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Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high-frequency options data
Christensen, Bent Jesper (contributor);  … - 2001 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599144
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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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Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard (contributor) - 2008
In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in fractionally integrated systems. The test statistic is easily calculated without prior knowledge of the integration order of the data, the strength of the cointegrating relations,...
Persistent link: https://www.econbiz.de/10003742085
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Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard - 2009
Persistent link: https://www.econbiz.de/10003849417
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Local Whittle analysis of stationary fractional cointegration and the implied-realized volatility relation
Nielsen, Morten Ørregaard - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 4, pp. 427-446
Persistent link: https://www.econbiz.de/10003566055
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Local Whittle analysis of stationary fractional cointegration and the implied-realized volatility relation
Nielsen, Morten Ørregaard (contributor) - 2006
Persistent link: https://www.econbiz.de/10003301063
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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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Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard - In: Journal of econometrics 155 (2010) 2, pp. 170-187
Persistent link: https://www.econbiz.de/10003966977