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Results 11-20 of 38.
Year of PublicationTitleAuthor(s)
2014A Matlab program and user's guide for the fractionally cointegrated VAR modelNielsen, Morten Ørregaard; Popiel, Michał Ksawery
2008Continuous-time models, realized volatilities, and testable distributional implications for daily stock returnsAndersen, Torben G.; Bollerslev, Tim; Frederiksen, Per; Nielsen, Morten Ørregaard
2009Local polynomial Whittle estimation of perturbed fractional processesFrederiksen, Per; Nielsen, Frank S.; Nielsen, Morten Ørregaard
2008Fully modified narrow-band least squares estimation of stationary fractional cointegrationNielsen, Morten Ørregaard; Frederiksen, Per
2014Quasi-maximum likelihood estimation of heteroskedastic fractional time series modelsCavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A. M. Robert
2015Forecasting daily political opinion polls using the fractionally cointegrated VAR modelNielsen, Morten Ørregaard; Shibaev, Sergei S.
2010Numerical distribution functions of fractional unit root and cointegration testsMacKinnon, James G.; Nielsen, Morten Ørregaard
2005Forecasting exchange rate volatility in the presence of jumpsBusch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
2008The 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
2014A fractionally cointegrated VAR model with deterministic trends and application to commodity futures marketsDolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke