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Separation in cointegrated systems

Haldrup, Niels - In: Journal of financial econometrics : official journal of … 8 (2010) 2, pp. 177-180

Persistent link: https://www.econbiz.de/10008652238

An econometric analysis of I(2) variables

Haldrup, Niels - In: Practical issues in cointegration analysis, (pp. 179-234). 1999

Persistent link: https://www.econbiz.de/10001550937

[Rezension von: Maddala, G. S., ...,, Unit roots cointegration and structural change]

Haldrup, Niels - In: The economic journal : the journal of the Royal … 110 (2000), pp. F800-803

Persistent link: https://www.econbiz.de/10001545475

An econometric analysis of I (2) variables

Haldrup, Niels - In: Journal of economic surveys 12 (1998) 5, pp. 595-650

Persistent link: https://www.econbiz.de/10001400865

Testing for multicointegration

Engsted, Tom; Gonzalo, Jesús; Haldrup, Niels - 1997

Persistent link: https://www.econbiz.de/10000956058

A Gaussian IV estimator of cointegrating relations

Bårdsen, Gunnar (contributor); Haldrup, Niels (contributor) - 2006

Persistent link: https://www.econbiz.de/10003279288

A vector autoregressive model for electricity prices subject to long memory and regime switching

Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten … - 2009

A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the observed regime states as well as the possibility of fractional cointegration. The model is motivated by the dynamics of electricity prices where the transmission of power is subject to...

Persistent link: https://www.econbiz.de/10003872445

Common periodic correlation features and the interaction of stocks and flows in daily airport data

Haldrup, Niels; Hylleberg, Svend; Pons Rotger, Gabriel; … - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 1, pp. 21-32

Persistent link: https://www.econbiz.de/10003410137

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

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. 1044-1058

Persistent link: https://www.econbiz.de/10008934329