Niels Haldrup

Research output

Research output per year 1994 1994 1997 1998 2000 2003 2004 2005 2006 2007 2008 2010 2011 2014 2015 2016 2017 2019

• 41 Journal article
• 19 Working paper
• 9 Report
• 5 Book chapter
• 3 More
  • 1 Book
  • 1 Article in proceedings
  • 1 Review

Research output per year

Research output per year

Search results

• 2019

  A Parametric Factor Model of the Term Structure of Mortality

  Haldrup, N. & Rosenskjold, C. P. T., Mar 2019, In: Econometrics. 7, 9, p. 1-22 22 p., 7.

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

  Open Access

  • Young Adults 100%
  • Least Square 100%
  • Mortality 100%
  • Factor Model 100%
  • Loading Function 66%
• 2018

  A Parametric Factor Model of the Term Structure of Mortality

  Haldrup, N. & Rosenskjold, C. P. T., 15 Jan 2018, Aarhus: Institut for Økonomi, Aarhus Universitet, 26 p. (CREATES Research Paper; No. 2018-06).

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

  Open Access

  File
  421 Downloads (Pure)
• 2017

  Long memory, fractional integration, and cross sectional aggregation

  Haldrup, N. & Vera-Valdés, E., 2017, In: Journal of Econometrics. 199, 1, p. 1-11 11 p.

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

  Open Access

  File
  266 Downloads (Pure)

• Space-time modeling of electricity spot prices

  Abate, G. D. & Haldrup, N., 2017, In: The Energy Journal. 38, 5, p. 175-196 22 p.

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

  • Price Dynamics 100%
  • Space-Time Modeling 100%
  • Spatial Dependence 100%
  • Price Effect 100%

• Spikes and memory in (Nord Pool) electricity price spot prices

  Proietti, T., Haldrup, N. & Knapik, O., 15 Nov 2017, Aarhus: Institut for Økonomi, Aarhus Universitet, 15 p. (CREATES Research Paper; No. 2017-39).

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

  Open Access

  File
  634 Downloads (Pure)
• 2016

  A generalized exponential time series regression model for electricity prices

  Haldrup, N., Knapik, O. & Proietti, T., 21 Mar 2016, Aarhus: Institut for Økonomi, Aarhus Universitet, 24 p. (CREATES Research Paper; No. 2016-08).

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

  Open Access

  File
  1319 Downloads (Pure)

• Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads

  Ergemen, Y. E., Haldrup, N. & Rodríguez-Caballero, C. V., 2016, In: Energy Economics. 60, November, p. 79-96 18 p.

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

  • Time Series 100%
  • Production Technology 100%
  • Panel Data 50%
  • Marginal Costs 50%
  • Panel Study 25%

• CREATES Annual Report 2015

  Haldrup, N., 2016, Aarhus: Aarhus University, Center for Research in Econometric Analysis of Times Series, CREATES. 118 p.

  Research output: Book/anthology/dissertation/report › Report › Communication

  Open Access

  File
  404 Downloads (Pure)
• 2015

  CREATES Annual Report 2014

  Haldrup, N., 2015, Aarhus: Aarhus University, Center for Research in Econometric Analysis of Times Series, CREATES. 109 p.

  Research output: Book/anthology/dissertation/report › Report › Communication

• Deterministic and stochastic trends in the Lee-Carter mortality model

  Callot, L., Haldrup, N. & Kallestrup-Lamb, M., 2015, In: Applied Economics Letters. 23, 7, p. 486-493 9 p.

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

  • Stochastics 100%
  • Time Series 100%
  • Factor Model 50%
  • Linear Trend 40%
  • Random Walk 20%

• Long Memory, Fractional Integration, and Cross-Sectional Aggregation

  Haldrup, N. & Vera-Valdés, E., 14 Dec 2015, Aarhus: Institut for Økonomi, Aarhus Universitet, 20 p. (CREATES Research Paper; No. 2015-59).

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

  Open Access

  File
  1071 Downloads (Pure)

• Space-time modeling of electricity spot prices

  Abate, G. D. & Haldrup, N., 8 May 2015, Aarhus: Institut for Økonomi, Aarhus Universitet, 21 p. (CREATES Research Paper; No. 2015-22).

