Morten Ørregaard Nielsen

Research output

Research output per year 2004 2010 2012 2018 2022 2023 2024

• 65 Journal article
• 41 Working paper
• 2 Editorial
• 1 Encyclopedia entry
• 1 More
  • 1 Comment/debate/letter to the editor

Research output per year

Research output per year

Search results

• 2016

  The cointegrated vector autoregressive model with general deterministic terms

  Johansen, S. & Nielsen, M. Ø., 9 Aug 2016, Aarhus: Institut for Økonomi, Aarhus Universitet, 29 p. (CREATES Research Paper; No. 2016-22).

  Research output: Working paper/Preprint › Working paper › Research

  Open Access

  File
  663 Downloads (Pure)

• The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models

  Johansen, S. & Nielsen, M. Ø., 2016, In: Econometric Theory. 32, 5, p. 1095-1139 45 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
  45 Citations (Scopus)
• 2015

  A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets

  Dolatabadi, S., Nielsen, M. O. & Xu, K., 1 Apr 2015, In: Journal of Futures Markets. 35, 4, p. 339-356 18 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Commodity Derivative 100%
  52 Citations (Scopus)

• Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models

  Nielsen, M. Ø., 2015, In: Journal of Time Series Analysis. 36, 2, p. 154–188

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Asymptotics 100%
  • Conditionals 100%
  • Time Series Model 100%
  • Square Estimator 100%
  • Sum of Squares 100%
  22 Citations (Scopus)

• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

  Cavaliere, G., Nielsen, M. Ø. & Taylor, A. M. R., 1 Aug 2015, In: Journal of Econometrics. 187, 2, p. 557-579 23 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • ARMA Model 100%
  • Efficient Market Hypothesis 100%
  • Time Series 100%
  • Volatility 50%
  • Monte Carlo Simulation 50%
  16 Citations (Scopus)

• Guest editors' introduction: Special issue of Journal of Banking and Finance on recent developments in financial econometrics and applications

  Narayan, P. K. & Nielsen, M. Ø., 1 Dec 2015, In: Journal of Banking and Finance. 61, p. S99-S100

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Editorial

• Improved likelihood ratio tests for cointegration rank in the VAR model

  Boswijk, H. P., Jansson, M. & Nielsen, M. Ø., 2015, In: Journal of Econometrics. 184, 1, p. 97-110 14 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
  10 Citations (Scopus)

• The impact of financial crises on the risk-return tradeoff and the leverage effect

  Christensen, B. J., Nielsen, M. Ø. & Zhu, J., 2015, In: Economic Modelling. 49, p. 407-418

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  File

  • Financial Crisis 100%
  • Risk-Return Tradeoff 100%
  • Volatility 33%
  • Capital Market Returns 33%
  • Stock Index 16%
  26 Citations (Scopus)

  645 Downloads (Pure)
• 2014

  A fast fractional difference algorithm

  Jensen, A. N. & Nielsen, M. Ø., 1 Jan 2014, In: Journal of Time Series Analysis. 35, 5, p. 428-436 9 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Fast Algorithm 100%
  • Arithmetic Operation 100%

• A fractionally cointegrated VAR analysis of economic voting and political support

  Jones, M. E. C., Nielsen, M. O. & Popiel, M. K., 2014, In: Canadian Journal of Economics. 47, 4, p. 1078–1130

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Economic Voting 100%

• Numerical distribution functions of fractional unit root and cointegration tests

  Mackinnon, J. G. & Nielsen, M. Ø., 2014, In: Journal of Applied Econometrics. 29, 1, p. 161-171

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
• 2012

  A necessary moment condition for the fractional functional central limit theorem

  Johansen, S. & Nielsen, M. Ø., 1 Jun 2012, In: Econometric Theory. 28, 3, p. 671-679 9 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
  17 Citations (Scopus)

• Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model

  Boswijk, H. P., Jansson, M. & Nielsen, M. Ø., 21 Sept 2012, Aarhus: Institut for Økonomi, Aarhus Universitet, 21 p. (CREATES Research Paper; No. 2012-39).

