Department of Economics and Business Economics

Morten Ørregaard Nielsen

  1. 2019
  2. Published

    Asymptotic theory and wild bootstrap inference with clustered errors. / Djogbenou, Antoine A.; MacKinnon, James G.; Nielsen, Morten Ørregaard.

    In: Journal of Econometrics, Vol. 212, No. 2, 10.2019, p. 393-412.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. Published

    Nonstationary Cointegration in the Fractionally Cointegrated VAR Model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    In: Journal of Time Series Analysis, Vol. 40, No. 4, 07.2019, p. 519-543.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  4. Published

    Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter-Hudak (1983) : Guest Editors' Introduction. / Nielsen, Morten Ørregaard; Hualde, Javier.

    In: Journal of Time Series Analysis, Vol. 40, No. 4, 07.2019, p. 386-387.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperEditorialResearchpeer-review

  5. Published

    Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors. / Djogbenou, Antoine A.; James G. MacKinnon, James G.; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2019.

    Research output: Working paperResearch

  6. Published

    Fast and wild : Bootstrap inference in Stata using boottest. / Roodman, G David; MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, Matthew D.

    In: Stata Journal, Vol. 19, 2019, p. 4-60.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. 2018
  8. Published

    Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. / Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, Morten Ørregaard; Xu, Ke.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paperResearch

  9. Published

    Fast and Wild: Bootstrap Inference in Stata Using boottest. / MacKinnon, James G.; Nielsen, Morten Ørregaard; Roodman, David; Webb, Matthew D.

    Aarhus : Institut for Økonomi, Aarhus Univeritet, 2018.

    Research output: Working paperResearch

  10. Published

    Testing the CVAR in the Fractional CVAR Model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    In: Journal of Time Series Analysis, Vol. 39, No. 6, 01.11.2018, p. 836-849.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. Published

    Nonstationary cointegration in the fractionally cointegrated VAR model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paperResearch

  12. Published

    Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. / Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, Morten Ørregaard; Xu, Ke.

    In: Journal of Futures Markets, Vol. 38, No. 2, 01.02.2018, p. 219-242.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  13. Published

    Forecasting daily political opinion polls using the fractionally cointegrated vector auto-regressive model. / Nielsen, Morten Ørregaard; Shibaev, Sergei S.

    In: Journal of the Royal Statistical Society. Series A: Statistics in Society, Vol. 181, No. 1, 01.01.2018, p. 3-33.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  14. Published

    The cointegrated vector autoregressive model with general deterministic terms. / Johansen, Søren; Nielsen, Morten Ørregaard.

    In: Journal of Econometrics, Vol. 202, No. 2, 2018, p. 214-229.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  15. 2017
  16. Published

    Testing the CVAR in the fractional CVAR model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  17. Published

    Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form. / Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, Robert.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  18. Published

    Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. / Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A.M. Robert.

    In: Journal of Econometrics, Vol. 198, No. 1, 2017, p. 165-188.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  19. 2016
  20. Published

    Forecasting daily political opinion polls using the fractionally cointegrated VAR model. / Nielsen, Morten Ørregaard; Shibaev, Sergei S.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2016.

    Research output: Working paperResearch

  21. Published

    The cointegrated vector autoregressive model with general deterministic terms. / Johansen, Søren; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2016.

    Research output: Working paperResearch

  22. Published

    A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets. / Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke.

    In: Journal of Empirical Finance, Vol. 38, No. B, 2016, p. 623–639.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  23. Published

    The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models. / Johansen, Søren; Nielsen, Morten Ørregaard.

    In: Econometric Theory, Vol. 32, No. 5, 2016, p. 1095-1139.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  24. 2015
  25. Published

    A fractionally cointegrated VAR analysis of economic voting and political support. / Jones, Maggie E C; Nielsen, Morten Orregaard; Popiel, Michał Ksawery.

