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Finite sample accuracy and choice of sampling frequency in integrated volatility extimation

Nielsen, Morten Ørregaard; Frederiksen, Per - In: Journal of empirical finance 15 (2008) 2, pp. 265-286

Persistent link: https://www.econbiz.de/10003699137

Asset market perspectives on the Israeli-Palenstinian conflict

Zussman, Asaf; Zussman, Noam; Nielsen, Morten Ørregaard - In: Economica 75 (2008), pp. 84-115

Persistent link: https://www.econbiz.de/10003623915

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

The effect of long memory in volatility on stock market fluctuations

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: The review of economics and statistics 89 (2007) 4, pp. 684-700

Persistent link: https://www.econbiz.de/10003567153

Likelihood inference for a nonstationary fractional autoregressive model

Johansen, Søren (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003571225

Determining the cointegrating rank in nonstationary frational system by the exact local Whittle approach

Nielsen, Morten Ørregaard; Shimotsu, Katsumi - In: Journal of econometrics 141 (2007) 2, pp. 574-596

Persistent link: https://www.econbiz.de/10003571326

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

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

Likelihood inference for a fractionally cointegrated vector autoregressive model

Johansen, Søren; Nielsen, Morten Ørregaard - 2010

We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model based on the conditional Gaussian likelihood. The model allows the process X_{t} to be fractional of order d and cofractional of order d-b; that is, there exist vectors β for which...

Persistent link: https://www.econbiz.de/10003981839

Numerical distribution functions of fractional unit root and cointegration tests

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

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

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