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Results 1-10 of 11.
Year of PublicationTitleAuthor(s)
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.
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
2010Numerical distribution functions of fractional unit root and cointegration testsMacKinnon, James G.; Nielsen, Morten Ørregaard
2014A Matlab program and user's guide for the fractionally cointegrated VAR modelNielsen, Morten Ørregaard; Popiel, Michał Ksawery
2011Asymptotics for the conditional-sum-of-squares estimator in fractional time series modelsNielsen, Morten Ørregaard
2014A fractionally cointegrated VAR analysis of economic voting and political supportJones, Maggie E. C.; Nielsen, Morten Ørregaard; Popiel, Michał Ksawery