    In: Canadian Journal of Economics, Vol. 47, No. 4, 11.2015, p. 1078–1130.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  26. Published

    Improved likelihood ratio tests for cointegration rank in the VAR model. / Boswijk, H. Peter; Jansson, Michael; Nielsen, Morten Ørregaard.

    In: Journal of Econometrics, Vol. 184, No. 1, 2015, p. 97-110.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  27. 2014
  28. Published

    A fast fractional difference algorithm. / Jensen, Andreas Noack; Nielsen, Morten Ørregaard.

    In: Journal of Time Series Analysis, Vol. 35, No. 5, 01.01.2014, p. 428-436.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  29. Published

    Numerical distribution functions of fractional unit root and cointegration tests. / Mackinnon, James G.; Nielsen, Morten Ørregaard.

    In: Journal of Applied Econometrics, Vol. 29, No. 1, 2014, p. 161-171.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  30. 2012
  31. Published

    The role of initial values in nonstationary fractional time series models. / Johansen, Søren; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  32. Published

    Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    In: Econometrica, Vol. 80, No. 6, 01.11.2012, p. 2667-2732.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  33. Published

    Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model. / Boswijk, H. Peter; Jansson, Michael; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  34. Published

    Nearly efficient likelihood ratio tests of the unit root hypothesis. / Jansson, Michael; Nielsen, Morten Ørregaard.

    In: Econometrica, Vol. 80, No. 5, 01.09.2012, p. 2321-2332.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  35. Published

    A necessary moment condition for the fractional functional central limit theorem. / Johansen, Søren; Nielsen, Morten Ørregaard.

    In: Econometric Theory, Vol. 28, No. 3, 01.06.2012, p. 671-679.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  36. Published

    Local polynomial Whittle estimation of perturbed fractional processes. / Frederiksen, Per; Nielsen, Frank S.; Nielsen, Morten Ørregaard.

    In: Journal of Econometrics, Vol. 167, No. 2, 2012, p. 426–447.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  37. Published

    The impact of financial crises on the risk-return tradeoff and the leverage effect. / Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  38. 2011
  39. Published

    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, Morten Ørregaard.

    In: Journal of Econometrics, Vol. 160, No. 1, 2011, p. 48-57.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  40. 2010
  41. Published

    A Vector Autoregressive Model for Electricity Prices subject to Long Memory and Regime Switching. / Haldrup, Niels; Nielsen, Frank; Nielsen, Morten Ørregaard.

    In: Energy Economics, Vol. 32, No. 5, 2010, p. 1044-1058.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  42. Published

    A necessary moment condition for the fractional functional central limit theorem. / Johansen, Søren; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  43. Published

    Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration. / Nielsen, Morten Ørregaard; Frederiksen, Per.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  44. Published

    Likelihood inference for a fractionally cointegrated vector autoregressive model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  45. Published

    Numerical distribution functions of fractional unit root and cointegration tests. / MacKinnon, James G.; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  46. 2009
  47. Published

    A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic. / Nielsen, Morten Ørregaard.

    In: Econometric Theory, Vol. 25, 2009, p. 1515-1544.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  48. Published

    Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots. / Jansson, Michael; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.

    Research output: Working paperResearch

  49. Published

    Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis. / Jansson, Michael; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.

    Research output: Working paperResearch

  50. Published
  51. 2008
  52. Published

    A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic. / Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: Working paperResearch

  53. Published

    Bias-reduced estimation of long memory stochastic volatility. / Frederiksen, Per; Nielsen, Morten Ørregaard.

    Aarhus : Inistitut for Økonomi, Aarhus Universitet, 2008.

    Research output: Working paperResearch

  54. Published

    Local polynomial Whittle estimation of perturbed fractional processes. / Frederiksen, Per; Nielsen, Frank; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: Working paperResearch

  55. 2007
  56. Published

    Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. / Andersen, Torben G.; Bollerslev, Tim; Frederiksen, Per Houmann; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paperResearch

  57. Published

    Likelihood inference for a nonstationary fractional autoregressive model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paperResearch