Morten Ørregaard Nielsen

Queen's University - Department of Economics

Professor

94 University Avenue

Kingston K7L 3N6, Ontario

Canada

http://www.econ.queensu.ca/faculty/nielsen/

SCHOLARLY PAPERS

38

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CITATIONS
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116

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, Bent Jesper Christensen and Morten Ørregaard Nielsen
Danske Markets, Aarhus University and Queen's University - Department of Economics
Downloads 346 (61,216)
Citation 15

Abstract:

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

2.
Downloads 259 ( 92,643)
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
University of Aarhus - Department of Economics, University of Aarhus - Department of Economics, Queen's University - Department of Economics, University of Aarhus - Department of Economics and Department of Economics, University of Western Ontario
Downloads 259 (92,177)
Citation 1

Abstract:

Seasonality, Economic Modeling

Seasonality in Economic Models

Macroeconomic Dynamics, Vol. 8, pp. 362-394, 2004
Posted: 20 Jun 2004
Bjarne Brendstrup, Svend Hylleberg, Morten Ørregaard Nielsen, Lars Skipper and Lars Stentoft
University of Aarhus - Department of Economics, University of Aarhus - Department of Economics, Queen's University - Department of Economics, University of Aarhus - Department of Economics and Department of Economics, University of Western Ontario

Abstract:

Seasonality, economic modelling

3.

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 Queen's University - Department of Economics
Downloads 249 (93,400)
Citation 8

Abstract:

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

4.

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: 02 Dec 2008
Northwestern University - Kellogg School of Management, Duke University - Finance, BlackRock, Inc, Queen's University - Department of Economics and School of Economics and Management, University of Aarhus
Downloads 211 (110,596)
Citation 17

Abstract:

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.

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

Number of pages: 22 Posted: 23 Jun 2008
Niels Haldrup, Frank Nielsen and Morten Ørregaard Nielsen
Aarhus University, School of Economics and Management, University of Aarhus - Department of Economics and Queen's University - Department of Economics
Downloads 180 (130,649)
Citation 3

Abstract:

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

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, Queen's University - Department of Economics and University of Aarhus - School of Economics and Management
Downloads 90 (229,354)
Citation 4

Abstract:

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, Queen's University - Department of Economics and University of Aarhus - School of Economics and Management
Downloads 81 (245,220)
Citation 4

Abstract:

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

7.

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 and Morten Ørregaard Nielsen
Aarhus University, School of Economics and Management and Queen's University - Department of Economics
Downloads 169 (120,256)
Citation 19

Abstract:

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

8.

The Effect of Long Memory in Volatility on Stock Market Fluctuations

Number of pages: 46 Posted: 20 Jun 2008
Morten Ørregaard Nielsen
Queen's University - Department of Economics
Downloads 136 (153,054)

Abstract:

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

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
Queen's University - Department of Economics
Downloads 100 (213,523)

Abstract:

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

Spectral Analysis of Fractionally Cointegrated Systems

Economics Letters, Vol. 83, pp. 225-231, 2004
Posted: 18 Jun 2004
Morten Ørregaard Nielsen
Queen's University - Department of Economics

Abstract:

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

10.

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 and Morten Ørregaard Nielsen
Aarhus University, School of Economics and Management and Queen's University - Department of Economics
Downloads 84 (229,247)
Citation 9

Abstract:

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

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 and Margit Sommer
University of Copenhagen - Department of Economics, Queen's University - Department of Economics and School of Economics and Management, University of Aarhus
Downloads 49 (321,046)
Citation 3

Abstract:

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
Queen's University - Department of Economics and University of Copenhagen - Department of Economics
Downloads 24 (418,240)
Citation 3

Abstract:

cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive 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
Queen's University - Department of Economics
Downloads 65 (278,874)
Citation 6

Abstract:

Efficient Likelihood Inference in Nonstationary Univariate Models

Econometric Theory, Vol. 20, pp. 116-146, 2004
Posted: 20 Jun 2004
Morten Ørregaard Nielsen
Queen's University - Department of Economics

Abstract:

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

13.

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
Queen's University - Department of Economics
Downloads 54 (299,433)
Citation 1

Abstract:

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

14.

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
Queen's University - Department of Economics
Downloads 46 (315,794)
Citation 1

Abstract:

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

15.

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, University of Aarhus - Department of Economics and Queen's University - Department of Economics
Downloads 38 (336,613)
Citation 5

Abstract:

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

16.

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 and Morten Ørregaard Nielsen
Aarhus University, School of Economics and Management and Queen's University - Department of Economics
Downloads 37 (342,966)
Citation 3

Abstract:

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

17.

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 Queen's University - Department of Economics
Downloads 31 (363,583)
Citation 1

Abstract:

Likelihood Ratio Test, Unit Root Hypothesis

18.

Likelihood Inference for a Nonstationary Fractional Autoregressive Model

Number of pages: 47 Posted: 23 Jun 2008
Soren Johansen, Morten Ørregaard Nielsen and Margit Sommer
University of Copenhagen - Department of Economics, Queen's University - Department of Economics and School of Economics and Management, University of Aarhus
Downloads 27 (391,751)
Citation 4

Abstract:

Dickey-Fuller test, fractional unit root, 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 Queen's University - Department of Economics
Downloads 25 (412,883)
Citation 3

Abstract:

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 Queen's University - Department of Economics

Abstract:

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

20.