  Research output: Working paper/Preprint › Working paper › Research

  File
  133 Downloads (Pure)

• Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

  Johansen, S. & Nielsen, M. Ø., 1 Nov 2012, In: Econometrica. 80, 6, p. 2667-2732 66 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
  215 Citations (Scopus)

• Local polynomial Whittle estimation of perturbed fractional processes

  Frederiksen, P., Nielsen, F. S. & Nielsen, M. Ø., 2012, In: Journal of Econometrics. 167, 2, p. 426–447

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
  29 Citations (Scopus)

• Nearly efficient likelihood ratio tests of the unit root hypothesis

  Jansson, M. & Nielsen, M. Ø., 1 Sept 2012, In: Econometrica. 80, 5, p. 2321-2332 12 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
  20 Citations (Scopus)

• The impact of financial crises on the risk-return tradeoff and the leverage effect

  Christensen, B. J., Nielsen, M. Ø. & Zhu, J., 2012, Aarhus: Institut for Økonomi, Aarhus Universitet, 26 p.

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Financial Crisis 100%
  • Risk-Return Tradeoff 100%
  • Volatility 33%
  • Capital Market Returns 33%
  • Stock Index 16%
  566 Downloads (Pure)

• The role of initial values in nonstationary fractional time series models

  Johansen, S. & Nielsen, M. Ø., 14 Nov 2012, Aarhus: Institut for Økonomi, Aarhus Universitet, 29 p. (CREATES Research Paper; No. 2012-47).

  Research output: Working paper/Preprint › Working paper › Research

  File
  209 Downloads (Pure)
• 2011

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

  Nielsen, M. Ø. & Frederiksen, P., Feb 2011, In: Econometrics Journal. 14, 1, p. 77-120 44 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Least Square 100%
  • Least Square Estimation 100%
  • Cointegration 100%
  • Financial Economics 100%
  • Square Estimator 60%
  34 Citations (Scopus)

• Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots

  Jansson, M. & Nielsen, M. Ø., 2011, In: Journal of Time Series Econometrics. 3, 1, 5.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Likelihood Ratio Test 100%
  • Likelihood Ratio 100%
  • Unit Root Test 33%
  • Asymptotics 33%
  • Power Function 33%

• The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets

  Busch, T., Christensen, B. J. & Nielsen, M. Ø., 2011, In: Journal of Econometrics. 160, 1, p. 48-57 10 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
  194 Citations (Scopus)
• 2010

  A necessary moment condition for the fractional functional central limit theorem

  Johansen, S. & Nielsen, M. Ø., 2010, Aarhus: Institut for Økonomi, Aarhus Universitet, 8 p.

  Research output: Working paper/Preprint › Working paper › Research

  Open Access

  File

  • Central Limit Theorem 100%
  • Moment Condition 100%
  • Weaker Condition 20%
  • Fractional Process 20%
  • Partial Sum 20%
  294 Downloads (Pure)

• A Vector Autoregressive Model for Electricity Prices subject to Long Memory and Regime Switching

  Haldrup, N., Nielsen, F. & Nielsen, M. Ø., 2010, In: Energy Economics. 32, 5, p. 1044-1058

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
  56 Citations (Scopus)

• Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

  Andersen, T. G., Bollerslev, T., Frederiksen, P. & Nielsen, M. Ø., Mar 2010, In: Journal of Applied Econometrics. 25, 2, p. 233-261 29 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Volatility 100%
  • Capital Market Returns 100%
  • Continuous Time 100%
  • Finance 33%
  • Asset Pricing 33%
  127 Citations (Scopus)

• Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration

  Nielsen, M. Ø. & Frederiksen, P., 2010, Aarhus: Institut for Økonomi, Aarhus Universitet, 35 p.

  Research output: Working paper/Preprint › Working paper › Research

  Open Access

  File

  • Financial Economics 100%
  • Stationary Case 20%
  153 Downloads (Pure)

• Likelihood inference for a fractionally cointegrated vector autoregressive model

  Johansen, S. & Nielsen, M. Ø., 2010, Aarhus: Institut for Økonomi, Aarhus Universitet, 44 p.

