Details about Morten Ørregaard Nielsen

Access statistics for papers by Morten Ørregaard Nielsen.

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Short-id: pni42

Working Papers

2021

1. Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   Also in Working Paper, Economics Department, Queen's University (2020)
   Essex Finance Centre Working Papers, University of Essex, Essex Business School (2021)

2020

2. Adaptive Inference in Heteroskedastic Fractional Time Series Models
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   Also in Working Paper, Economics Department, Queen's University (2019) View citations (1)
3. Inference on the dimension of the nonstationary subspace in functional time series
   Working Paper, Economics Department, Queen's University View citations (1)
4. Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order
   Working Paper, Economics Department, Queen's University
5. Testing for the appropriate level of clustering in linear regression models
   Working Paper, Economics Department, Queen's University
6. To infinity and beyond: Efficient computation of ARCH(1) models
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
7. To infinity and beyond: Efficient computation of ARCH(\infty) models
   Working Paper, Economics Department, Queen's University
8. Truncated sum of squares estimation of fractional time series models with deterministic trends
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   Also in Working Paper, Economics Department, Queen's University (2019) View citations (1)
   See also Journal Article in Econometric Theory (2020)
9. Wild Bootstrap and Asymptotic Inference with Multiway Clustering
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
   Also in Working Paper, Economics Department, Queen's University (2019) View citations (6)

2019

10. Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (14)
    Also in Working Paper, Economics Department, Queen's University (2018) View citations (8)
    See also Journal Article in Journal of Econometrics (2019)

2018

11. A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model
    Working Paper, Economics Department, Queen's University View citations (27)
12. Fast And Wild: Bootstrap Inference In Stata Using Boottest
    Working Paper, Economics Department, Queen's University View citations (33)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2018) View citations (25)
    See also Journal Article in Stata Journal (2019)
13. Nonstationary Cointegration In The Fractionally Cointegrated Var Model
    Working Paper, Economics Department, Queen's University View citations (3)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2018) View citations (5)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2018) View citations (3)
    See also Journal Article in Journal of Time Series Analysis (2019)

2017

14. Bootstrap And Asymptotic Inference With Multiway Clustering
    Working Paper, Economics Department, Queen's University View citations (9)
15. Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model
    Working Paper, Economics Department, Queen's University View citations (3)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017)
    See also Journal Article in Journal of Futures Markets (2018)
16. Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    Also in Working Paper, Economics Department, Queen's University (2016) View citations (2)
    See also Journal Article in Journal of Econometrics (2017)
17. Testing The Cvar In The Fractional Cvar Model
    Working Paper, Economics Department, Queen's University View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017)
    Discussion Papers, University of Copenhagen. Department of Economics (2017)
    See also Journal Article in Journal of Time Series Analysis (2018)
18. Validity Of Wild Bootstrap Inference With Clustered Errors
    Working Paper, Economics Department, Queen's University View citations (5)

2016

19. Forecasting daily political opinion polls using the fractionally cointegrated VAR model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    Also in Working Paper, Economics Department, Queen's University (2015) View citations (7)
20. The Cointegrated Vector Autoregressive Model With General Deterministic Terms
    Working Paper, Economics Department, Queen's University
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2016)
    Discussion Papers, University of Copenhagen. Department of Economics (2016)
    See also Journal Article in Journal of Econometrics (2018)

2015

21. A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets
    Working Paper, Economics Department, Queen's University View citations (4)
    See also Journal Article in Journal of Empirical Finance (2016)

2014

22. A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support
    Working Paper, Economics Department, Queen's University View citations (17)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (15)
    See also Journal Article in Canadian Journal of Economics/Revue canadienne d'économique (2014)
23. A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets
    Working Paper, Economics Department, Queen's University View citations (5)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (6)
    See also Journal Article in Journal of Futures Markets (2015)
24. Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    Also in Working Paper, Economics Department, Queen's University (2011) View citations (5)
    See also Journal Article in Journal of Time Series Analysis (2015)
25. Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in Working Paper, Economics Department, Queen's University (2013) View citations (5)
    See also Journal Article in Journal of Econometrics (2015)
26. Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model
    Working Paper, Economics Department, Queen's University View citations (8)

2013

27. A Fast Fractional Difference Algorithm
    Working Paper, Economics Department, Queen's University View citations (6)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2013) View citations (2)
    See also Journal Article in Journal of Time Series Analysis (2014)

