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 0 1 2 551
A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support 0 0 0 182 0 0 2 387
A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets 0 0 1 92 0 0 2 260
A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets 0 0 1 190 1 1 5 414
A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model 1 7 28 1,127 1 10 56 2,065
A Necessary Moment Condition For The Fractional Functional Central Limit Theorem 0 0 0 62 0 0 0 172
A Necessary Moment Condition for the Fractional Functional Central Limit Theorem 0 0 0 25 0 0 0 144
A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic 0 0 0 79 1 1 2 274
A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic 0 0 0 59 0 0 0 155
A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis 0 0 0 116 0 0 1 488
A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis 0 0 0 37 0 0 1 143
A Regime Switching Long Memory Model for Electricity Prices 0 0 0 632 0 0 0 1,459
A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching 0 0 0 271 2 2 3 761
A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching 0 0 0 132 0 0 0 388
A fast fractional difference algorithm 0 1 2 43 0 2 4 133
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 1 54 0 0 4 98
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets 0 0 0 42 0 0 0 128
A necessary moment condition for the fractional functional central limit theorem 0 0 0 15 0 0 1 66
Adaptive Inference In Heteroskedastic Fractional Time Series Models 0 0 0 188 0 1 2 335
Adaptive Inference in Heteroskedastic Fractional Time Series Models 1 1 1 9 1 1 2 39
Asset Market Perspectives on the Israeli-Palestinian Conflict 0 0 0 6 0 0 1 28
Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors 1 2 8 279 3 4 20 538
Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors 0 0 0 13 0 1 3 71
Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models 0 0 0 211 0 0 0 413
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 1 238 1 6 14 473
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 1 5 21 95 1 8 54 213
Cluster-Robust Inference: A Guide to Empirical Practice 0 1 4 23 0 2 8 61
Cluster-Robust Inference: A Guide to Empirical Practice 0 0 1 13 0 1 4 31
Cluster-Robust Inference: A Guide to Empirical Practice 2 5 34 435 6 18 84 852
Cluster-Robust Jackknife and Bootstrap Inference for Binary Response Models 1 1 2 4 2 3 8 11
Cluster-robust jackknife and bootstrap inference for logistic regression models 1 4 18 20 1 7 33 43
Cluster–robust inference: A guide to empirical practice 0 1 3 21 0 4 15 81
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 0 0 0 61 0 0 1 297
Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns 0 0 0 373 1 2 5 928
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 1 363
Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model 0 0 1 229 0 1 7 554
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 0 0 1 8 0 0 2 53
Efficient Inference in Multivariate Fractionally Integrated Time Series Models 0 0 0 188 0 0 0 542
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 0 35 0 0 0 127
Fast And Wild: Bootstrap Inference In Stata Using Boottest 3 12 61 1,043 14 62 234 3,229
Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference 0 0 0 5 0 1 5 25
Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference 0 2 15 134 1 4 33 255
Fast and Wild: Bootstrap Inference in Stata Using boottest 0 0 2 45 0 1 5 205
Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model 0 0 3 791 0 1 10 1,709
Finite Sample Accuracy Of Integrated Volatility Estimators 0 0 0 23 0 0 1 131
Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration 0 0 0 73 0 0 1 303
Forecasting Exchange Rate Volatility In The Presence Of Jumps 0 0 0 144 0 1 5 570
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 0 0 1 36 0 0 3 81
Forecasting daily political opinion polls using the fractionally cointegrated VAR model 1 1 2 196 1 1 3 476
Fractional integration and cointegration 1 2 6 18 2 6 12 39
Fractional integration and cointegration 0 0 1 136 0 1 5 101
Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration 0 0 0 12 0 1 1 52
Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration 0 0 0 105 0 0 0 352
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 2 16 0 0 2 83
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model 0 0 0 49 0 0 0 132
Inference on common trends in functional time series 0 2 11 25 0 5 29 49
Inference on the dimension of the nonstationary subspace in functional time series 0 0 0 11 0 0 2 25
Inference on the dimension of the nonstationary subspace in functional time series 0 0 3 267 0 0 13 581
Jackknife Inference with Two-Way Clustering 0 0 0 7 1 1 11 23
Jackknife inference with two-way clustering 2 5 26 27 3 11 50 58
Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust 0 0 0 20 0 0 0 46
Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust 1 2 3 74 1 3 11 144
Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model 1 2 3 326 2 3 5 561
Likelihood Inference For A Nonstationary Fractional Autoregressive Model 0 0 0 223 0 0 1 556
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 0 0 1 47 1 1 4 179
