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A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
Johansen, Søren; Ørregaard Nielsen, Morten - In: Econometric theory 28 (2011) 3, pp. 671-680
Persistent link: https://www.econbiz.de/10009968679
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A regime switching long memory model for electricity prices
Haldrup, Niels; Nielsen, Morten Ørregaard - In: Journal of econometrics 135 (2006) 1, pp. 349-376
Persistent link: https://www.econbiz.de/10007279935
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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: Journal of econometrics 133 (2006) 1, pp. 343-372
Persistent link: https://www.econbiz.de/10007288077
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SEASONALITY IN ECONOMIC MODELS
Brendstrup, Bjarne; Hylleberg, Svend; Nielsen, Morten … - In: Macroeconomic dynamics 8 (2004) 3, pp. 362-394
Persistent link: https://www.econbiz.de/10006022368
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Noncontemporaneous cointegration and the importance of timing
Nielsen, Morten Ørregaard - In: Economics letters 86 (2005) 1, pp. 113-120
Persistent link: https://www.econbiz.de/10006749174
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Spectral analysis of fractionally cointegrated systems
Nielsen, Morten Ørregaard - In: Economics letters 83 (2004) 2, pp. 225-232
Persistent link: https://www.econbiz.de/10006757772
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A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC
Nielsen, Morten Ørregaard - In: Econometric theory 25 (2009) 6, pp. 1515-1544
Persistent link: https://www.econbiz.de/10008325218
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A vector autoregressive model for electricity prices subject to long memory and regime switching
Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten … - In: Energy economics 32 (2010) 5, pp. 1044-1059
Persistent link: https://www.econbiz.de/10008640002
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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - In: Journal of econometrics 160 (2011) 1, pp. 48-58
Persistent link: https://www.econbiz.de/10008770555
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Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard - In: Journal of econometrics 155 (2010) 2, pp. 170-188
Persistent link: https://www.econbiz.de/10008391947