2012

28. Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model
    Working Paper, Economics Department, Queen's University View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) View citations (5)
    See also Journal Article in Journal of Econometrics (2015)
29. The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect
    Working Paper, Economics Department, Queen's University View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (2)
    See also Journal Article in Economic Modelling (2015)
30. The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models
    Working Paper, Economics Department, Queen's University View citations (3)
    See also Journal Article in Econometric Theory (2016)
31. The role of initial values in nonstationary fractional time series models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2012) View citations (6)

2010

32. A Necessary Moment Condition For The Fractional Functional Central Limit Theorem
    Working Paper, Economics Department, Queen's University View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (1)
    Discussion Papers, University of Copenhagen. Department of Economics (2010) View citations (5)
33. Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    Also in Working Paper, Economics Department, Queen's University (2009) View citations (1)
    See also Journal Article in Econometrics Journal (2011)
34. Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model
    Working Paper, Economics Department, Queen's University View citations (6)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) View citations (3)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (13)
    See also Journal Article in Econometrica (2012)
35. Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests
    Working Paper, Economics Department, Queen's University
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (3)
    See also Journal Article in Journal of Applied Econometrics (2014)

2009

36. A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching
    Working Paper, Economics Department, Queen's University View citations (28)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (1)
    See also Journal Article in Energy Economics (2010)
37. Likelihood Inference For A Nonstationary Fractional Autoregressive Model
    Working Paper, Economics Department, Queen's University View citations (46)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2007) View citations (2)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (4)
    See also Journal Article in Journal of Econometrics (2010)
38. Local Polynomial Whittle Estimation Of Perturbed Fractional Processes
    Working Paper, Economics Department, Queen's University View citations (15)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (8)
    See also Journal Article in Journal of Econometrics (2012)
39. Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model
    Working Paper, Economics Department, Queen's University View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (9)
    See also Journal Article in Journal of Empirical Finance (2010)
40. Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots
    Working Paper, Economics Department, Queen's University
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009)
    See also Journal Article in Journal of Time Series Econometrics (2011)
41. Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis
    Working Paper, Economics Department, Queen's University View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (2)
    See also Journal Article in Econometrica (2012)
42. Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in Working Paper, Economics Department, Queen's University (2008) View citations (2)
    See also Journal Article in Journal of Econometrics (2010)

2008

43. A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic
    Working Paper, Economics Department, Queen's University View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (3)
    See also Journal Article in Econometric Theory (2009)
44. A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis
    Working Paper, Economics Department, Queen's University View citations (2)
    Also in Working Papers, Cornell University, Center for Analytic Economics (2008) View citations (3)
45. Bias-reduced estimation of long memory stochastic volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article in Journal of Financial Econometrics (2008)
46. Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns
    Working Paper, Economics Department, Queen's University
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (19)
    See also Journal Article in Journal of Applied Econometrics (2010)
47. Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration
    Working Paper, Economics Department, Queen's University View citations (3)
48. The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets
    Working Paper, Economics Department, Queen's University View citations (6)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (16)
    See also Journal Article in Journal of Econometrics (2011)

2007

49. The Effect of Long Memory in Volatility on Stock Market Fluctuations
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (36)
    See also Journal Article in The Review of Economics and Statistics (2007)

2006

50. Asset Market Perspectives on the Israeli-Palestinian Conflict
    Bank of Israel Working Papers, Bank of Israel View citations (2)
    See also Journal Article in Economica (2008)
51. Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach
    Working Paper, Economics Department, Queen's University View citations (9)
    See also Journal Article in Journal of Econometrics (2007)
52. The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps
    Working Paper, Economics Department, Queen's University View citations (2)

2005

53. Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2006)
54. Finite Sample Accuracy Of Integrated Volatility Estimators
    Working Paper, Economics Department, Queen's University View citations (7)
    See also Journal Article in Journal of Empirical Finance (2008)
55. Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration
    Working Paper, Economics Department, Queen's University View citations (28)
    See also Journal Article in Econometric Reviews (2005)
56. Forecasting Exchange Rate Volatility In The Presence Of Jumps
    Working Paper, Economics Department, Queen's University View citations (6)
57. The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices
    Working Paper, Economics Department, Queen's University View citations (5)

2004

58. A Regime Switching Long Memory Model for Electricity Prices
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (13)
    See also Journal Article in Journal of Econometrics (2006)

