Details about Morten Ørregaard Nielsen
Access statistics for papers by Morten Ørregaard Nielsen.
Last updated 2022-11-30. Update your information in the RePEc Author Service.
Short-id: pni42
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Working Papers
2022
- Bootstrap inference in the presence of bias
Papers, arXiv.org 
- Cluster-Robust Inference: A Guide to Empirical Practice
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
Also in Papers, arXiv.org (2022) View citations (3)
Economics Virtual Symposium 2021, Stata Users Group (2021)
Working Paper, Economics Department, Queen's University (2022) View citations (8)
- Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference
Working Paper, Economics Department, Queen's University View citations (3)
- Fractional integration and cointegration
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
Also in Papers, arXiv.org (2022)
- Inference on the dimension of the nonstationary subspace in functional time series
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
Also in Working Paper, Economics Department, Queen's University (2020) View citations (1)
- Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust
Working Paper, Economics Department, Queen's University View citations (3)
Also in Papers, arXiv.org (2022)
- Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order
Working Paper, Economics Department, Queen's University
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
Working Paper, Economics Department, Queen's University
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2022)
- Weak convergence to derivatives of fractional Brownian motion
Papers, arXiv.org
2021
- 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 View citations (1)
Also in Working Paper, Economics Department, Queen's University (2020)
Essex Finance Centre Working Papers, University of Essex, Essex Business School (2021) View citations (1)
See also Journal Article in Journal of Business & Economic Statistics (2022)
2020
- Adaptive Inference in Heteroskedastic Fractional Time Series Models
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 (1)
See also Journal Article in Journal of Business & Economic Statistics (2022)
- Testing for the appropriate level of clustering in linear regression models
Working Paper, Economics Department, Queen's University View citations (6)
- To infinity and beyond: Efficient computation of ARCH(1) models
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
- To infinity and beyond: Efficient computation of ARCH(\infty) models
Working Paper, Economics Department, Queen's University
- 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 (5)
Also in Working Paper, Economics Department, Queen's University (2019) View citations (1)
See also Journal Article in Econometric Theory (2020)
- Wild Bootstrap and Asymptotic Inference with Multiway Clustering
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
Also in Working Paper, Economics Department, Queen's University (2019) View citations (19)
See also Journal Article in Journal of Business & Economic Statistics (2021)
2019
- Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (37)
Also in Working Paper, Economics Department, Queen's University (2018) View citations (9)
See also Journal Article in Journal of Econometrics (2019)
2018
- A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model
Working Paper, Economics Department, Queen's University View citations (40)
- Fast And Wild: Bootstrap Inference In Stata Using Boottest
Working Paper, Economics Department, Queen's University View citations (53)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2018) View citations (52)
See also Journal Article in Stata Journal (2019)
- Nonstationary Cointegration In The Fractionally Cointegrated Var Model
Working Paper, Economics Department, Queen's University View citations (6)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2018) View citations (6)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2018) View citations (6)
See also Journal Article in Journal of Time Series Analysis (2019)
2017
- Bootstrap And Asymptotic Inference With Multiway Clustering
Working Paper, Economics Department, Queen's University View citations (12)
- 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) View citations (1)
See also Journal Article in Journal of Futures Markets (2018)
- 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 (10)
Also in Working Paper, Economics Department, Queen's University (2016) View citations (2)
See also Journal Article in Journal of Econometrics (2017)
- Testing The Cvar In The Fractional Cvar Model
Working Paper, Economics Department, Queen's University View citations (2)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (1)
Discussion Papers, University of Copenhagen. Department of Economics (2017) View citations (1)
See also Journal Article in Journal of Time Series Analysis (2018)
- Validity Of Wild Bootstrap Inference With Clustered Errors
Working Paper, Economics Department, Queen's University View citations (5)
2016
- 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)
- 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
- 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
- A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support
Working Paper, Economics Department, Queen's University View citations (32)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (33)
See also Journal Article in Canadian Journal of Economics (2014)
- A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets
Working Paper, Economics Department, Queen's University View citations (8)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (13)
See also Journal Article in Journal of Futures Markets (2015)
- 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 (5)
Also in Working Paper, Economics Department, Queen's University (2011) View citations (5)
See also Journal Article in Journal of Time Series Analysis (2015)
- 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 (4)
See also Journal Article in Journal of Econometrics (2015)
- 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 (13)
2013
- 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
- Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model
Working Paper, Economics Department, Queen's University View citations (5)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) View citations (5)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (5)
See also Journal Article in Journal of Econometrics (2015)
- The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect
Working Paper, Economics Department, Queen's University View citations (2)
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)
- 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 (5)
See also Journal Article in Econometric Theory (2016)
- The role of initial values in nonstationary fractional time series models