Likelihood Inference for a Nonstationary Fractional Autoregressive Model 0 0 0 110 0 0 0 260
Likelihood inference for a fractionally cointegrated vector autoregressive model 0 0 1 123 0 0 3 202
Likelihood inference for a nonstationary fractional autoregressive model 0 0 0 29 0 0 0 99
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 79 0 0 0 226
Local Whittle Analysis of Stationary Fractional Cointegration 0 0 0 110 0 1 1 394
Local polynomial Whittle estimation of perturbed fractional processes 0 0 0 54 0 0 1 164
Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model 0 0 1 197 1 1 2 511
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model 0 0 0 141 0 0 0 320
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 1 3 159
Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis 0 0 0 184 0 0 0 411
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 0 17 0 0 0 73
Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order 0 0 1 94 0 0 4 135
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 0 0 0 34 1 1 3 119
Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders 0 0 1 146 0 0 2 386
Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders 0 1 1 68 0 2 2 169
Nonstationary Cointegration In The Fractionally Cointegrated Var Model 0 0 0 134 0 0 2 224
Nonstationary cointegration in the fractionally cointegrated VAR model 0 0 0 12 0 0 0 44
Nonstationary cointegration in the fractionally cointegrated VAR model 0 0 1 35 0 0 2 55
Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests 2 4 6 500 2 6 9 950
Numerical distribution functions of fractional unit root and cointegration tests 0 0 1 58 0 1 3 134
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 2 51
Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form 0 0 1 224 0 0 3 443
Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data 0 0 0 300 0 0 1 1,181
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 0 1 2 8 6 7 11 34
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 0 0 60 0 0 1 118
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 0 0 2 3 3 3 12
Spectral Analysis of Fractionally Cointegrated Systems 0 0 0 110 0 0 1 265
Testing The Cvar In The Fractional Cvar Model 0 0 0 74 0 0 1 98
Testing for the appropriate level of clustering in linear regression models 0 0 0 19 1 1 2 36
Testing for the appropriate level of clustering in linear regression models 1 3 5 385 1 4 16 824
Testing the CVAR in the fractional CVAR model 0 0 1 19 0 0 3 46
Testing the CVAR in the fractional CVAR model 0 0 0 6 0 0 1 43
The Cointegrated Vector Autoregressive Model With General Deterministic Terms 0 0 0 83 0 0 2 149
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 0 0 82 0 1 3 248
The Global Carbon Budget as a cointegrated system 2 7 38 38 5 16 50 50
The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect 0 0 0 115 0 0 0 420
The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices 0 0 0 195 0 0 2 747
The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps 0 0 1 211 0 0 6 1,127
The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets 0 0 0 384 2 3 4 1,183
The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models 0 0 1 217 0 1 2 425
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets 0 0 1 214 0 0 2 608
The cointegrated vector autoregressive model with general deterministic terms 0 0 0 11 0 0 2 54
The cointegrated vector autoregressive model with general deterministic terms 0 0 0 63 0 0 0 61
The impact of financial crises on the risk-return tradeoff and the leverage effect 0 0 0 89 1 1 2 331
The role of initial values in nonstationary fractional time series models 0 0 0 32 1 1 2 71
The role of initial values in nonstationary fractional time series models 0 0 0 17 0 0 4 70
To infinity and beyond: Efficient computation of ARCH(1) models 0 0 0 179 0 0 1 28
To infinity and beyond: Efficient computation of ARCH(\infty) models 0 0 1 102 0 0 2 132
Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends 0 0 4 112 0 0 5 179
Truncated sum of squares estimation of fractional time series models with deterministic trends 0 0 1 9 0 0 3 32
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend 0 0 3 7 0 0 9 24
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend 0 0 2 41 0 0 6 68
Validity Of Wild Bootstrap Inference With Clustered Errors 0 0 0 115 0 1 2 195
Weak convergence to derivatives of fractional Brownian motion 0 0 3 13 0 0 7 39
Wild Bootstrap and Asymptotic Inference with Multiway Clustering 0 0 1 21 0 0 2 55
Wild Bootstrap and Asymptotic Inference with Multiway Clustering 0 1 3 164 0 1 9 351
Total Working Papers 22 74 349 16,900 72 233 1,002 42,803


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 2 4 131 1 5 8 316
A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets 1 1 1 88 1 1 1 235
A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM 0 0 0 48 0 0 4 220
A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC 0 0 0 63 0 0 5 184
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 4 108 0 0 6 252
A fractionally cointegrated VAR analysis of economic voting and political support 0 0 1 4 0 0 6 25
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets 0 0 5 60 0 0 9 228
