.
Nielsen, Morten Ørregaard's
Scholarly Papers
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Aggregate Statistics
Total 2,080
Total Citations 116
1.
Busch, Thomas CREATES
Christensen, Bent Jesper University of Aarhus - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
276(53,635)
13
Bipower variation, HAR, Heterogeneous Autoregressive Model, implied volatility, jumps, options, realized volatility, VecHAR, volatility forecasting
2.
Seasonality in Economic Models
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Brendstrup, Bjarne University of Aarhus - Department of Economics
Hylleberg, Svend University of Aarhus - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Skipper, Lars University of Aarhus - Department of Economics
Stentoft, Lars HEC Montréal - Department of Finance
Posted:
18 Dec 01
Last Revised:
17 Aug 04
248(60,404)
1
Brendstrup, Bjarne University of Aarhus - Department of Economics
Hylleberg, Svend University of Aarhus - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Skipper, Lars University of Aarhus - Department of Economics
Stentoft, Lars HEC Montréal - Department of Finance
0
Seasonality, economic modelling
Brendstrup, Bjarne University of Aarhus - Department of Economics
Hylleberg, Svend University of Aarhus - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Skipper, Lars University of Aarhus - Department of Economics
Stentoft, Lars HEC Montréal - Department of Finance
248
1
Seasonality, Economic Modeling
3.
Christensen, Bent Jesper University of Aarhus - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
244(61,425)
8
Asymptotic distribution theory, Financial options, High-frequency data, Long memory, Long-run relation, Narrow band least squares
4.
Andersen, Torben G. Northwestern University - Kellogg School of Management
Bollerslev, Tim Duke University - Finance
Frederiksen, Per Skaarup BlackRock, Inc
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Sommer, Margit School of Economics and Management
Posted:
23 Jun 08
Last Revised:
02 Dec 08
201(75,191)
19
Return distributions, continuous-time models, mixture-of-distributions hypothesis, financial-time sampling, high-frequency data, volatility signature plots, realized volatilities, jumps, leverage and volatility feedback effects
5.
Haldrup, Niels CREATES
Nielsen, Frank University of Aarhus - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
154(96,697)
2
Cointegration, electricity prices, fractional integration, long memory, Markov switching
6.
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model
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Christensen, Bent Jesper University of Aarhus - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Zhu, Jie University of Aarhus - School of Economics and Management
Posted:
22 Jun 08
Last Revised:
06 Aug 08
123(117,002)
4
Christensen, Bent Jesper University of Aarhus - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Zhu, Jie University of Aarhus - School of Economics and Management
54
4
FIEGARCH, financial leverage, GARCH, long memory, risk-return tradeoff, stock returns, volatility feedback
Christensen, Bent Jesper University of Aarhus - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Zhu, Jie University of Aarhus - School of Economics and Management
69
4
FIEGARCH, financial leverage, GARCH, long memory, risk-return tradeoff, stock returns, volatility feedback
7.
Haldrup, Niels CREATES
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
116(122,550)
19
Cointegration, electricity prices, forecasting, fractional integration and cointegration, long memory, Markow switching
8.
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
114(124,226)
Financial leverage, long memory, realized volatility, risk-return trade-off, stochastic volatility, stock prices, VARMA models, VIX implied volatility
9.
Spectral Analysis of Fractionally Cointegrated Systems
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Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Posted:
31 Oct 02
Last Revised:
24 Aug 04
98(138,463)
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
0
Common stochastic trend, fractional cointegration, frequency domain analysis, reduced rank, zero-frequency
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
98
Common stochastic trend, fractional cointegration, frequency domain analysis, reduced rank, zero-frequency
10.
Haldrup, Niels CREATES
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
82(155,570)
9
Fractional integration, long memory, outliers, measurement errors, structural change
11.
Efficient Likelihood Inference in Nonstationary Univariate Models
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Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Posted:
29 Oct 01
Last Revised:
20 Jun 04
60(185,713)
6
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
0
Efficient Estimation, Fractional Integration, Likelihood Inference, Limiting Power, Nonstationarity, Optimal Test
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
60
6
12.
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
50(202,445)
2
Cointegration rank, cointegration space, fractional integration and cointegration, interest rates, long memory, nonparametric, term structure, variance ratio
13.
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
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Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Johansen, Soren University of Copenhagen - Department of Economics
Posted:
21 May 10
Last Revised:
02 Jun 10
42(217,965)
3
Johansen, Soren University of Copenhagen - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Sommer, Margit School of Economics and Management
28
3
Cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Johansen, Soren University of Copenhagen - Department of Economics
14
3
cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model
14.
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
34(235,470)
1
Augmented Dickey-Fuller test, fractional integration, GLS detrending, nonparametric, nuisance parameter, tuning parameter, power envelope, unit root test, variance ratio
15.
Haldrup, Niels CREATES
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
33(237,888)
3
Cointegration, electricity prices, forecasting, fractional integration and cointegration, long memory, Markov switching
16.
