Morten Ørregaard Nielsen

Aarhus University - Department of Economics and Business Economics

Professor

Denmark

SCHOLARLY PAPERS

38

DOWNLOADS
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SSRN RANKINGS

Top 21,907

in Total Papers Downloads

4,813

TOTAL CITATIONS
Rank 6,258

SSRN RANKINGS

Top 6,258

in Total Papers Citations

241

Scholarly Papers (38)

1.

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets

Number of pages: 41 Posted: 23 Jun 2008
Thomas Busch, Thomas Busch, Bent Jesper Christensen and Morten Ørregaard Nielsen
CREATESDanske Markets, Aarhus University and Aarhus University - Department of Economics and Business Economics
Downloads 615 (90,791)
Citation 76

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Bipower variation, HAR, Heterogeneous Autoregressive Model, implied volatility, jumps, options, realized volatility, VecHAR, volatility forecasting

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

Number of pages: 19 Posted: 22 Jun 2008
Bent Jesper Christensen, Morten Ørregaard Nielsen and Jie Zhu
Aarhus University, Aarhus University - Department of Economics and Business Economics and University of Aarhus - School of Economics and Management
Downloads 196 (317,931)
Citation 4

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FIEGARCH, financial leverage, GARCH, long memory, risk-return tradeoff, stock returns, volatility feedback

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

CREATES Research Paper No. 2007-10
Number of pages: 19 Posted: 24 Jun 2008
Bent Jesper Christensen, Morten Ørregaard Nielsen and Jie Zhu
Aarhus University, Aarhus University - Department of Economics and Business Economics and University of Aarhus - School of Economics and Management
Downloads 153 (394,880)
Citation 6

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FIEGARCH, financial leverage, GARCH, long memory, risk-return tradeoff, stock returns, volatility feedback

3.
Downloads 321 (194,305)
Citation 1

Seasonality in Economic Models

University of Aarhus, Economics Working Paper No. 2001-16
Number of pages: 42 Posted: 18 Dec 2001
Bjarne Brendstrup, Svend Hylleberg, Morten Ørregaard Nielsen, Lars Skipper and Lars Stentoft
Aarhus University - Department of Economics and Business Economics, Aarhus University - Department of Economics and Business Economics, Aarhus University - Department of Economics and Business Economics, Aarhus University - Department of Economics and Business Economics and Department of Economics, University of Western Ontario
Downloads 321 (192,717)
Citation 1

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Seasonality, Economic Modeling

Seasonality in Economic Models

Posted: 20 Jun 2004
Bjarne Brendstrup, Svend Hylleberg, Morten Ørregaard Nielsen, Lars Skipper and Lars Stentoft
Aarhus University - Department of Economics and Business Economics, Aarhus University - Department of Economics and Business Economics, Aarhus University - Department of Economics and Business Economics, Aarhus University - Department of Economics and Business Economics and Department of Economics, University of Western Ontario

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Seasonality, economic modelling

4.

A Fast Fractional Difference Algorithm

Number of pages: 11 Posted: 07 Jun 2013
Andreas Jensen and Morten Ørregaard Nielsen
University of Copenhagen and Aarhus University - Department of Economics and Business Economics
Downloads 317 (196,844)
Citation 4

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Circular convolution theorem, fast Fourier transform, fractional difference

5.

A Regime Switching Long Memory Model for Electricity Prices

University of Aarhus Economics Working Paper No. 2004-02
Number of pages: 33 Posted: 18 Jun 2008
Niels Haldrup, Niels Haldrup and Morten Ørregaard Nielsen
CREATESAarhus University, School of Economics and Management and Aarhus University - Department of Economics and Business Economics
Downloads 306 (204,464)
Citation 13

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Cointegration, electricity prices, forecasting, fractional integration and cointegration, long memory, Markow switching

6.

Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation

University of Aarhus Working Paper No. 2001-4
Number of pages: 34 Posted: 16 Aug 2001
Bent Jesper Christensen and Morten Ørregaard Nielsen
Aarhus University and Aarhus University - Department of Economics and Business Economics
Downloads 300 (208,943)
Citation 6

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Asymptotic distribution theory, Financial options, High-frequency data, Long memory, Long-run relation, Narrow band least squares

7.

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

CREATES Research Paper No. 2007-21
Number of pages: 74 Posted: 23 Jun 2008 Last Revised: 28 May 2024
Northwestern University - Kellogg School of Management, Duke University - Finance, BlackRock, Inc, Aarhus University - Department of Economics and Business Economics and School of Economics and Management, University of AarhusSchool of Economics and Management
Downloads 284 (221,171)
Citation 23

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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

8.

Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching

Number of pages: 22 Posted: 23 Jun 2008
Niels Haldrup, Niels Haldrup, Frank Nielsen and Morten Ørregaard Nielsen
CREATESAarhus University, School of Economics and Management, Aarhus University - Department of Economics and Business Economics and Aarhus University - Department of Economics and Business Economics
Downloads 249 (252,737)
Citation 10

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Cointegration, electricity prices, fractional integration, long memory, Markov switching

9.

The Effect of Long Memory in Volatility on Stock Market Fluctuations

Number of pages: 46 Posted: 20 Jun 2008
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics
Downloads 221 (284,863)

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Financial leverage, long memory, realized volatility, risk-return trade-off, stochastic volatility, stock prices, VARMA models, VIX implied volatility

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

CREATES Research Paper No. 2010-24
Number of pages: 46 Posted: 02 Jun 2010
Soren Johansen, Morten Ørregaard Nielsen, Margit Sommer and Margit Sommer
University of Copenhagen - Department of Economics, Aarhus University - Department of Economics and Business Economics and School of Economics and Management, University of AarhusSchool of Economics and Management
Downloads 87 (603,606)
Citation 18

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Cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-15
Number of pages: 45 Posted: 21 May 2010
Morten Ørregaard Nielsen and Soren Johansen
Aarhus University - Department of Economics and Business Economics and University of Copenhagen - Department of Economics
Downloads 81 (630,455)
Citation 1

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cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model

Spectral Analysis of Fractionally Cointegrated Systems

U of Aarhus, Economics Working Paper No. 2002-12
Number of pages: 13 Posted: 31 Oct 2002
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics
Downloads 134 (440,037)

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Common stochastic trend, fractional cointegration, frequency domain analysis, reduced rank, zero-frequency

Spectral Analysis of Fractionally Cointegrated Systems

Posted: 18 Jun 2004
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics

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Common stochastic trend, fractional cointegration, frequency domain analysis, reduced rank, zero-frequency

12.

Nonparametric Cointegration Analysis of Fractional Systems with Unknown Integration Orders

CREATES Research Paper 2009-2
Number of pages: 39 Posted: 15 Jan 2009
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics
Downloads 132 (444,011)
Citation 2

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Cointegration rank, cointegration space, fractional integration and cointegration, interest rates, long memory, nonparametric, term structure, variance ratio

13.

Economic Significance of Commodity Return Forecasts from the Fractionally Cointegrated VAR Model

Dolatabadi S, Narayan PK, Nielsen MØ, Xu K. Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. J Futures Markets. 2017; 1–24. doi/10.1002/fut.21866
Number of pages: 34 Posted: 17 Oct 2017
Sepideh Dolatabadi, Paresh Kumar Narayan, Morten Ørregaard Nielsen and Ke Xu
Queen's University, Deakin University - School of Accounting, Economics and Finance, Aarhus University - Department of Economics and Business Economics and University of Victoria
Downloads 130 (449,469)
Citation 1

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commodity markets, economic significance, forecasting, fractional cointegration, futures markets, price discovery, trading rule, vector error correction model

14.

