Browsing All of EconStor by Author Nielsen, Morten Ørregaard

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Year of PublicationTitleAuthor(s)
2005 Forecasting exchange rate volatility in the presence of jumpsBusch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
2005 Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integrationNielsen, Morten Ørregaard; Frederiksen, Per
2005 The implied-realized volatility relation with jumps in underlying asset pricesChristensen, Bent Jesper; Nielsen, Morten Ørregaard
2005 Finite sample accuracy of integrated volatility estimatorsNielsen, Morten Ørregaard; Houmann Frederiksen, Per
2006 Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle ApproachShimotsu, Katsumi; Nielsen, Morten Ørregaard
2006 The information content of treasury bond options concerning future volatility and price jumpsBusch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
2008 A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statisticNielsen, Morten Ørregaard
2008 Continuous-time models, realized volatilities, and testable distributional implications for daily stock returnsAndersen, Torben G.; Bollerslev, Tim; Frederiksen, Per; Nielsen, Morten Ørregaard
2008 Fully modified narrow-band least squares estimation of stationary fractional cointegrationNielsen, Morten Ørregaard; Frederiksen, Per
2008 The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond marketsBusch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
2008 A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statisticNielsen, Morten Ørregaard
2008 Likelihood inference for a nonstationary fractional autoregressive modelJohansen, Søren; Nielsen, Morten Ørregaard
2008 Nonparametric cointegration analysis of fractional systems with unknown integration ordersNielsen, Morten Ørregaard
2009 Local polynomial Whittle estimation of perturbed fractional processesFrederiksen, Per; Nielsen, Frank S.; Nielsen, 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
2009 Fully modified Narrow-Band least squares estimation of weak fractional cointegrationFrederiksen, Per; Nielsen, Morten Ørregaard
2009 Nearly efficient likelihood ratio tests for seasonal unit rootsJansson, Michael; Nielsen, Morten Ørregaard
2009 Nearly efficient likelihood ratio tests of the unit root hypothesisJansson, Michael; Nielsen, Morten Ørregaard
2009 A vector autoregressive model for electricity prices subject to long memory and regime switchingHaldrup, Niels; Nielsen, Frank S.; Nielsen, Morten Ørregaard
2010 Numerical distribution functions of fractional unit root and cointegration testsMacKinnon, James G.; Nielsen, Morten Ørregaard