Discussion Papers, University of Copenhagen. Department of Economics View citations (6)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (1)
2010
- 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)
See also Journal Article in Econometric Theory (2012)
- 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)
- Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model
Working Paper, Economics Department, Queen's University View citations (8)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) View citations (6)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (15)
See also Journal Article in Econometrica (2012)
- 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
- A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching
Working Paper, Economics Department, Queen's University View citations (30)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007)
See also Journal Article in Energy Economics (2010)
- 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 (4)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (5)
See also Journal Article in Journal of Econometrics (2010)
- Local Polynomial Whittle Estimation Of Perturbed Fractional Processes
Working Paper, Economics Department, Queen's University View citations (17)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (16)
See also Journal Article in Journal of Econometrics (2012)
- 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 (5)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (11)
See also Journal Article in Journal of Empirical Finance (2010)
- Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots
Working Paper, Economics Department, Queen's University View citations (1)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (1)
See also Journal Article in Journal of Time Series Econometrics (2011)
- 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)
- 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
- 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 (6)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (6)
See also Journal Article in Econometric Theory (2009)
- A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis
Working Paper, Economics Department, Queen's University View citations (6)
Also in Working Papers, Cornell University, Center for Analytic Economics (2008) View citations (7)
- Bias-reduced estimation of long memory stochastic volatility
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)
See also Journal Article in The Journal of Financial Econometrics (2008)
- Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns
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 (19)
See also Journal Article in Journal of Applied Econometrics (2010)
- Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration
Working Paper, Economics Department, Queen's University View citations (3)
- 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 (7)
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
- The Effect of Long Memory in Volatility on Stock Market Fluctuations
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (45)
See also Journal Article in The Review of Economics and Statistics (2007)
2006
- 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)
- 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)
- The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps
Working Paper, Economics Department, Queen's University View citations (2)
2005
- 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)
- 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)
- Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration
Working Paper, Economics Department, Queen's University View citations (32)
See also Journal Article in Econometric Reviews (2005)
- Forecasting Exchange Rate Volatility In The Presence Of Jumps
Working Paper, Economics Department, Queen's University View citations (6)
- The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices
Working Paper, Economics Department, Queen's University View citations (5)
2004
- A Regime Switching Long Memory Model for Electricity Prices
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (14)
See also Journal Article in Journal of Econometrics (2006)
Undated
- 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)
- 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)
- Estimation of Fractional Integration in the Presence of Data Noise
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
See also Journal Article in Computational Statistics & Data Analysis (2007)
- 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)
- Local Whittle Analysis of Stationary Fractional Cointegration
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
- Multivariate Lagrange Multiplier Tests for Fractional Integration
Economics Working Papers, Department of Economics and Business Economics, Aarhus University
See also Journal Article in The Journal of Financial Econometrics (2005)
- Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
See also Journal Article in Journal of Business & Economic Statistics (2004)
- 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)
- 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)
- Spectral Analysis of Fractionally Cointegrated Systems
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
See also Journal Article in Economics Letters (2004)
Journal Articles
2022
- Adaptive Inference in Heteroscedastic Fractional Time Series Models
Journal of Business & Economic Statistics, 2022, 40, (1), 50-65 View citations (1)
See also Working Paper (2020)
- Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
Journal of Business & Economic Statistics, 2022, 40, (2), 880-896
See also Working Paper (2021)
2021
- To infinity and beyond: Efficient computation of ARCH(∞) models
Journal of Time Series Analysis, 2021, 42, (3), 338-354
- Wild Bootstrap and Asymptotic Inference With Multiway Clustering
Journal of Business & Economic Statistics, 2021, 39, (2), 505-519 View citations (10)
See also Working Paper (2020)
2020
- TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS
Econometric Theory, 2020, 36, (4), 751-772 View citations (4)
See also Working Paper (2020)
2019
- Asymptotic theory and wild bootstrap inference with clustered errors
Journal of Econometrics, 2019, 212, (2), 393-412 View citations (38)
See also Working Paper (2019)
- Fast and wild: Bootstrap inference in Stata using boottest
Stata Journal, 2019, 19, (1), 4-60 View citations (279)
See also Working Paper (2018)
- Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
Journal of Time Series Analysis, 2019, 40, (4), 519-543 View citations (11)
See also Working Paper (2018)
- 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
- Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Journal of Futures Markets, 2018, 38, (2), 219-242 View citations (19)
See also Working Paper (2017)
- 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 (11)
- Testing the CVAR in the Fractional CVAR Model
Journal of Time Series Analysis, 2018, 39, (6), 836-849 View citations (9)
See also Working Paper (2017)
