2 141 0 1 6 317
Multivariate Lagrange Multiplier Tests for Fractional Integration 1 1 1 166 1 3 6 866
Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots 0 0 0 37 0 4 6 150
Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis 0 0 2 179 0 6 19 394
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 0 17 0 4 10 70
Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order 2 6 38 38 3 11 37 37
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 0 0 0 34 0 3 8 113
Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders 0 0 0 144 0 0 5 379
Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders 0 0 0 64 1 2 5 157
Nonstationary Cointegration In The Fractionally Cointegrated Var Model 0 2 14 122 0 4 34 177
Nonstationary cointegration in the fractionally cointegrated VAR model 0 1 6 29 0 3 13 38
Nonstationary cointegration in the fractionally cointegrated VAR model 0 1 2 9 0 5 10 33
Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests 0 2 11 474 1 4 19 902
Numerical distribution functions of fractional unit root and cointegration tests 1 1 3 53 1 2 8 119
Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 0 0 176 2 4 5 522
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form 0 0 0 24 0 2 7 41
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 0 1 5 215 0 1 24 415
Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data 0 0 1 300 0 1 10 1,173
Semiparametric Estimation in Time Series Regression with Long Range Dependence 0 0 0 114 3 6 17 379
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 3 6 22 22 4 13 26 26
Spectral Analysis of Fractionally Cointegrated Systems 0 0 0 109 0 2 4 261
Testing The Cvar In The Fractional Cvar Model 0 0 1 71 1 5 14 88
Testing for the appropriate level of clustering in linear regression models 21 43 122 122 32 78 165 165
Testing the CVAR in the fractional CVAR model 0 0 2 5 0 1 8 34
Testing the CVAR in the fractional CVAR model 0 0 3 17 0 0 5 31
The Cointegrated Vector Autoregressive Model With General Deterministic Terms 0 1 1 82 0 3 13 133
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 1 1 79 0 1 6 229
The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect 0 0 0 114 0 3 9 410
The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices 0 0 0 191 0 3 18 696
The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps 0 0 0 204 2 6 19 1,056
The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets 0 0 1 380 0 3 15 1,146
The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models 1 1 4 206 1 2 18 378
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets 0 0 1 209 0 3 24 590
The cointegrated vector autoregressive model with general deterministic terms 0 0 0 63 0 5 14 57
The cointegrated vector autoregressive model with general deterministic terms 0 0 1 11 0 1 6 47
The impact of financial crises on the risk-return tradeoff and the leverage effect 0 0 0 87 0 4 12 319
The role of initial values in nonstationary fractional time series models 0 0 0 31 2 5 6 63
The role of initial values in nonstationary fractional time series models 0 0 0 15 0 2 4 56
To infinity and beyond: Efficient computation of ARCH(\infty) models 1 5 73 73 2 9 56 56
Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends 0 0 5 95 1 4 18 152
Truncated sum of squares estimation of fractional time series models with deterministic trends 0 0 3 3 0 4 10 10
Validity Of Wild Bootstrap Inference With Clustered Errors 0 1 3 112 1 4 11 178
Wild Bootstrap and Asymptotic Inference with Multiway Clustering 2 2 7 7 3 7 14 14
Wild Bootstrap and Asymptotic Inference with Multiway Clustering 3 10 34 118 3 17 77 236
Total Working Papers 64 187 822 13,712 149 621 2,507 34,797
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 3 14 96 1 6 34 224
A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets 0 0 4 78 0 1 17 207
A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC 0 0 2 63 1 1 6 166
A fractionally cointegrated VAR analysis of economic voting and political support 0 1 11 93 0 4 27 211
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 0 0 0 1 6 6
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets 0 0 5 38 2 9 28 145
A regime switching long memory model for electricity prices 0 2 5 324 0 2 18 863
A vector autoregressive model for electricity prices subject to long memory and regime switching 0 0 0 87 1 2 7 282
Asset Market Perspectives on the Israeli–Palestinian Conflict 0 2 4 76 1 5 12 332
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting 0 0 4 168 1 1 13 389
Asymptotic theory and wild bootstrap inference with clustered errors 0 3 11 12 1 6 33 40
Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models 0 0 4 34 0 0 11 97
Bias-Reduced Estimation of Long-Memory Stochastic Volatility 0 0 2 46 0 2 9 170
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 57 0 3 12 175
Comment 1 1 1 27 1 3 8 139
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 0 0 2 166 1 3 19 532
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach 0 0 6 238 1 2 13 609
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 1 92 1 1 9 260
EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS 1 1 3 51 1 1 8 143
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 1 2 14 28 3 8 46 101
Efficient inference in multivariate fractionally integrated time series models 0 0 0 82 0 0 2 322
Estimation of fractional integration in the presence of data noise 0 0 0 102 0 1 5 247
Fast and wild: Bootstrap inference in Stata using boottest 1 4 32 67 9 20 114 259
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration 0 1 2 51 0 2 10 224
Finite sample accuracy and choice of sampling frequency in integrated volatility estimation 0 0 0 114 2 2 9 471
Forecasting daily political opinion polls using the fractionally cointegrated vector auto‐regressive model 0 2 18 45 3 8 43 114
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 1 2 95 3 4 13 308
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 2 5 0 0 4 26
Improved likelihood ratio tests for cointegration rank in the VAR model 0 0 1 26 0 2 7 107
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 0 4 21 530 5 12 74 1,243
Likelihood inference for a nonstationary fractional autoregressive model 0 0 3 68 0 2 10 185
Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation 0 1 1 62 0 1 8 166
Local empirical spectral measure of multivariate processes with long range dependence 0 1 1 14 0 2 6 63
Local polynomial Whittle estimation of perturbed fractional processes 0 1 2 37 0 1 13 220
Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model 1 1 3 117 1 3 13 385
Multivariate Lagrange Multiplier Tests for Fractional Integration 0 0 0 133 1 3 9 766
NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS 0 2 9 69 1 4 21 168
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 1 28 0 1 7 122
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 1 1 10 139 4 7 46 462
Noncontemporaneous cointegration and the importance of timing 0 0 0 47 1 1 3 156
Nonparametric cointegration analysis of fractional systems with unknown integration orders 0 1 7 218 0 2 15 546
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model 0 0 5 7 0 2 21 43
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 0 0 83 0 1 5 196
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 1 2 8 33 2 7 32 133
Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence 0 1 1 88 1 3 13 349
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 3 5 0 0 9 21
Spectral analysis of fractionally cointegrated systems 0 0 1 98 1 3 11 276
THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS 1 2 4 18 1 4 19 66
TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS 0 0 0 0 2 6 8 8
Testing the CVAR in the Fractional CVAR Model 0 0 4 18 0 3 31 86
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 1 2 196 1 7 16 579
The cointegrated vector autoregressive model with general deterministic terms 0 1 3 31 0 2 24 132
The impact of financial crises on the risk–return tradeoff and the leverage effect 0 1 1 30 1 4 19 113
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets 0 0 12 366 3 10 46 1,257
Total Journal Articles 8 43 253 4,796 58 191 1,022 14,910


Statistics updated 2020-11-03