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Ergebnisse 1-10 von 19.
ErscheinungsjahrTitelAutor:innen
2005Forecasting exchange rate volatility in the presence of jumpsBusch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
2008A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statisticNielsen, Morten Ørregaard
2008Likelihood inference for a nonstationary fractional autoregressive modelJohansen, Søren; Nielsen, Morten Ørregaard
2009Nearly efficient likelihood ratio tests of the unit root hypothesisJansson, Michael; 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
2009Fully modified Narrow-Band least squares estimation of weak fractional cointegrationFrederiksen, Per; Nielsen, Morten Ørregaard
2005The implied-realized volatility relation with jumps in underlying asset pricesChristensen, Bent Jesper; Nielsen, Morten Ørregaard
2006The information content of treasury bond options concerning future volatility and price jumpsBusch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard
2006Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle ApproachShimotsu, Katsumi; Nielsen, Morten Ørregaard
2005Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integrationNielsen, Morten Ørregaard; Frederiksen, Per