Narrow search
Showing 1 - 10 of 38
Cover Image
Directional congestion and regime switching in a long memory model for electricity prices
Haldrup, Niels (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10003559004
Cover Image
Nearly efficient likelihood ratio tests for seasonal unit roots
Jansson, Michael; Nielsen, Morten Ørregaard - In: Journal of time series econometrics 3 (2011) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10009623579
Cover Image
The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - In: Economic modelling 49 (2015), pp. 407-418
Persistent link: https://www.econbiz.de/10011439598
Cover Image
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Cover Image
Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
Cover Image
Wild bootstrap and asymptotic inference with multiway clustering
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 505-519
Persistent link: https://www.econbiz.de/10012499095
Cover Image
The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
Johansen, Søren; Nielsen, Morten Ørregaard - In: Econometric theory 32 (2016) 5, pp. 1095-1139
Persistent link: https://www.econbiz.de/10011661716
Cover Image
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - In: Journal of empirical finance 38 (2016), pp. 623-639
Persistent link: https://www.econbiz.de/10011663388
Cover Image
Asymptotic theory and wild bootstrap inference with clustered errors
Djogbenou, Antoine A.; MacKinnon, James G.; Nielsen, … - In: Journal of econometrics 212 (2019) 2, pp. 393-412
Persistent link: https://www.econbiz.de/10012304028
Cover Image
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier; Nielsen, Morten Ørregaard - In: Econometric theory 36 (2020) 4, pp. 751-772
Persistent link: https://www.econbiz.de/10012258429