  Research output: Working paper/Preprint › Working paper › Research

  Open Access

  File

  • Autoregressive Model 100%
  • Gaussian Distribution 100%
  • Stochastic Process 33%
  • Conditionals 33%
  • Moment Condition 33%
  219 Downloads (Pure)

• Likelihood inference for a nonstationary fractional autoregressive model

  Johansen, S. & Ørregård Nielsen, M., 2010, In: Journal of Econometrics. 158, 1, p. 51-66 16 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Autoregressive Model 100%
  • Initial Value 100%
  • Probability Theory 25%
  • Stochastic Process 25%
  • Conditionals 25%
  122 Citations (Scopus)

• Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

  Christensen, B. J., Nielsen, M. Ø. & Zhu, J., 2010, In: Journal of Empirical Finance. 17, 3, p. 460-470

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
  45 Citations (Scopus)

• Nonparametric cointegration analysis of fractional systems with unknown integration orders

  Nielsen, M. Ø., Apr 2010, In: Journal of Econometrics. 155, 2, p. 170-187 18 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Cointegration 100%
  • Yield Curve 100%
  • Monte Carlo Simulation 100%
  • Test Statistic 50%
  • Variance 25%
  32 Citations (Scopus)

• Numerical distribution functions of fractional unit root and cointegration tests

  MacKinnon, J. G. & Nielsen, M. Ø., 2010, Aarhus: Institut for Økonomi, Aarhus Universitet, 14 p.

  Research output: Working paper/Preprint › Working paper › Research

  Open Access

  File

  • Unit Root 100%
  • Response Surface 33%
  227 Downloads (Pure)
• 2009

  A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic

  Nielsen, M. Ø., 2009, In: Econometric Theory. 25, p. 1515-1544

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
  16 Citations (Scopus)

• Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots

  Jansson, M. & Nielsen, M. Ø., 2009, Aarhus: Institut for Økonomi, Aarhus Universitet, 17 p.

  Research output: Working paper/Preprint › Working paper › Research

  Open Access

  File

  • Likelihood Ratio Test 100%
  • Likelihood Ratio 100%
  • Unit Root Test 33%
  • Asymptotics 33%
  • Power Function 33%
  206 Downloads (Pure)

• Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis

  Jansson, M. & Nielsen, M. Ø., 2009, Aarhus: Institut for Økonomi, Aarhus Universitet, 16 p.

  Research output: Working paper/Preprint › Working paper › Research

  Open Access

  File

  • Likelihood Ratio 100%
  196 Downloads (Pure)

• Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders

  Nielsen, M. Ø., 2009, Aarhus, 37 p.

  Research output: Working paper/Preprint › Working paper › Research

  Open Access

  File

  • Test Statistic 100%
  • Asymptotic Distribution 100%
  • Cointegration 100%
  • Yield Curve 100%
  • Monte Carlo Simulation 100%
  208 Downloads (Pure)
• 2008

  A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic

  Nielsen, M. Ø., 2008, Aarhus: Institut for Økonomi, Aarhus Universitet, 29 p.

  Research output: Working paper/Preprint › Working paper › Research

  • Unit Root 100%
  • Dickey-Fuller Test 50%

• Asset market perspectives on the Israeli-Palestinian conflict

  Zussman, A., Zussman, N. & Nielsen, M. Ø., Feb 2008, In: Economica. 75, 297, p. 84-115 32 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Palestinian-Israeli Conflict 100%
  • Israel 100%
  • Intifada 50%
  47 Citations (Scopus)

• Bias-reduced estimation of long memory stochastic volatility

  Frederiksen, P. & Nielsen, M. Ø., 2008, Aarhus: Inistitut for Økonomi, Aarhus Universitet, 15 p.