Estimation of Fractional Integration in the Presence of Data Noise

University of Aarhus, Economics Working Paper No. 2003-10
Number of pages: 22 Posted: 12 Aug 2003
Niels Haldrup, Niels Haldrup and Morten Ørregaard Nielsen
CREATESAarhus University, School of Economics and Management and Aarhus University - Department of Economics and Business Economics
Downloads 130 (449,469)
Citation 7

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Fractional integration, long memory, outliers, measurement errors, structural change

15.

The Cointegrated Vector Autoregressive Model with General Deterministic Terms

Number of pages: 28 Posted: 27 Jul 2016
Soren Johansen and Morten Ørregaard Nielsen
University of Copenhagen - Department of Economics and Aarhus University - Department of Economics and Business Economics
Downloads 115 (493,819)
Citation 1

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Additive formulation, cointegration, deterministic terms, extended model, likelihood inference, VAR model

16.

A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets

Dolatabadi, S., Nielsen, M. Ø. and Xu, K. (2015), A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets. Journal of Futures Markets, 35: 339–356. doi:10.1002/fut.21693
Number of pages: 20 Posted: 29 Sep 2017
Sepideh Dolatabadi, Morten Ørregaard Nielsen and Ke Xu
Queen's University, Aarhus University - Department of Economics and Business Economics and University of Victoria
Downloads 114 (497,073)
Citation 2

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fractional cointegration, futures markets, price discovery, vector error correction model

Efficient Likelihood Inference in Nonstationary Univariate Models

U of Aarhus, Economics Working Paper No. 2001-8
Number of pages: 39 Posted: 29 Oct 2001
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics
Downloads 97 (562,826)
Citation 2

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Efficient Likelihood Inference in Nonstationary Univariate Models

Posted: 20 Jun 2004
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics

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Efficient Estimation, Fractional Integration, Likelihood Inference, Limiting Power, Nonstationarity, Optimal Test

18.

Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices

Aarhus University Economics Paper No. 2005-18
Number of pages: 26 Posted: 18 Jun 2008
Niels Haldrup, Niels Haldrup and Morten Ørregaard Nielsen
CREATESAarhus University, School of Economics and Management and Aarhus University - Department of Economics and Business Economics
Downloads 81 (621,834)
Citation 4

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Cointegration, electricity prices, forecasting, fractional integration and cointegration, long memory, Markov switching

19.

Local Polynomial Whittle Estimation of Perturbed Fractional Processes

Number of pages: 49 Posted: 11 Jun 2008
Per Skaarup Frederiksen, Frank Nielsen and Morten Ørregaard Nielsen
BlackRock, Inc, Aarhus University - Department of Economics and Business Economics and Aarhus University - Department of Economics and Business Economics
Downloads 76 (644,052)
Citation 11

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Bias reduction, local Whittle, long memory, perturbed fractional process, semipara

20.

A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic

CREATES Research Paper No. 2008-36
Number of pages: 33 Posted: 30 Jun 2008
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics
Downloads 73 (658,177)
Citation 3

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Augmented Dickey-Fuller test, fractional integration, GLS detrending, nonparametric, nuisance parameter, tuning parameter, power envelope, unit root test, variance ratio

21.

Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis

CREATES Research Paper No. 2009-37
Number of pages: 18 Posted: 04 Sep 2009
Michael Jansson and Morten Ørregaard Nielsen
University of California, Berkeley - Department of Economics and Aarhus University - Department of Economics and Business Economics
Downloads 71 (667,856)
Citation 2

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Likelihood Ratio Test, Unit Root Hypothesis

22.

Likelihood Inference for a Nonstationary Fractional Autoregressive Model

Number of pages: 47 Posted: 23 Jun 2008
Soren Johansen, Morten Ørregaard Nielsen, Margit Sommer and Margit Sommer
University of Copenhagen - Department of Economics, Aarhus University - Department of Economics and Business Economics and School of Economics and Management, University of AarhusSchool of Economics and Management
Downloads 71 (667,856)
Citation 29

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Dickey-Fuller test, fractional unit root, likelihood inference

23.

