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Queen’s University, Kingston, Ontario
Department of Economics (QED), Queen’s University
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2014
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
Dolatabadi, Sepideh
;
Nielsen, Morten Ørregaard
;
Xu, Ke
2015
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Dolatabadi, Sepideh
;
Narayan, Paresh Kumar
;
Nielsen, Morten Ørregaard
;
Xu, Ke
2017
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier
;
Nielsen, Morten Ørregaard
2005
Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration
Nielsen, Morten Ørregaard
;
Frederiksen, Per
2016
The cointegrated vector autoregressive model with general deterministic terms
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
2010
Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.
;
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
2008
Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard
2005
Finite sample accuracy of integrated volatility estimators
Nielsen, Morten Ørregaard
;
Houmann Frederiksen, Per
Author
9
MacKinnon, James G.
6
Christensen, Bent Jesper
5
Frederiksen, Per
5
Johansen, Søren
5
Webb, Matthew
3
Busch, Thomas
3
Dolatabadi, Sepideh
3
Jansson, Michael
3
Xu, Ke
2
Cavaliere, Giuseppe
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