- The cointegrated vector autoregressive model with general deterministic terms
Journal of Econometrics, 2018, 202, (2), 214-229 View citations (4)
See also Working Paper (2016)
2017
- 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 (10)
See also Working Paper (2017)
2016
- 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 (34)
See also Working Paper (2015)
- 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 (30)
See also Working Paper (2012)
2015
- A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets
Journal of Futures Markets, 2015, 35, (4), 339-356 View citations (32)
See also Working Paper (2014)
- 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 (16)
See also Working Paper (2014)
- 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 (10)
See also Working Paper (2014)
- Improved likelihood ratio tests for cointegration rank in the VAR model
Journal of Econometrics, 2015, 184, (1), 97-110 View citations (9)
See also Working Paper (2012)
- The impact of financial crises on the risk–return tradeoff and the leverage effect
Economic Modelling, 2015, 49, (C), 407-418 View citations (12)
See also Working Paper (2012)
2014
- A FAST FRACTIONAL DIFFERENCE ALGORITHM
Journal of Time Series Analysis, 2014, 35, (5), 428-436 View citations (38)
See also Working Paper (2013)
- A fractionally cointegrated VAR analysis of economic voting and political support
Canadian Journal of Economics, 2014, 47, (4), 1078-1130 View citations (33)
Also in Canadian Journal of Economics/Revue canadienne d'économique, 2014, 47, (4), 1078-1130 (2014) View citations (31)
See also Working Paper (2014)
- NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS
Journal of Applied Econometrics, 2014, 29, (1), 161-171 View citations (29)
See also Working Paper (2010)
2012
- A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
Econometric Theory, 2012, 28, (3), 671-679 View citations (2)
See also Working Paper (2010)
- Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
Econometrica, 2012, 80, (6), 2667-2732 View citations (169)
See also Working Paper (2010)
- Local polynomial Whittle estimation of perturbed fractional processes
Journal of Econometrics, 2012, 167, (2), 426-447 View citations (21)
See also Working Paper (2009)
- Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
Econometrica, 2012, 80, (5), 2321-2332 View citations (21)
See also Working Paper (2009)
2011
- Fully modified narrow‐band least squares estimation of weak fractional cointegration
Econometrics Journal, 2011, 14, 77-120 View citations (28)
Also in Econometrics Journal, 2011, 14, (1), 77-120 (2011) View citations (41)
See also Working Paper (2010)
- Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
Journal of Time Series Econometrics, 2011, 3, (1), 1-21 View citations (4)
See also Working Paper (2009)
- 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 (156)
See also Working Paper (2008)
2010
- A vector autoregressive model for electricity prices subject to long memory and regime switching
Energy Economics, 2010, 32, (5), 1044-1058 View citations (49)
See also Working Paper (2009)
- Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Journal of Applied Econometrics, 2010, 25, (2), 233-261 View citations (90)
See also Working Paper (2008)
- Likelihood inference for a nonstationary fractional autoregressive model
Journal of Econometrics, 2010, 158, (1), 51-66 View citations (97)
See also Working Paper (2009)
- 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 (38)
See also Working Paper (2009)
- Nonparametric cointegration analysis of fractional systems with unknown integration orders
Journal of Econometrics, 2010, 155, (2), 170-187 View citations (28)
See also Working Paper (2009)
2009
- 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 (14)
See also Working Paper (2008)
2008
- Asset Market Perspectives on the Israeli–Palestinian Conflict
Economica, 2008, 75, (297), 84-115 View citations (52)
See also Working Paper (2006)
- Bias-Reduced Estimation of Long-Memory Stochastic Volatility
The Journal of Financial Econometrics, 2008, 6, (4), 496-512 View citations (8)
See also Working Paper (2008)
- 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
- Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
Journal of Econometrics, 2007, 141, (2), 574-596 View citations (53)
See also Working Paper (2006)
- Estimation of fractional integration in the presence of data noise
Computational Statistics & Data Analysis, 2007, 51, (6), 3100-3114 View citations (40)
See also Working Paper
- Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation
Journal of Business & Economic Statistics, 2007, 25, 427-446 View citations (36)
- The Effect of Long Memory in Volatility on Stock Market Fluctuations
The Review of Economics and Statistics, 2007, 89, (4), 684-700 View citations (42)
See also Working Paper (2007)
2006
- A regime switching long memory model for electricity prices
Journal of Econometrics, 2006, 135, (1-2), 349-376 View citations (131)
See also Working Paper (2004)
- 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 (84)
See also Working Paper
- Comment
Journal of Business & Economic Statistics, 2006, 24, 173-179
- 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 (96)
See also Working Paper (2005)
2005
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
Econometric Reviews, 2005, 24, (4), 405-443 View citations (37)
See also Working Paper (2005)
- Multivariate Lagrange Multiplier Tests for Fractional Integration
The Journal of Financial Econometrics, 2005, 3, (3), 372-398 View citations (31)
See also Working Paper
- Noncontemporaneous cointegration and the importance of timing
Economics Letters, 2005, 86, (1), 113-119 View citations (3)
- Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
Journal of Time Series Analysis, 2005, 26, (2), 279-304 View citations (11)
See also Working Paper
2004
- EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
Econometric Theory, 2004, 20, (1), 116-146 View citations (25)
See also Working Paper
- Efficient inference in multivariate fractionally integrated time series models
Econometrics Journal, 2004, 7, (1), 63-97 View citations (18)
See also Working Paper
- Local empirical spectral measure of multivariate processes with long range dependence
Stochastic Processes and their Applications, 2004, 109, (1), 145-166 View citations (2)
See also Working Paper
- Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics
Journal of Business & Economic Statistics, 2004, 22, 331-345 View citations (22)
See also Working Paper
- Spectral analysis of fractionally cointegrated systems
Economics Letters, 2004, 83, (2), 225-231 View citations (11)
See also Working Paper
Software Items
2022
- SUMMCLUST: Stata module to compute cluster level measures of leverage, influence, and a cluster jackknife variance estimator
Statistical Software Components, Boston College Department of Economics
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