A Fast Fractional Difference Algorithm

Number of pages: 11 Posted: 07 Jun 2013
Andreas Jensen and Morten Ørregaard Nielsen
University of Copenhagen and Queen's University - Department of Economics
Downloads 24 (374,818)

Abstract:

Circular convolution theorem, fast Fourier transform, fractional difference

21.

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 and Margit Sommer
University of California, Berkeley - Department of Economics, Queen's University - Department of Economics and School of Economics and Management, University of Aarhus
Downloads 23 (401,050)

Abstract:

Likelihood Ratio Test, Seasonal Unit Root Hypothesis

22.

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 Queen's University - Department of Economics
Downloads 20 (382,980)

Abstract:

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

23.

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 Queen's University - Department of Economics
Downloads 19 (425,960)

Abstract:

fractional integration, functional central limit theorem, long memory

24.

Asset Market Perspectives on the Israeli-Palestinian Conflict

Economica, Vol. 75, Issue 297, pp. 84-115, February 2008
Number of pages: 32 Posted: 29 Dec 2007
Asaf Zussman, Noam Zussman and Morten Ørregaard Nielsen
Hebrew University of Jerusalem - Department of Economics, affiliation not provided to SSRN and Queen's University - Department of Economics
Downloads 15 (451,386)
Citation 6

Abstract:

25.

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
University of Amsterdam - Amsterdam School of Economics, University of California, Berkeley - Department of Economics and Queen's University - Department of Economics
Downloads 14 (441,311)

Abstract:

Cointegration rank, efficiency, likelihood ratio test, vector autoregression

Efficient Inference in Multivariate Fractionally Integrated Time Series Models

Econometrics Journal, Vol. 7, No. 1, pp. 63-97, June 2004
Number of pages: 35 Posted: 21 Jul 2004
Morten Ørregaard Nielsen
Queen's University - Department of Economics
Downloads 11 (491,792)
Citation 4

Abstract:

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
Queen's University - Department of Economics

Abstract:

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

Semiparametric Estimation in Time-Series Regression with Long-Range Dependence

Journal of Time Series Analysis, Vol. 26, No. 2, pp. 279-304, March 2005
Number of pages: 26 Posted: 18 Feb 2005
Morten Ørregaard Nielsen
Queen's University - Department of Economics
Downloads 7 (513,711)
Citation 2

Abstract:

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
Queen's University - Department of Economics

Abstract:

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

28.

Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration

The Econometrics Journal, Vol. 14, Issue 1, pp. 77-120, 2011
Number of pages: 44 Posted: 28 Feb 2011
Morten Ørregaard Nielsen and Per Skaarup Frederiksen
Queen's University - Department of Economics and BlackRock, Inc
Downloads 2 (514,693)
Citation 1

Abstract:

Fractional cointegration, Frequency domain, Fully modified estimation, Long memory, Semi-parametric

29.

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 Queen's University - Department of Economics
Downloads 0 (387,277)

Abstract:

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

30.

A Fractionally Cointegrated VAR Analysis of Economic Voting and Political Support

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 47, Issue 4, pp. 1078-1130, 2014,
Number of pages: 53 Posted: 23 Jul 2015
Maggie E. C. Jones, Morten Ørregaard Nielsen and Michał Ksawery Popiel
Queen's University, Queen's University - Department of Economics and Queen's University
Downloads 0 (532,720)

Abstract:

31.

Asymptotics for the Conditional‐Sum‐Of‐Squares Estimator in Multivariate Fractional Time‐Series Models

Journal of Time Series Analysis, Vol. 36, Issue 2, pp. 154-188, 2015
Number of pages: 35 Posted: 13 Feb 2015
Morten Ørregaard Nielsen
Queen's University - Department of Economics
Downloads 0 (532,720)

Abstract:

Asymptotic normality, conditional‐sum‐of‐squares estimator, consistency, fractional integration, fractional time series, likelihood inference, long memory, non‐stationary, uniform convergence

32.

A Fast Fractional Difference Algorithm

Journal of Time Series Analysis, Vol. 35, Issue 5, pp. 428-436, 2014
Number of pages: 9 Posted: 27 Aug 2014
Andreas Noack Jensen and Morten Ørregaard Nielsen
University of Copenhagen and Queen's University - Department of Economics
Downloads 0 (532,720)

Abstract:

Circular convolution theorem, fast Fourier transform, fractional difference.JEL. C22

33.

Noncontemporaneous Cointegration and the Importance of Timing

Economics Letters, Vol. 86, pp. 113-119, 2005
Posted: 28 Jan 2005
Morten Ørregaard Nielsen
Queen's University - Department of Economics

Abstract:

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

34.

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

Journal of Econometrics, Forthcoming
Posted: 28 Jan 2005
Bent Jesper Christensen and Morten Ørregaard Nielsen
Aarhus University and Queen's University - Department of Economics

Abstract:

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

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
Queen's University - Department of Economics

Abstract:

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
Queen's University - Department of Economics

Abstract:

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
Queen's University - Department of Economics

Abstract:

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
Queen's University - Department of Economics

Abstract:

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
Queen's University - Department of Economics

Abstract:

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
Queen's University - Department of Economics

Abstract:

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

38.

Local Whittle Analysis of Stationary Fractional Cointegration

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

Abstract:

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