Browsing All of EconStor by Author Nielsen, Morten Ørregaard


Showing results 21 to 40 of 48
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Year of PublicationTitleAuthor(s)
2010Likelihood inference for a fractionally cointegrated vector autoregressive modelJohansen, Søren; Nielsen, Morten Ørregaard
2011Asymptotics for the conditional-sum-of-squares estimator in fractional time series modelsNielsen, Morten Ørregaard
2012The impact of financial crises on the risk-return tradeoff and the leverage effectChristensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie
2014A fractionally cointegrated VAR analysis of price discovery in commodity futures marketsDolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke
2014Quasi-maximum likelihood estimation of heteroskedastic fractional time series modelsCavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A. M. Robert
2014A fractionally cointegrated VAR model with deterministic trends and application to commodity futures marketsDolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke
2014A Matlab program and user's guide for the fractionally cointegrated VAR modelNielsen, Morten Ørregaard; Popiel, Michał Ksawery
2014A fractionally cointegrated VAR analysis of economic voting and political supportJones, Maggie E. C.; Nielsen, Morten Ørregaard; Popiel, Michał Ksawery
2015Forecasting daily political opinion polls using the fractionally cointegrated VAR modelNielsen, Morten Ørregaard; Shibaev, Sergei S.
2015Economic significance of commodity return forecasts from the fractionally cointegrated VAR modelDolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, Morten Ørregaard; Xu, Ke
2016The cointegrated vector autoregressive model with general deterministic termsJohansen, Søren; Nielsen, Morten Ørregaard
2017Adaptive inference in heteroskedastic fractional time series modelsCavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A.M. Robert
2017Bootstrap and Asymptotic Inference with Multiway ClusteringMacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, Matthew D.
2017Truncated sum of squares estimation of fractional time series models with deterministic trendsHualde, Javier; Nielsen, Morten Ørregaard
2017Validity of Wild Bootstrap Inference with Clustered ErrorsDjogbenou, Antoine; MacKinnon, James G.; Nielsen, Morten Ørregaard
2017Testing the CVAR in the fractional CVAR modelJohansen, Søren; Nielsen, Morten Ørregaard
2018Fast and Wild: Bootstrap Inference in Stata Using boottestRoodman, David Malin; MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, Matthew
2018Nonstationary cointegration in the fractionally cointegrated VAR modelJohansen, Søren; Nielsen, Morten Ørregaard
2019Inference on the dimension of the nonstationary subspace in functional time seriesNielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung
2019Wild bootstrap and asymptotic inference with multiway clusteringMacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, Matthew