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Results 1-10 of 19.
Year of PublicationTitleAuthor(s)
2006Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle ApproachShimotsu, Katsumi; Nielsen, Morten Ørregaard
2008A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statisticNielsen, Morten Ørregaard
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
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
2009Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M modelChristensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie
2005Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integrationNielsen, Morten Ørregaard; Frederiksen, Per
2009Fully modified Narrow-Band least squares estimation of weak fractional cointegrationFrederiksen, Per; Nielsen, Morten Ørregaard