Nonstationary Cointegration in the Fractionally Cointegrated VAR Model

Number of pages: 27 Posted: 29 May 2018
Soren Johansen and Morten Ørregaard Nielsen
University of Copenhagen - Department of Economics and Aarhus University - Department of Economics and Business Economics
Downloads 70 (672,638)
Citation 2

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Cointegration, fractional integration, likelihood inference, vector autoregressive model

24.

A Fractionally Cointegrated VAR Model with Deterministic Trends and Application to Commodity Futures Markets

Journal of Empirical Finance, Vol. 38, No. 623-639, 2016
Number of pages: 23 Posted: 29 Sep 2017
Sepideh Dolatabadi, Morten Ørregaard Nielsen and Ke Xu
Queen's University, Aarhus University - Department of Economics and Business Economics and University of Victoria
Downloads 61 (720,730)

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Backwardation, Contango, Deterministic trend, Fractional cointegration, Futures markets, Vector error correction model

25.

The Role of Initial Values in Nonstationary Fractional Time Series Models

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-18
Number of pages: 30 Posted: 15 Nov 2012
Soren Johansen and Morten Ørregaard Nielsen
University of Copenhagen - Department of Economics and Aarhus University - Department of Economics and Business Economics
Downloads 61 (720,730)
Citation 2

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Asymptotic expansion, bias, conditional inference, fractional integration, initial values, likelihood inference

Bias-Reduced Estimation of Long Memory Stochastic Volatility

CREATES Research Paper No. 2008-35
Number of pages: 17 Posted: 24 Jun 2008 Last Revised: 01 Jul 2008
Per Skaarup Frederiksen and Morten Ørregaard Nielsen
BlackRock, Inc and Aarhus University - Department of Economics and Business Economics
Downloads 60 (747,074)
Citation 4

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Bias reduction, local Whittle estimation, long memory stochastic volatility model

Bias-Reduced Estimation of Long-Memory Stochastic Volatility

Journal of Financial Econometrics, Vol. 6, Issue 4, pp. 496-512, 2008
Posted: 16 Oct 2008
Per Skaarup Frederiksen and Morten Ørregaard Nielsen
BlackRock, Inc and Aarhus University - Department of Economics and Business Economics

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C14, C22, bias reduction, local Whittle estimation, long memory stochastic volatility model

27.

Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots

CREATES Research Paper 2009-55
Number of pages: 19 Posted: 28 Nov 2009
Michael Jansson, Morten Ørregaard Nielsen, Margit Sommer and Margit Sommer
University of California, Berkeley - Department of Economics, Aarhus University - Department of Economics and Business Economics and School of Economics and Management, University of AarhusSchool of Economics and Management
Downloads 59 (732,174)

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Likelihood Ratio Test, Seasonal Unit Root Hypothesis

28.

Testing the CVAR in the Fractional CVAR Model

Number of pages: 13 Posted: 02 Nov 2017
Soren Johansen and Morten Ørregaard Nielsen
University of Copenhagen - Department of Economics and Aarhus University - Department of Economics and Business Economics
Downloads 54 (763,048)
Citation 2

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Cointegration, fractional integration, likelihood inference, vector autoregressive model

29.

Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model

Tinbergen Institute Discussion Paper 12-097/III
Number of pages: 23 Posted: 22 Sep 2012
H. Peter Boswijk, Michael Jansson and Morten Ørregaard Nielsen
Amsterdam School of Economics, University of California, Berkeley - Department of Economics and Aarhus University - Department of Economics and Business Economics
Downloads 47 (810,775)
Citation 4

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Cointegration rank, efficiency, likelihood ratio test, vector autoregression

30.

