Details about Morten Ørregaard Nielsen

Access statistics for papers by Morten Ørregaard Nielsen.

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Short-id: pni42

Working Papers

2017

1. Bootstrap and Asymptotic Inference with Multiway Clustering
   Working Papers, Queen's University, Department of Economics View citations (1)
2. Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
   Working Papers, Queen's University, Department of Economics View citations (2)
3. 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
   Also in Working Papers, Queen's University, Department of Economics (2016) View citations (2)
   See also Journal Article in Journal of Econometrics (2017)
4. Truncated sum of squares estimation of fractional time series models with deterministic trends
   Working Papers, Queen's University, Department of Economics
5. Validity of Wild Bootstrap Inference with Clustered Errors
   Working Papers, Queen's University, Department of Economics View citations (1)

2016

6. A Matlab program and user's guide for the fractionally cointegrated VAR model
   Working Papers, Queen's University, Department of Economics View citations (7)
7. Forecasting daily political opinion polls using the fractionally cointegrated VAR model
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   Also in Working Papers, Queen's University, Department of Economics (2015) View citations (1)
8. The cointegrated vector autoregressive model with general deterministic terms
   Discussion Papers, University of Copenhagen. Department of Economics
   Also in Working Papers, Queen's University, Department of Economics (2016)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2016)

2015

9. A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
   Working Papers, Queen's University, Department of Economics View citations (4)
   See also Journal Article in Journal of Empirical Finance (2016)

2014

10. A fractionally cointegrated VAR analysis of economic voting and political support
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    Also in Working Papers, Queen's University, Department of Economics (2014) View citations (6)
    See also Journal Article in Canadian Journal of Economics (2014)
11. A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
    Working Papers, Queen's University, Department of Economics View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (2)
    See also Journal Article in Journal of Futures Markets (2015)
12. 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 (3)
    Also in Working Papers, Queen's University, Department of Economics (2011) View citations (5)
    See also Journal Article in Journal of Time Series Analysis (2015)
13. 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 Papers, Queen's University, Department of Economics (2013) View citations (4)
    See also Journal Article in Journal of Econometrics (2015)
14. FCVARmodel.m: A Matlab software package for estimation and testing in the fractionally cointegrated VAR model
    Working Papers, Queen's University, Department of Economics View citations (7)

2013

15. A fast fractional difference algorithm
    Working Papers, Queen's University, Department of Economics View citations (5)
    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

16. Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
    Working Papers, Queen's University, Department of Economics View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (2)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) View citations (2)
    See also Journal Article in Journal of Econometrics (2015)
17. Numerical distribution functions of fractional unit root and cointegration tests
    Working Papers, Queen's University, Department of Economics
    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)
18. The impact of financial crises on the risk-return tradeoff and the leverage effect
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    Also in Working Papers, Queen's University, Department of Economics (2012)
    See also Journal Article in Economic Modelling (2015)
19. The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
    Working Papers, Queen's University, Department of Economics View citations (1)
    See also Journal Article in Econometric Theory (2016)
20. The role of initial values in nonstationary fractional time series models
    Discussion Papers, University of Copenhagen. Department of Economics View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012)

2010

21. A Necessary Moment Condition for the Fractional Functional Central Limit Theorem
    Discussion Papers, University of Copenhagen. Department of Economics
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (1)
    Working Papers, Queen's University, Department of Economics (2010) View citations (1)
    See also Journal Article in Econometric Theory (2012)
22. 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 Papers, Queen's University, Department of Economics (2010) View citations (1)
    See also Journal Article in Econometrics Journal (2011)
23. Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
    Discussion Papers, University of Copenhagen. Department of Economics View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (8)
    Working Papers, Queen's University, Department of Economics (2010) View citations (3)
    See also Journal Article in Econometrica (2012)
24. Likelihood inference for a nonstationary fractional autoregressive model
    Working Papers, Queen's University, Department of Economics View citations (30)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2007) View citations (1)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (3)
    See also Journal Article in Journal of Econometrics (2010)