Undated

59. Efficient Inference in Multivariate Fractionally Integrated Time Series Models
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article in Econometrics Journal (2004)
60. Efficient Likelihold Inference in Nonstationary Univariate Models
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article in Econometric Theory (2004)
61. Estimation of Fractional Integration in the Presence of Data Noise
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    See also Journal Article in Computational Statistics & Data Analysis (2007)
62. Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article in Stochastic Processes and their Applications (2004)
63. Local Whittle Analysis of Stationary Fractional Cointegration
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
64. Multivariate Lagrange Multiplier Tests for Fractional Integration
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article in Journal of Financial Econometrics (2005)
65. Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article in Journal of Business & Economic Statistics (2004)
66. Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
    See also Journal Article in Journal of Econometrics (2006)
67. Semiparametric Estimation in Time Series Regression with Long Range Dependence
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    See also Journal Article in Journal of Time Series Analysis (2005)
68. Spectral Analysis of Fractionally Cointegrated Systems
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article in Economics Letters (2004)

Journal Articles

2020

1. TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS
   Econometric Theory, 2020, 36, (4), 751-772
   See also Working Paper (2020)

2019

2. Asymptotic theory and wild bootstrap inference with clustered errors
   Journal of Econometrics, 2019, 212, (2), 393-412 View citations (14)
   See also Working Paper (2019)
3. Fast and wild: Bootstrap inference in Stata using boottest
   Stata Journal, 2019, 19, (1), 4-60 View citations (102)
   See also Working Paper (2018)
4. Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
   Journal of Time Series Analysis, 2019, 40, (4), 519-543 View citations (1)
   See also Working Paper (2018)
5. Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction
   Journal of Time Series Analysis, 2019, 40, (4), 386-387

2018

6. Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
   Journal of Futures Markets, 2018, 38, (2), 219-242 View citations (10)
   See also Working Paper (2017)
7. Forecasting daily political opinion polls using the fractionally cointegrated vector auto‐regressive model
   Journal of the Royal Statistical Society Series A, 2018, 181, (1), 3-33 View citations (6)
8. Testing the CVAR in the Fractional CVAR Model
   Journal of Time Series Analysis, 2018, 39, (6), 836-849 View citations (1)
   See also Working Paper (2017)
9. The cointegrated vector autoregressive model with general deterministic terms
   Journal of Econometrics, 2018, 202, (2), 214-229 View citations (1)
   See also Working Paper (2016)

2017

10. Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
    Journal of Econometrics, 2017, 198, (1), 165-188 View citations (4)
    See also Working Paper (2017)

2016

11. A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
    Journal of Empirical Finance, 2016, 38, (PB), 623-639 View citations (20)
    See also Working Paper (2015)
12. THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS
    Econometric Theory, 2016, 32, (5), 1095-1139 View citations (15)
    See also Working Paper (2012)

2015

13. A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets
    Journal of Futures Markets, 2015, 35, (4), 339-356 View citations (24)
    See also Working Paper (2014)
14. Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models
    Journal of Time Series Analysis, 2015, 36, (2), 154-188 View citations (9)
    See also Working Paper (2014)
15. Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
    Journal of Econometrics, 2015, 187, (2), 557-579 View citations (8)
    See also Working Paper (2014)
16. Improved likelihood ratio tests for cointegration rank in the VAR model
    Journal of Econometrics, 2015, 184, (1), 97-110 View citations (7)
    See also Working Paper (2012)
17. The impact of financial crises on the risk–return tradeoff and the leverage effect
    Economic Modelling, 2015, 49, (C), 407-418 View citations (11)
    See also Working Paper (2012)

2014

18. A FAST FRACTIONAL DIFFERENCE ALGORITHM
    Journal of Time Series Analysis, 2014, 35, (5), 428-436 View citations (28)
    See also Working Paper (2013)
19. A fractionally cointegrated VAR analysis of economic voting and political support
    Canadian Journal of Economics/Revue canadienne d'économique, 2014, 47, (4), 1078-1130 View citations (9)
    Also in Canadian Journal of Economics, 2014, 47, (4), 1078-1130 (2014) View citations (15)
    See also Working Paper (2014)
20. NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS
    Journal of Applied Econometrics, 2014, 29, (1), 161-171 View citations (20)
    See also Working Paper (2010)

2012

21. Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
    Econometrica, 2012, 80, (6), 2667-2732 View citations (119)
    See also Working Paper (2010)
22. Local polynomial Whittle estimation of perturbed fractional processes
    Journal of Econometrics, 2012, 167, (2), 426-447 View citations (18)
    See also Working Paper (2009)
23. Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
    Econometrica, 2012, 80, (5), 2321-2332 View citations (13)
    See also Working Paper (2009)