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

  File
  722 Downloads (Pure)
• 2014

  CREATES Annual Report 2013

  Haldrup, N., 2014, Aarhus: Aarhus University, Center for Research in Econometric Analysis of Times Series, CREATES. 103 p.

  Research output: Book/anthology/dissertation/report › Report › Communication

• Deterministic and stochastic trends in the Lee-Carter mortality model

  Callot, L., Haldrup, N. & Kallestrup-Lamb, M., 20 Nov 2014, Aarhus: Institut for Økonomi, Aarhus Universitet, 14 p. (CREATES Research Paper; No. 2014-44).

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

  File

  • Factor Model 100%
  • Time Series 100%
  • Stochastics 100%
  • Linear Trend 33%
  • Random Walk 16%
  928 Downloads (Pure)

• Discriminating between fractional integration and spurious long memory

  Haldrup, N. & Kruse, R., 30 Jun 2014, Aarhus: Institut for Økonomi, Aarhus Universitet, 42 p. (CREATES Research Paper; No. 2014-19).

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

  File

  • Nonlinear 100%
  • Fractional Integration 100%
  • Testing Procedure 100%
  • Time Series 100%
  • Time Series Data 50%
  235 Downloads (Pure)

• Essays on Non-linear Time Series Econometrics

  Haldrup, N., Meitz, M. & Saikkonen, P., 2014, Oxford: Oxford University Press. 450 p.

  Research output: Book/anthology/dissertation/report › Book › Research › peer-review
• 2013

  CREATES Annual Report 2012

  Haldrup, N., 2013, Aarhus: Aarhus University, Center for Research in Econometric Analysis of Times Series, CREATES. 91 p.

  Research output: Book/anthology/dissertation/report › Report › Communication

• Unit Roots, Non-linearities, and Structural Breaks

  Haldrup, N., Kruse, R., Teräsvirta, T. & Varneskov, R. T., 2013, Handbook of Research Methods and Applications in Empirical Macroeconomics. Hashimzade, N. & Thornton, M. A. (eds.). Cheltenham: Edward Elgar Publishing, p. 61-94 34 p. (Handbook of Research Methods and Applications series).

  Research output: Contribution to book/anthology/report/proceeding › Book chapter › Research › peer-review

• 2012

  CREATES Annual Report 2011

  Haldrup, N., 2012, Aarhus: Institut for Økonomi, Aarhus Universitet.

  Research output: Book/anthology/dissertation/report › Report › Communication

• Unit roots, nonlinearities and structural breaks

  Haldrup, N., Kruse, R., Teräsvirta, T. & Varneskov, R. T., 24 Apr 2012, Aarhus: Institut for Økonomi, Aarhus Universitet, 34 p.

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

  File
  2844 Downloads (Pure)
• 2011

  CREATES Annual Report 2010

  Haldrup, N., 2011

  Research output: Book/anthology/dissertation/report › Report › Communication

• Detection of Additive Outliers in Seasonal Time Series

  Haldrup, N., Montanés, A. & Sansó, A., 2011, In: Journal of Time Series Econometrics. 3, 2, Article 2

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

• Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction

  Bollerslev, T., Christensen, B. J., Haldrup, N. & Lunde, A., 2011, In: Journal of Time Series Econometrics. 3, 1, Article 1

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
• 2010

  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

• CREATES Annual Report 2009

  Haldrup, N., 2010

  Research output: Book/anthology/dissertation/report › Report › Communication

• Separation in Cointegrated Systems

  Haldrup, N., 2010, In: Journal of Financial Econometrics. 8, 2, p. 177-180

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
• 2009

  CREATES Annual Report 2008

  Haldrup, N., 2009

  Research output: Book/anthology/dissertation/report › Report › Communication

• Detection of additive outliers in seasonal time series

  Haldrup, N., Montañés, A. & Sansó, A., 2009, Aarhus: Institut for Økonomi, Aarhus Universitet, 18 p.