2009

25. A vector autoregressive model for electricity prices subject to long memory and regime switching
    Working Papers, Queen's University, Department of Economics View citations (20)
    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)
26. Local polynomial Whittle estimation of perturbed fractional processes
    Working Papers, Queen's University, Department of Economics 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 Journal of Econometrics (2012)
27. Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model
    Working Papers, Queen's University, Department of Economics View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (8)
    See also Journal Article in Journal of Empirical Finance (2010)
28. Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in Working Papers, Queen's University, Department of Economics (2009)
    See also Journal Article in Journal of Time Series Econometrics (2011)
29. Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in Working Papers, Queen's University, Department of Economics (2009) View citations (3)
    See also Journal Article in Econometrica (2012)
30. Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in Working Papers, Queen's University, Department of Economics (2008) View citations (1)
    See also Journal Article in Journal of Econometrics (2010)

2008

31. A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    Also in Working Papers, Queen's University, Department of Economics (2008) View citations (2)
    See also Journal Article in Econometric Theory (2009)
32. A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis
    Working Papers, Cornell University, Center for Analytic Economics View citations (3)
    Also in Working Papers, Queen's University, Department of Economics (2008) View citations (2)
33. 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)
34. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
    Working Papers, Queen's University, Department of Economics
    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)
35. Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration
    Working Papers, Queen's University, Department of Economics View citations (3)
36. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
    Working Papers, Queen's University, Department of Economics View citations (5)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (15)
    See also Journal Article in Journal of Econometrics (2011)

2007

37. The Effect of Long Memory in Volatility on Stock Market Fluctuations
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (26)
    See also Journal Article in The Review of Economics and Statistics (2007)

2006

38. Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach
    Working Papers, Queen's University, Department of Economics View citations (8)
    See also Journal Article in Journal of Econometrics (2007)
39. The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps
    Working Papers, Queen's University, Department of Economics View citations (2)

2005

40. 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)
41. Finite Sample Accuracy of Integrated Volatility Estimators
    Working Papers, Queen's University, Department of Economics View citations (7)
    See also Journal Article in Journal of Empirical Finance (2008)
42. Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
    Working Papers, Queen's University, Department of Economics View citations (20)
    See also Journal Article in Econometric Reviews (2005)
43. Forecasting Exchange Rate Volatility in the Presence of Jumps
    Working Papers, Queen's University, Department of Economics View citations (6)
44. The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices
    Working Papers, Queen's University, Department of Economics View citations (4)

2004

45. 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

46. 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)
47. 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)
48. 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)
49. 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)
50. Local Whittle Analysis of Stationary Fractional Cointegration
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
51. 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)
52. 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)
53. 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)
54. Semiparametric Estimation in Time Series Regression with Long Range Dependence
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    See also Journal Article in Journal of Time Series Analysis (2005)
55. 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

2017

1. 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
   See also Working Paper (2017)

2016

2. A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
   Journal of Empirical Finance, 2016, 38, (PB), 623-639
   See also Working Paper (2015)
3. THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS
   Econometric Theory, 2016, 32, (05), 1095-1139 View citations (3)
   See also Working Paper (2012)

2015

4. A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets
   Journal of Futures Markets, 2015, 35, (4), 339-356 View citations (4)
   See also Working Paper (2014)
5. 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 (5)
   See also Working Paper (2014)
6. 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 (7)
   See also Working Paper (2014)
7. Improved likelihood ratio tests for cointegration rank in the VAR model
   Journal of Econometrics, 2015, 184, (1), 97-110 View citations (4)
   See also Working Paper (2012)
8. The impact of financial crises on the risk–return tradeoff and the leverage effect
   Economic Modelling, 2015, 49, (C), 407-418 View citations (4)
   See also Working Paper (2012)

2014

9. A FAST FRACTIONAL DIFFERENCE ALGORITHM
   Journal of Time Series Analysis, 2014, 35, (5), 428-436 View citations (13)
   See also Working Paper (2013)
10. A fractionally cointegrated VAR analysis of economic voting and political support
    Canadian Journal of Economics, 2014, 47, (4), 1078-1130 View citations (4)
    See also Working Paper (2014)
11. NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS
    Journal of Applied Econometrics, 2014, 29, (1), 161-171 View citations (9)
    See also Working Paper (2012)

2012

12. A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
    Econometric Theory, 2012, 28, (03), 671-679 View citations (1)
    See also Working Paper (2010)
13. Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
    Econometrica, 2012, 80, (6), 2667-2732 View citations (55)
    See also Working Paper (2010)
14. Local polynomial Whittle estimation of perturbed fractional processes
    Journal of Econometrics, 2012, 167, (2), 426-447 View citations (11)
    See also Working Paper (2009)
15. Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
    Econometrica, 2012, 80, (5), 2321-2332 View citations (8)
    See also Working Paper (2009)