A regime switching long memory model for electricity prices 0 0 3 345 0 0 8 920
A vector autoregressive model for electricity prices subject to long memory and regime switching 0 1 2 96 0 1 2 319
Adaptive Inference in Heteroscedastic Fractional Time Series Models 0 1 6 20 1 2 10 46
Asset Market Perspectives on the Israeli–Palestinian Conflict 0 0 5 90 0 1 12 369
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting 0 0 2 179 0 0 7 424
Asymptotic theory and wild bootstrap inference with clustered errors 0 1 9 48 4 9 23 147
Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models 0 0 0 41 0 0 1 115
Bias-Reduced Estimation of Long-Memory Stochastic Volatility 1 2 3 52 1 2 3 179
Bootstrap Inference in the Presence of Bias 1 2 6 6 1 7 19 19
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 65 0 1 4 198
Cluster-robust inference: A guide to empirical practice 1 3 12 42 5 15 48 131
Comment 0 0 0 29 0 1 2 146
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns 1 1 1 170 1 1 8 578
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach 0 0 0 249 0 0 14 694
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices 0 0 0 96 0 2 2 274
EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS 0 1 2 55 0 1 4 158
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model 0 0 2 42 0 0 4 141
Efficient inference in multivariate fractionally integrated time series models 0 0 0 83 0 0 1 329
Estimation of fractional integration in the presence of data noise 0 0 0 104 0 0 1 255
Fast and reliable jackknife and bootstrap methods for cluster‐robust inference 1 1 4 10 2 3 12 38
Fast and wild: Bootstrap inference in Stata using boottest 2 5 15 150 5 23 67 557
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration 0 0 1 61 0 0 4 243
Finite sample accuracy and choice of sampling frequency in integrated volatility estimation 0 0 0 117 0 0 1 482
Forecasting daily political opinion polls using the fractionally cointegrated vector auto‐regressive model 0 1 6 80 0 3 12 221
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 1 8 0 0 4 32
Fully modified narrow‐band least squares estimation of weak fractional cointegration 0 0 2 100 0 0 5 326
INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES 1 2 4 10 1 2 12 28
Improved likelihood ratio tests for cointegration rank in the VAR model 0 0 0 29 0 0 1 125
Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust 0 0 4 12 1 3 13 36
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model 1 3 24 634 4 11 64 1,537
Likelihood inference for a nonstationary fractional autoregressive model 0 0 2 81 0 0 6 218
Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation 0 0 1 66 0 0 3 179
Local empirical spectral measure of multivariate processes with long range dependence 0 0 1 17 0 0 1 69
Local polynomial Whittle estimation of perturbed fractional processes 0 1 1 44 0 1 3 242
Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model 0 1 1 123 0 1 3 416
Multivariate Lagrange Multiplier Tests for Fractional Integration 1 1 2 136 1 2 3 776
NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS 1 3 7 97 1 4 9 223
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots 0 0 0 29 0 0 1 130
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis 0 0 2 150 0 0 6 511
Noncontemporaneous cointegration and the importance of timing 0 0 0 49 0 0 1 162
Nonparametric cointegration analysis of fractional systems with unknown integration orders 1 1 4 244 1 2 7 604
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model 0 0 0 24 1 1 3 82
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics 0 0 1 85 0 0 3 207
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form 0 0 1 49 0 1 3 176
Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence 0 0 1 93 0 0 1 358
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks 0 1 3 17 3 4 10 53
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 1 1 7 0 2 4 30
Spectral analysis of fractionally cointegrated systems 0 0 0 102 0 0 2 290
THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS 0 1 3 34 0 1 5 103
TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS 0 0 3 28 0 1 11 55
Testing for the appropriate level of clustering in linear regression models 0 1 7 13 0 3 16 42
Testing the CVAR in the Fractional CVAR Model 0 0 1 29 0 0 4 118
The Effect of Long Memory in Volatility on Stock Market Fluctuations 0 1 1 202 0 1 8 615
The cointegrated vector autoregressive model with general deterministic terms 0 1 3 48 0 1 7 187
The impact of financial crises on the risk–return tradeoff and the leverage effect 1 1 1 31 2 3 6 130
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets 2 3 11 400 6 11 27 1,414
To infinity and beyond: Efficient computation of ARCH(∞) models 0 1 4 25 0 2 14 161
Wild Bootstrap and Asymptotic Inference With Multiway Clustering 0 0 4 19 1 1 11 72
Total Journal Articles 17 46 197 5,767 44 136 585 18,150


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 0 1 6 10 1 4 34 59
SUMMCLUST: Stata module to compute cluster level measures of leverage, influence, and a cluster jackknife variance estimator 1 4 10 43 3 7 33 192
Total Software Items 1 5 16 53 4 11 67 251


Statistics updated 2025-07-04