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Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, … - 2015
Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …
Persistent link: https://www.econbiz.de/10010464770
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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014
Persistent link: https://www.econbiz.de/10010394599
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A fractionally cointegrated VAR analysis of economic voting and political support
Jones, Maggie E. C.; Nielsen, Morten Ørregaard; … - 2014
Persistent link: https://www.econbiz.de/10010394610
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Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
Shimotsu, Katsumi (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003295720
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Modelling the Fisher hypothesis: World wide evidence
Herwartz, Helmut (contributor);  … - 2006
cointegration linking interest rates and inflation, and stationarity of the real interest rate implying in turn homogeneity of the … favor of cointegration is weak over periods of high inflation. The Fisher coe±cient turns out to be remarkably stable and is …
Persistent link: https://www.econbiz.de/10003296858
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Spectral analysis of fractionally cointegrated systems
Nielsen, Morten Ørregaard - In: Economics letters 83 (2004) 2, pp. 225-231
Persistent link: https://www.econbiz.de/10001991527
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Noncontemporaneous cointegration and the importance of timing
Nielsen, Morten Ørregaard - In: Economics letters 86 (2005) 1, pp. 113-119
Persistent link: https://www.econbiz.de/10002516515
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Optimal residual-based tests for fractional cointegration and exchange rate dynamics
Nielsen, Morten Ørregaard - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 3, pp. 331-345
Persistent link: https://www.econbiz.de/10002135512
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Optimal residual based tests for fractional cointegration and exchange rate dynamics
Nielsen, Morten Ørregaard (contributor) - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702310
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Testing the purchasing power parity in pooled systems of error correction models
Herwartz, Helmut; Reimers, Hans-Eggert - In: Japan and the world economy : international journal of … 14 (2002) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10001637863