2011

16. Fully modified narrow‐band least squares estimation of weak fractional cointegration
    Econometrics Journal, 2011, 14, 77-120 View citations (8)
    Also in Econometrics Journal, 2011, 14, (1), 77-120 (2011) View citations (22)
    See also Working Paper (2010)
17. Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
    Journal of Time Series Econometrics, 2011, 3, (1), 1-21
    See also Working Paper (2009)
18. 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 (60)
    See also Working Paper (2008)

2010

19. A vector autoregressive model for electricity prices subject to long memory and regime switching
    Energy Economics, 2010, 32, (5), 1044-1058 View citations (32)
    See also Working Paper (2009)
20. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
    Journal of Applied Econometrics, 2010, 25, (2), 233-261 View citations (54)
    See also Working Paper (2008)
21. Likelihood inference for a nonstationary fractional autoregressive model
    Journal of Econometrics, 2010, 158, (1), 51-66 View citations (29)
    See also Working Paper (2010)
22. 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 (21)
    See also Working Paper (2009)
23. Nonparametric cointegration analysis of fractional systems with unknown integration orders
    Journal of Econometrics, 2010, 155, (2), 170-187 View citations (9)
    See also Working Paper (2009)

2009

24. A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC
    Econometric Theory, 2009, 25, (06), 1515-1544 View citations (2)
    See also Working Paper (2008)

2008

25. Asset Market Perspectives on the Israeli-Palestinian Conflict
    Economica, 2008, 75, (297), 84-115 View citations (33)
26. Bias-Reduced Estimation of Long-Memory Stochastic Volatility
    Journal of Financial Econometrics, 2008, 6, (4), 496-512 View citations (4)
    See also Working Paper (2008)
27. Finite sample accuracy and choice of sampling frequency in integrated volatility estimation
    Journal of Empirical Finance, 2008, 15, (2), 265-286 View citations (18)
    See also Working Paper (2005)

2007

28. Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
    Journal of Econometrics, 2007, 141, (2), 574-596 View citations (28)
    See also Working Paper (2006)
29. Estimation of fractional integration in the presence of data noise
    Computational Statistics & Data Analysis, 2007, 51, (6), 3100-3114 View citations (27)
    See also Working Paper
30. Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation
    Journal of Business & Economic Statistics, 2007, 25, 427-446 View citations (22)
31. The Effect of Long Memory in Volatility on Stock Market Fluctuations
    The Review of Economics and Statistics, 2007, 89, (4), 684-700 View citations (25)
    See also Working Paper (2007)

2006

32. A regime switching long memory model for electricity prices
    Journal of Econometrics, 2006, 135, (1-2), 349-376 View citations (80)
    See also Working Paper (2004)
33. 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 (62)
    See also Working Paper
34. Comment
    Journal of Business & Economic Statistics, 2006, 24, 173-179
35. 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 (50)
    See also Working Paper (2005)

2005

36. Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
    Econometric Reviews, 2005, 24, (4), 405-443 View citations (20)
    See also Working Paper (2005)
37. Multivariate Lagrange Multiplier Tests for Fractional Integration
    Journal of Financial Econometrics, 2005, 3, (3), 372-398 View citations (23)
    See also Working Paper
38. Noncontemporaneous cointegration and the importance of timing
    Economics Letters, 2005, 86, (1), 113-119 View citations (1)
39. Semiparametric Estimation in Time-Series Regression with Long-Range Dependence
    Journal of Time Series Analysis, 2005, 26, (2), 279-304 View citations (4)
    See also Working Paper

2004

40. EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
    Econometric Theory, 2004, 20, (01), 116-146 View citations (21)
    See also Working Paper
41. Efficient inference in multivariate fractionally integrated time series models
    Econometrics Journal, 2004, 7, (1), 63-97 View citations (6)
    See also Working Paper
42. 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
43. Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics
    Journal of Business & Economic Statistics, 2004, 22, 331-345 View citations (17)
    See also Working Paper
44. SEASONALITY IN ECONOMIC MODELS
    Macroeconomic Dynamics, 2004, 8, (03), 362-394 View citations (9)
45. Spectral analysis of fractionally cointegrated systems
    Economics Letters, 2004, 83, (2), 225-231 View citations (6)
    See also Working Paper