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Queen’s University, Kingston, Ontario
Department of Economics (QED), Queen’s University
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Year of Publication
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2018
Nonstationary cointegration in the fractionally cointegrated VAR model
Johansen, Søren
;
Nielsen, Morten Ørregaard
2017
Bootstrap and Asymptotic Inference with Multiway Clustering
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
;
Webb, Matthew D.
2009
Fully modified Narrow-Band least squares estimation of weak fractional cointegration
Frederiksen, Per
;
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
2005
The implied-realized volatility relation with jumps in underlying asset prices
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
2006
The information content of treasury bond options concerning future volatility and price jumps
Busch, Thomas
;
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
2014
Quasi-maximum likelihood estimation of heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
;
Taylor, A. M. Robert
2006
Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach
Shimotsu, Katsumi
;
Nielsen, Morten Ørregaard
2020
To infinity and beyond: Efficient computation of ARCH(\infty) models
Nielsen, Morten Ørregaard
;
Noël, Antoine
2021
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
Hualde, Javier
;
Nielsen, Morten Ørregaard
Author
11
MacKinnon, James G.
7
Webb, Matthew
6
Christensen, Bent Jesper
5
Frederiksen, Per
5
Johansen, Søren
3
Busch, Thomas
3
Dolatabadi, Sepideh
3
Jansson, Michael
3
Xu, Ke
2
Cavaliere, Giuseppe
.
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