2011

24. Fully modified narrow‐band least squares estimation of weak fractional cointegration
    Econometrics Journal, 2011, 14, 77-120 View citations (21)
    Also in Econometrics Journal, 2011, 14, (1), 77-120 (2011) View citations (35)
    See also Working Paper (2010)
25. Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
    Journal of Time Series Econometrics, 2011, 3, (1), 1-21 View citations (3)
    See also Working Paper (2009)
26. The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
    Journal of Econometrics, 2011, 160, (1), 48-57 View citations (124)
    See also Working Paper (2008)

2010

27. A vector autoregressive model for electricity prices subject to long memory and regime switching
    Energy Economics, 2010, 32, (5), 1044-1058 View citations (45)
    See also Working Paper (2009)
28. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
    Journal of Applied Econometrics, 2010, 25, (2), 233-261 View citations (76)
    See also Working Paper (2008)
29. Likelihood inference for a nonstationary fractional autoregressive model
    Journal of Econometrics, 2010, 158, (1), 51-66 View citations (71)
    See also Working Paper (2009)
30. Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model
    Journal of Empirical Finance, 2010, 17, (3), 460-470 View citations (35)
    See also Working Paper (2009)
31. Nonparametric cointegration analysis of fractional systems with unknown integration orders
    Journal of Econometrics, 2010, 155, (2), 170-187 View citations (21)
    See also Working Paper (2009)

2009

32. A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC
    Econometric Theory, 2009, 25, (6), 1515-1544 View citations (11)
    See also Working Paper (2008)

2008

33. Asset Market Perspectives on the Israeli–Palestinian Conflict
    Economica, 2008, 75, (297), 84-115 View citations (50)
    See also Working Paper (2006)
34. Bias-Reduced Estimation of Long-Memory Stochastic Volatility
    Journal of Financial Econometrics, 2008, 6, (4), 496-512 View citations (6)
    See also Working Paper (2008)
35. Finite sample accuracy and choice of sampling frequency in integrated volatility estimation
    Journal of Empirical Finance, 2008, 15, (2), 265-286 View citations (22)
    See also Working Paper (2005)

2007

36. Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
    Journal of Econometrics, 2007, 141, (2), 574-596 View citations (41)
    See also Working Paper (2006)
37. Estimation of fractional integration in the presence of data noise
    Computational Statistics & Data Analysis, 2007, 51, (6), 3100-3114 View citations (34)
    See also Working Paper
38. Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation
    Journal of Business & Economic Statistics, 2007, 25, 427-446 View citations (32)
39. The Effect of Long Memory in Volatility on Stock Market Fluctuations
    The Review of Economics and Statistics, 2007, 89, (4), 684-700 View citations (36)
    See also Working Paper (2007)

2006

40. A regime switching long memory model for electricity prices
    Journal of Econometrics, 2006, 135, (1-2), 349-376 View citations (114)
    See also Working Paper (2004)
41. Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
    Journal of Econometrics, 2006, 133, (1), 343-371 View citations (78)
    See also Working Paper
42. Comment
    Journal of Business & Economic Statistics, 2006, 24, 173-179
43. Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (3), 1-24 View citations (82)
    See also Working Paper (2005)

2005

44. Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
    Econometric Reviews, 2005, 24, (4), 405-443 View citations (28)
    See also Working Paper (2005)
45. Multivariate Lagrange Multiplier Tests for Fractional Integration
    Journal of Financial Econometrics, 2005, 3, (3), 372-398 View citations (27)
    See also Working Paper
46. Noncontemporaneous cointegration and the importance of timing
    Economics Letters, 2005, 86, (1), 113-119 View citations (2)
47. Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
    Journal of Time Series Analysis, 2005, 26, (2), 279-304 View citations (8)
    See also Working Paper

2004

48. EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
    Econometric Theory, 2004, 20, (1), 116-146 View citations (23)
    See also Working Paper
49. Efficient inference in multivariate fractionally integrated time series models
    Econometrics Journal, 2004, 7, (1), 63-97 View citations (14)
    See also Working Paper
50. Local empirical spectral measure of multivariate processes with long range dependence
    Stochastic Processes and their Applications, 2004, 109, (1), 145-166
    See also Working Paper
51. Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics
    Journal of Business & Economic Statistics, 2004, 22, 331-345 View citations (19)
    See also Working Paper
52. Spectral analysis of fractionally cointegrated systems
    Economics Letters, 2004, 83, (2), 225-231 View citations (9)
    See also Working Paper