A Necessary Moment Condition for the Fractional Functional Central Limit Theorem

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-29
Number of pages: 9 Posted: 25 Oct 2010
Soren Johansen and Morten Ørregaard Nielsen
University of Copenhagen - Department of Economics and Aarhus University - Department of Economics and Business Economics
Downloads 47 (810,775)
Citation 1

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fractional integration, functional central limit theorem, long memory

31.

Asymptotic Normality of Narrow-Band Least Squares in the Stationary Fractional Cointegration Model and Volatility Forecasting

Posted: 28 Jan 2005
Bent Jesper Christensen and Morten Ørregaard Nielsen
Aarhus University and Aarhus University - Department of Economics and Business Economics

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Asymptotic distribution theory, high-frequency data, long memory, semiparametric methods, stationary fractional cointegration

32.

Noncontemporaneous Cointegration and the Importance of Timing

Posted: 28 Jan 2005
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics

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Fractional cointegration, frequency domain, noncontemporaneous cointegration, tming, zero frequency

33.

Semiparametric Estimation in Time Series Regression with Long-Range Dependence

U of Aarhus, Economics Working Paper No. 2002-17
Posted: 07 Jan 2003
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics

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Fractional integration, generalized least squares, linear regression, long range dependence, semiparametric estimation, Whittle likelihood

Local Empirical Measure of Multivariate Processes with Long Range Dependence

U of Aarhus, Economics Working Paper No. 2002-16
Posted: 07 Jan 2003
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics

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Brownian Motion, Fractional ARIMA, Functional Central Limit Theorem, Goodness-of-fit Test, Integrated Periodogram, Long Memory, Narrow-band Frequency Domain Least Squares

Local Empirical Measure of Multivariate Processes with Long Range Dependence

Stochastic Processes and their Applications, Vol. 109, pp. 145-166, 2004
Posted: 18 Jun 2004
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics

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Brownian Motion, Fractional ARIMA, Functional Central Limit Theorem, Goodness-of-fit Test, Integrated Periodogram, Long Memory, Narrow-band Frequency Domain Least Squares

Multivariate Lagrange Multiplier Tests for Fractional Integration

Journal of Financial Econometrics, Vol. 3, No. 3, pp. 372-398, Summer 2005
Posted: 29 Feb 2008
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics

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asymptotic local power, efficient test, fractional integration, Lagrange multiplier test, multivariate fractional unit root, nonstationarity

Multivariate Lagrange Multiplier Tests for Fractional Integration

U of Aarhus, Economics Working Paper No. 2002-18
Posted: 06 Jan 2003
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics

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Asymptotic Local Power, Efficient Test, Fractional Integration, Lagrange Multiplier Test, Multivariate Fractional Unit Root, Nonstationarity

Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics

U of Aarhus, Economics Working Paper No. 2002-7
Posted: 26 Aug 2002
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics

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Cointegration Test, Fully Modified Estimation,

Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics

Journal of Business and Economic Statistics, Vol. 22, pp. 331-345, 2004
Posted: 18 Jun 2004
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics

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Cointegration Test, Fully Modified Estimation, Nonstationarity, Optimal Test, Power Envelope

37.

Local Whittle Analysis of Stationary Fractional Cointegration

U of Aarhus, Economics Working Paper No. 2002-8
Posted: 20 Aug 2002
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics

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Fractional Cointegration, Fractional Integration, Whittle Likelihood, Long Memory, Realized Volatility, Semiparametric Estimation

38.

Efficient Inference in Multivariate Fractionally Integrated Time Series Models

U of Aarhus, Economics Working Paper No. 2002-6
Posted: 20 Aug 2002
Morten Ørregaard Nielsen
Aarhus University - Department of Economics and Business Economics

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Asymptotic Local Power, Efficient Estimation, Efficient Test, Fractional Integration, Multivariate ARFIMA model, Multivariate Fractional Unit Root, Nonstationarity