  Research output: Working paper/Preprint › Working paper › Research

  • Stochastic Volatility 100%
  • Polynomial 100%
  • Stochastic Volatility Model 100%
  • Monte Carlo Study 100%
  • Bias Reduction 100%
  10 Citations (Scopus)

• Bias-Reduced estimation of Long-memory Stochastic Volatility

  Frederiksen, P. & Nielsen, M. Ø., 2008, In: Journal of Financial Econometrics. 6, 4, p. 496-512 17 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Parametric 100%
  • Stochastic Volatility 100%
  • Polynomial 100%
  • Stochastic Volatility Model 100%
  • Monte Carlo Study 100%
  10 Citations (Scopus)

• Finite sample accuracy and choice of sampling frequency in integrated volatility estimation

  Nielsen, M. Ø. & Frederiksen, P., Mar 2008, In: Journal of Empirical Finance. 15, 2, p. 265-286 22 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Wavelet 100%
  • Estimation Method 100%
  • Volatility 100%
  • Empirical Illustration 50%
  • Stochastic Volatility 50%
  17 Citations (Scopus)

• Local polynomial Whittle estimation of perturbed fractional processes

  Frederiksen, P., Nielsen, F. & Nielsen, M. Ø., 2008, Aarhus: Institut for Økonomi, Aarhus Universitet, 47 p.

  Research output: Working paper/Preprint › Working paper › Research

  • Polynomial 100%
  • Fractional Process 100%
  • Approximates 25%
  • Monte Carlo Study 25%
  • Spectral Density 25%
• 2007

  Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

  Andersen, T. G., Bollerslev, T., Frederiksen, P. H. & Nielsen, M. Ø., 2007, Aarhus: Institut for Økonomi, Aarhus Universitet, 72 p.

  Research output: Working paper/Preprint › Working paper › Research

  • Volatility 100%
  • Capital Market Returns 100%
  • Continuous Time 100%
  • Test Procedure 50%
  • Finance 33%

• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach

  Nielsen, M. Ø. & Shimotsu, K., Dec 2007, In: Journal of Econometrics. 141, 2, p. 574-596 23 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Exchange Rate 100%
  • Econometrics 50%
  52 Citations (Scopus)

• Estimation of fractional integration in the presence of data noise

  Haldrup, N. & Nielsen, M. Ø., 1 Mar 2007, In: Computational Statistics and Data Analysis. 51, 6, p. 3100-3114 15 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Fractional Integration 100%
  • Structural Change 100%
  • Outlier 100%
  • Persistent Noise 100%
  • Parametric 50%
  44 Citations (Scopus)

• Likelihood inference for a nonstationary fractional autoregressive model

  Johansen, S. & Nielsen, M. Ø., 2007, Aarhus: Institut for Økonomi, Aarhus Universitet, 45 p.

  Research output: Working paper/Preprint › Working paper › Research

  • Initial Value 100%

• Local Whittle analysis of stationary fractional cointegration and the implied-realized volatility relation

  Nielsen, M. Ø., Oct 2007, In: Journal of Business and Economic Statistics. 25, 4, p. 427-446 20 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  • Cointegration 100%
  • Volatility 100%
  • Regressors 75%
  • Least Square 25%
  • Asymptotic Variance 25%
  27 Citations (Scopus)

• The Effect of Long Memory in Volatility on Stock Market Fluctuations

  Christensen, B. J. & Nielsen, M. Ø., 2007, In: Review of Economics and Statistics. 89, 4, p. 684-700 17 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
• 2006

   A regime switching long memory model for electricity prices

  Haldrup, N. & Nielsen, M. Ø., 2006, In: Journal of Econometrics. 135, p. 349-376 27 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  161 Citations (Scopus)

• Asymptotic Normality of Narrow-Band Least Squares in the Stationary Fractional Cointegration Model and Volatility Forecasting

  Christensen, B. J. & Nielsen, M. Ø., 2006, In: Journal of Econometrics. 133, p. 343-371

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  73 Citations (Scopus)

• Comment on P. R. Hansen and A. Lunde: “Realized Variance and Market Microstructure Noise.”

  Andersen, T. G., Bollerslev, T., Frederiksen, P. H. & Nielsen, M. Ø., 2006, In: Journal of Business and Economic Statistics. 24, 2, p. 173-179

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Comment/debate/letter to the editor › Research

• Directional Congestion and regime switching in a long memory model for electricity prices

  Haldrup, N. & Nielsen, M. Ø., 2006, In: Studies in Nonlinear Dynamics and Econometrics (Online). 10, p. 1-24 24 p.

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

  19 Citations (Scopus)