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Numerical distribution functions of fractional unit root and cointegration tests

MacKinnon, James G.; Nielsen, Morten Ørregaard - 2010

Persistent link: https://www.econbiz.de/10008651639

Fully modified Narrow-band least squares estimation of weak fractional cointegration

Nielsen, Morten Ørregaard; Frederiksen, Per - 2010

Persistent link: https://www.econbiz.de/10008651771

Nearly efficient likelihood ration tests of the unit root hypothesis

Jansson, Michael; Nielsen, Morten Ørregaard - 2009

Persistent link: https://www.econbiz.de/10003874172

Fully modified narrow-band least squares estimation of weak fractional cointegration

Nielsen, Morten Ørregaard; Frederiksen, Per - In: The econometrics journal 14 (2011) 1, pp. 77-120

Persistent link: https://www.econbiz.de/10009007591

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. 48-57

Persistent link: https://www.econbiz.de/10009242554

Long memory in stock market volatility and the volatility-in-mean effect : the FIEGARCH-M model

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - In: Journal of empirical finance 17 (2010) 3, pp. 460-470

Persistent link: https://www.econbiz.de/10009267288

Forecasting daily political opinion polls using the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Shibaev, Sergei S. - 2015

We examine forecasting performance of the recent fractionally cointegrated vector autoregressive (FCVAR) model. The model is applied to daily polling data of political support in the United Kingdom for 2010 - 2015. We compare with popular competing models and at various forecast horizons. Our...

Persistent link: https://www.econbiz.de/10011279787

A fractionally cointegrated VAR analysis of price discovery in commodity futures markets

Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - In: The journal of futures markets 35 (2015) 4, pp. 339-356

Persistent link: https://www.econbiz.de/10011348418

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

Improved likelihood ratio tests for cointegration rank in the VAR model

Boswijk, Herman Peter; Jansson, Michael; Nielsen, … - In: Journal of econometrics 184 (2015) 1, pp. 97-110

Persistent link: https://www.econbiz.de/10011326813