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DateTitle Authors
2004 Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott FilterSchlicht, Ekkehart
2007 How frequently does the stock price jump? An analysis of high-frequency data with microstructure noisesDuan, Jin-Chuan / Fülöp, András
2010 A necessary moment condition for the fractional functional central limit theoremJohansen, Søren / Ørregaard Nielsen, Morten
2010 Long memory and fractional integration in high frequency financial time seriesCaporale, Guglielmo Maria / Gil-Alana, Luis A.
2004 Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak InstrumentsChao, John C. / Swanson, Norman R.
2008 A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statisticNielsen, Morten Ørregaard
2009 Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M modelChristensen, Bent Jesper / Nielsen, Morten Ørregaard / Zhu, Jie
2012 The role of initial values in nonstationary fractional time series modelsJohansen, Søren / Ørregaard Nielsen, Morten
2002 On Conditional Density Estimationde Gooijer, Jan G. / Zerom, Dawit
2009 Fully modified Narrow-Band least squares estimation of weak fractional cointegrationFrederiksen, Per / Nielsen, Morten Ørregaard

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