Frederiksen, Per Skaarup BlackRock, Inc
Nielsen, Frank University of Aarhus - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
32(240,380)
5
Bias reduction, local Whittle, long memory, perturbed fractional process, semipara
17.
Jansson, Michael University of California, Berkeley - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
26(257,495)
1
Likelihood Ratio Test, Unit Root Hypothesis
18.
Johansen, Soren University of Copenhagen - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Sommer, Margit School of Economics and Management
26(257,495)
4
Dickey-Fuller test, fractional unit root, likelihood inference
19.
Bias-Reduced Estimation of Long Memory Stochastic Volatility
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Frederiksen, Per Skaarup BlackRock, Inc
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Posted:
24 Jun 08
Last Revised:
29 Jul 10
24(264,046)
3
Frederiksen, Per Skaarup BlackRock, Inc
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
0
C14, C22, bias reduction, local Whittle estimation, long memory stochastic volatility model
Frederiksen, Per Skaarup BlackRock, Inc
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Posted:
24 Jun 08
Last Revised:
01 Jul 08
24
3
Bias reduction, local Whittle estimation, long memory stochastic volatility model
20.
Jansson, Michael University of California, Berkeley - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Sommer, Margit School of Economics and Management
19(281,444)
Likelihood Ratio Test, Seasonal Unit Root Hypothesis
21.
Johansen, Soren University of Copenhagen - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
16(292,280)
fractional integration, functional central limit theorem, long memory
22.
Zussman, Asaf Hebrew University of Jerusalem - Department of Economics
Zussman, Noam affiliation not provided to SSRN
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
15(295,737)
6
23.
Efficient Inference in Multivariate Fractionally Integrated Time Series Models
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Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Posted:
20 Aug 02
Last Revised:
07 Aug 04
11(309,939)
4
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
11
4
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
0
Asymptotic Local Power, Efficient Estimation, Efficient Test, Fractional Integration, Multivariate ARFIMA model, Multivariate Fractional Unit Root, Nonstationarity
24.
Boswijk, H. Peter University of Amsterdam - Department of Quantitative Economics
Jansson, Michael University of California, Berkeley - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
10(313,256)
Cointegration rank, efficiency, likelihood ratio test, vector autoregression
25.
Jensen, Andreas University of Copenhagen
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
9(319,622)
Circular convolution theorem, fast Fourier transform, fractional difference
26.
Johansen, Soren University of Copenhagen - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
8(319,622)
Asymptotic expansion, bias, conditional inference, fractional integration, initial values, likelihood inference
27.
Semiparametric Estimation in Time-Series Regression with Long-Range Dependence
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Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Posted:
07 Jan 03
Last Revised:
19 Feb 05
7(322,643)
2
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
7
2
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
0
Fractional integration, generalized least squares, linear regression, long range dependence, semiparametric estimation, Whittle likelihood
28.
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Frederiksen, Per Skaarup BlackRock, Inc
2(339,165)
1
Fractional cointegration, Frequency domain, Fully modified estimation, Long memory, Semi-parametric
29.
Multivariate Lagrange Multiplier Tests for Fractional Integration
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Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Posted:
06 Jan 03
Last Revised:
29 Jul 10
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
0
asymptotic local power, efficient test, fractional integration, Lagrange multiplier test, multivariate fractional unit root, nonstationarity
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
0
Asymptotic Local Power, Efficient Test, Fractional Integration, Lagrange Multiplier Test, Multivariate Fractional Unit Root, Nonstationarity
30.
Christensen, Bent Jesper University of Aarhus - Department of Economics
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Asymptotic distribution theory, high-frequency data, long memory, semiparametric methods, stationary fractional cointegration
31.
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Fractional cointegration, frequency domain, noncontemporaneous cointegration, tming, zero frequency
32.
Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics
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Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Posted:
26 Aug 02
Last Revised:
18 Jun 04
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
0
Cointegration Test, Fully Modified Estimation, Nonstationarity, Optimal Test, Power Envelope
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
0
Cointegration Test, Fully Modified Estimation,
33.
Local Empirical Measure of Multivariate Processes with Long Range Dependence
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Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Posted:
07 Jan 03
Last Revised:
18 Jun 04
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
0
Brownian Motion, Fractional ARIMA, Functional Central Limit Theorem, Goodness-of-fit Test, Integrated Periodogram, Long Memory, Narrow-band Frequency Domain Least Squares
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
0
Brownian Motion, Fractional ARIMA, Functional Central Limit Theorem, Goodness-of-fit Test, Integrated Periodogram, Long Memory, Narrow-band Frequency Domain Least Squares
34.
Nielsen, Morten Ørregaard Queen's University (Canada) - Department of Economics
Fractional Cointegration, Fractional Integration, Whittle Likelihood, Long Memory, Realized Volatility, Semiparametric Estimation
