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Browsing All of EconStor by Author Nielsen, Morten Ørregaard
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Year of Publication
Title
Author(s)
2010
Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren
;
Nielsen, Morten Ørregaard
2011
Asymptotics for the conditional-sum-of-squares estimator in fractional time series models
Nielsen, Morten Ørregaard
2012
The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
;
Zhu, Jie
2014
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh
;
Nielsen, Morten Ørregaard
;
Xu, Ke
2014
Quasi-maximum likelihood estimation of heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
;
Taylor, A. M. Robert
2014
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
Dolatabadi, Sepideh
;
Nielsen, Morten Ørregaard
;
Xu, Ke
2014
A Matlab program and user's guide for the fractionally cointegrated VAR model
Nielsen, Morten Ørregaard
;
Popiel, Michał Ksawery
2014
A fractionally cointegrated VAR analysis of economic voting and political support
Jones, Maggie E. C.
;
Nielsen, Morten Ørregaard
;
Popiel, Michał Ksawery
2015
Forecasting daily political opinion polls using the fractionally cointegrated VAR model
Nielsen, Morten Ørregaard
;
Shibaev, Sergei S.
2015
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Dolatabadi, Sepideh
;
Narayan, Paresh Kumar
;
Nielsen, Morten Ørregaard
;
Xu, Ke
2016
The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren
;
Nielsen, Morten Ørregaard
2017
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
;
Taylor, A.M. Robert
2017
Bootstrap and Asymptotic Inference with Multiway Clustering
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
;
Webb, Matthew D.
2017
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier
;
Nielsen, Morten Ørregaard
2017
Validity of Wild Bootstrap Inference with Clustered Errors
Djogbenou, Antoine
;
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
2017
Testing the CVAR in the fractional CVAR model
Johansen, Søren
;
Nielsen, Morten Ørregaard
2018
Fast and Wild: Bootstrap Inference in Stata Using boottest
Roodman, David Malin
;
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
;
Webb, Matthew
2018
Nonstationary cointegration in the fractionally cointegrated VAR model
Johansen, Søren
;
Nielsen, Morten Ørregaard
2019
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Won-Ki
;
Seong, Dakyung
2019
Wild bootstrap and asymptotic inference with multiway clustering
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
;
Webb, Matthew