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

44

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288

Scholarly Papers (44)

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 393 (73,253)
Citation 58

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

2.
Downloads 266 (113,055)

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, Aarhus University - Department of Economics, Queen's University - Department of Economics, Aarhus University - Department of Economics and Department of Economics, University of Western Ontario
Downloads 266 (112,495)
Citation 1

Abstract:

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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
Aarhus University - Department of Economics, Aarhus University - Department of Economics, Queen's University - Department of Economics, Aarhus University - Department of Economics and Department of Economics, University of Western Ontario

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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 263 (114,429)
Citation 13

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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 229 (131,692)
Citation 42

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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

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 and Morten Ørregaard Nielsen
Aarhus University, School of Economics and Management and Queen's University - Department of Economics
Downloads 218 (138,130)
Citation 29

Abstract:

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

6.

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, Aarhus University - Department of Economics and Queen's University - Department of Economics
Downloads 188 (158,571)
Citation 18

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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 100 (263,368)
Citation 5

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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, Queen's University - Department of Economics and University of Aarhus - School of Economics and Management
Downloads 85 (292,859)
Citation 9

Abstract:

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

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 177 (168,280)

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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 104 (256,348)

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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

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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 100 (261,636)
Citation 9

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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 55 (372,740)
Citation 78

Abstract:

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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
Queen's University - Department of Economics and University of Copenhagen - Department of Economics
Downloads 33 (458,106)

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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 68 (334,005)
Citation 5

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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

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

13.

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 62 (346,207)

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

14.

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 58 (357,817)
Citation 9

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

15.

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 51 (379,790)
Citation 8

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

16.

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 Queen's University - Department of Economics
Downloads 44 (403,867)
Citation 5

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

17.

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 43 (407,589)
Citation 7

Abstract:

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

18.

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 41 (414,866)
Citation 9

Abstract:

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Circular convolution theorem, fast Fourier transform, fractional difference

19.

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 37 (430,751)
Citation 9

Abstract:

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Likelihood Ratio Test, Unit Root Hypothesis

20.

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 30 (461,033)
Citation 2

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

21.

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 30 (461,033)
Citation 26

Abstract:

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Dickey-Fuller test, fractional unit root, likelihood inference

22.

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 Queen's University - Department of Economics
Downloads 29 (465,771)
Citation 1

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Cointegration, fractional integration, likelihood inference, vector autoregressive model

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 27 (489,252)
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 Queen's University - Department of Economics

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

24.

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 26 (481,064)
Citation 1

Abstract:

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Likelihood Ratio Test, Seasonal Unit Root Hypothesis

25.

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, Queen's University - Department of Economics and University of Victoria
Downloads 23 (497,493)

Abstract:

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

26.

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 23 (497,493)
Citation 6

Abstract:

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fractional integration, functional central limit theorem, long memory

27.

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, Queen's University - Department of Economics and University of Victoria
Downloads 21 (508,910)
Citation 4

Abstract:

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

28.

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 Queen's University - Department of Economics
Downloads 20 (514,568)
Citation 4

Abstract:

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Cointegration rank, efficiency, likelihood ratio test, vector autoregression

29.

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, Queen's University - Department of Economics and University of Victoria
Downloads 15 (543,568)
Citation 6

Abstract:

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

30.

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 (543,568)
Citation 17
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31.

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 Queen's University - Department of Economics
Downloads 11 (567,590)
Citation 1

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Cointegration, fractional integration, likelihood inference, vector autoregressive model

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 (591,081)
Citation 3
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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:

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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 (618,327)
Citation 6
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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:

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

34.

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 3 (620,064)
Citation 7
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Fractional cointegration, Frequency domain, Fully modified estimation, Long memory, Semi-parametric

35.

Testing the CVAR in the Fractional CVAR Model

Journal of Time Series Analysis, Vol. 39, Issue 6, pp. 836-849, 2018
Number of pages: 14 Posted: 07 Oct 2018
Søren Johansen and Morten Ørregaard Nielsen
University of Copenhagen - Department of Economics and Queen's University - Department of Economics
Downloads 0 (660,893)
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Cointegration, fractional integration, likelihood inference, vector autoregressive model

36.

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 Popiel
Queen's University, Queen's University - Department of Economics and Queen's University
Downloads 0 (660,893)
Citation 2
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37.

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 (660,893)
Citation 1
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Asymptotic normality, conditional‐sum‐of‐squares estimator, consistency, fractional integration, fractional time series, likelihood inference, long memory, non‐stationary, uniform convergence

38.

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 (660,893)
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Circular convolution theorem, fast Fourier transform, fractional difference.JEL. C22

39.

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:

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

40.

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:

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

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

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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
Queen's University - Department of Economics

Abstract:

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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
Queen's University - Department of Economics

Abstract:

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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
Queen's University - Department of Economics

Abstract:

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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
Queen's University - Department of Economics

Abstract:

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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
Queen's University - Department of Economics

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

44.

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

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