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The implied-realized volatility relation with jumps in underlying asset prices
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005
Persistent link: https://www.econbiz.de/10002670536
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The implied-realized volatility relation with jumps in underlying asset prices
Christensen, Bent Jesper (contributor);  … - 2005
volatility when forecasting subsequently realized return volatility, and it appears to be an unbiased forecast. Furthermore …
Persistent link: https://www.econbiz.de/10003795292
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Testing the CVAR in the fractional CVAR model
Johansen, Søren; Nielsen, Morten Ørregaard - 2017
We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the test statistic for the ususal CVAR model is asymptotically chi-squared distributed. Because the usual CVAR model lies on the boundary of the parameter space for the...
Persistent link: https://www.econbiz.de/10011756080
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Nonstationary cointegration in the fractionally cointegrated VAR model
Johansen, Søren; Nielsen, Morten Ørregaard - 2018
We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their con- sistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that...
Persistent link: https://www.econbiz.de/10011845794
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FCVARmodel.m : a matlab software package for estimation and testing in the fractionally cointegrated VAR
Nielsen, Morten Ørregaard; Morin, Lealand - 2011
This manual describes the usage of the accompanying freely available software package for estimation and testing in the fractionally cointegrated vector autoregressive (VAR) model. -- cofractional process ; cointegration rank ; fractional autoregressive model ; fractional cointegration ;...
Persistent link: https://www.econbiz.de/10009270739
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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model Xt = ᵧZt + Yt, where Zt belongs to a large class of...
Persistent link: https://www.econbiz.de/10011583206
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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren; Nielsen, Morten Ørregaard - 2016
Persistent link: https://www.econbiz.de/10011524104
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A fractionally cointegrated VAR analysis of economic voting and political support
Jones, Maggie E. C.; Nielsen, Morten Ørregaard; … - In: The Canadian journal of economics 47 (2014) 4, pp. 1078-1130
Persistent link: https://www.econbiz.de/10011349138
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A Matlab program and user's guide for the fractionally cointegrated VAR model
Nielsen, Morten Ørregaard; Popiel, Michal Ksawery - 2014
This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the fractionally cointegrated vector autoregressive (FCVAR) model. This program replaces an earlier Matlab program by Nielsen and Morin (2014), and although the present Matlab...
Persistent link: https://www.econbiz.de/10010418272
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Forecasting daily political opinion polls using the fractionally cointegrated VAR model
Nielsen, Morten Ørregaard; Shibaev, Sergei S. - 2015
competing models and at various forecast horizons. Our findings show that the precision of fore- casts generated by the FCVAR … considered are generally ranked as the top four models in terms of forecast accuracy. Furthermore, the FCVAR model significantly … outperforms the standard cointegrated VAR (CVAR) model at all forecast horizons and the relative forecast improvement is highest …
Persistent link: https://www.econbiz.de/10011279787