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Results 1-10 of 19.
Year of PublicationTitleAuthor(s)
2017Adaptive inference in heteroskedastic fractional time series modelsCavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A.M. Robert
2014A fractionally cointegrated VAR analysis of price discovery in commodity futures marketsDolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke
2015Forecasting daily political opinion polls using the fractionally cointegrated VAR modelNielsen, Morten Ørregaard; Shibaev, Sergei S.
2018Fast and Wild: Bootstrap Inference in Stata Using boottestRoodman, David Malin; MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, Matthew
2018Nonstationary cointegration in the fractionally cointegrated VAR modelJohansen, Søren; Nielsen, Morten Ørregaard
2017Bootstrap and Asymptotic Inference with Multiway ClusteringMacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, Matthew D.
2012The impact of financial crises on the risk-return tradeoff and the leverage effectChristensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie
2014Quasi-maximum likelihood estimation of heteroskedastic fractional time series modelsCavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A. M. Robert
2014A fractionally cointegrated VAR model with deterministic trends and application to commodity futures marketsDolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke
2015Economic significance of commodity return forecasts from the fractionally cointegrated VAR modelDolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, Morten Ørregaard; Xu, Ke