Browsing All of EconStor by Author Nielsen, Morten Ørregaard

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Year of Publication	Title	Author(s)
2005	Forecasting exchange rate volatility in the presence of jumps	Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
2005	The implied-realized volatility relation with jumps in underlying asset prices	Christensen, Bent Jesper; Nielsen, Morten Ørregaard
2005	Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration	Nielsen, Morten Ørregaard; Frederiksen, Per
2005	Finite sample accuracy of integrated volatility estimators	Nielsen, Morten Ørregaard; Houmann Frederiksen, Per
2006	The information content of treasury bond options concerning future volatility and price jumps	Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
2006	Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach	Shimotsu, Katsumi; Nielsen, Morten Ørregaard
2008	A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic	Nielsen, Morten Ørregaard
2008	Likelihood inference for a nonstationary fractional autoregressive model	Johansen, Søren; Nielsen, Morten Ørregaard
2008	The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets	Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
2008	Nonparametric cointegration analysis of fractional systems with unknown integration orders	Nielsen, Morten Ørregaard
2008	Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns	Andersen, Torben G.; Bollerslev, Tim; Frederiksen, Per; Nielsen, Morten Ørregaard
2008	A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic	Nielsen, Morten Ørregaard
2008	Fully modified narrow-band least squares estimation of stationary fractional cointegration	Nielsen, Morten Ørregaard; Frederiksen, Per
2009	Nearly efficient likelihood ratio tests of the unit root hypothesis	Jansson, Michael; Nielsen, Morten Ørregaard
2009	Fully modified Narrow-Band least squares estimation of weak fractional cointegration	Frederiksen, Per; Nielsen, Morten Ørregaard
2009	Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M model	Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie
2009	A vector autoregressive model for electricity prices subject to long memory and regime switching	Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten Ørregaard
2009	Local polynomial Whittle estimation of perturbed fractional processes	Frederiksen, Per; Nielsen, Frank S.; Nielsen, Morten Ørregaard
2009	Nearly efficient likelihood ratio tests for seasonal unit roots	Jansson, Michael; Nielsen, Morten Ørregaard
2010	Numerical distribution functions of fractional unit root and cointegration tests	MacKinnon, James G.; Nielsen, Morten Ørregaard

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