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

  Open Access

  File

  • Rodriguez 100%
  • Detection Procedure 50%
  • Outlier Detection 50%
  • Sampled Data 50%
  • Heteroscedasticity 50%
  447 Downloads (Pure)
• 2008

  A note on the Vogelsang test for additive outliers

  Haldrup, N. & Sanso, A., 2008, In: Statistics & Probability Letters. 78, p. 296-306 10 p.

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

• CREATES Annual Report 2007

  Haldrup, N., 2008

  Research output: Book/anthology/dissertation/report › Report › Communication

• Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market for Salmon

  Haldrup, N., Møllgaard, P. & Nielsen, C. K., 2008, In: Journal of Competition Law & Economics. 4, 3, p. 893-913

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
• 2007

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

  Haldrup, N., Nielsen, F. & Nielsen, M. Ø., 2007, 20 p.

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

  • Price Process 100%
  • Autoregressive Model 100%
  • Regime Switching 100%
  • Bivariate 50%
  • Fractional Integration 50%

• Common Periodic Correlation Features and the Interaction of Stock and Flows in Daily Airport Data

  Haldrup, N., Hylleberg, S., Pons, G. & Sansó, A., 2007, In: Journal of Business and Economic Statistics. 25, 1, p. 21-32 12 p.

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

• 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%
  43 Citations (Scopus)
• 2006

  A Gaussian IV estimator of cointegrating relations

  Bårdsen, G. & Haldrup, N., 2006, 19 p.

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

  • Regressors 100%
  • Endogeneity Problem 100%

• A Note on the Vogelsang Test for Additive Outliers

  Haldrup, N. & Sansó, A., 2006, Aarhus: Institut for Økonomi, Aarhus Universitet, 7 p.

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

  • Outlier Detection 100%
  • Testing Procedure 100%
  • Rodriguez 100%
  • Iterative Procedure 100%

•  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

• 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

• Improving power and size in unit root testing

  Haldrup, N. & Jansson, M., 2006, Palgrave Handbooks of Econometrics: Econometric Theory. New York: Palgrave Macmillan, Vol. 1. p. 252-277 26 p.

  Research output: Contribution to book/anthology/report/proceeding › Book chapter › Research

• 2005

  Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices

  Haldrup, N. & Nielsen, M. Ø., 2005, Aarhus: Institut for Økonomi, Aarhus Universitet, 23 p.

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

  • Nord Pool 100%
  • Directional 100%
  • Electricity Price 100%
  • Power Exchange 100%
  • Grid Point 100%

• Improving Size and Power in Unit Root Testing

  Haldrup , N. & Jansson, M., 2005, Aarhus: Institut for Økonomi, Aarhus Universitet, 31 p.

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

  • Optimality 100%
  • Unit Root 100%
  • Past Decade 33%

• Local Power Functions of Tests for Double Unit Roots

  Haldrup, N. & Lildholt, P., 2005, In: Statistica Neerlandica. 59, 2, p. 151-179 28 p.

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

• Measurement Errors and Outliers in Seasonal Unit Root Testing

  Haldrup, N., Montanes, A. & Sanso, A., 2005, In: Journal of Econometrics. 127, p. 103-128 25 p.

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

• Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market for Salmon

  Haldrup, N. & Peter, M., 2005, Aarhus: Institut for Økonomi, Aarhus Universitet, 23 p.

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

  • Salmonine 100%
  • Market Definition 100%
• 2004

  A Regime Switching Long Memory Model for Electricity Prices

  Haldrup, N. & Nielsen, M. Ø., 2004, Afdeling for Nationaløkonomi, Institut for Økonomi, Aarhus Universitet.

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

• Estimation af middellevetider for mænd og kvinder i Danmark 2002-2100 baseret på Lee-Carter metoden

  Haldrup, N., 2004, Velfærdskommissionen.

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

• Long-run forecasting in multi-cointegrated systems

  Siliverstovs, B., Haldrup, N. & Engsted, T., 2004, In: Journal of Forecasting. 23, p. 315-335

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

• Nobel-prisen i Økonomi 2003, Tidsserieøkonometri: Cointegration og ARCH, Clive W.J. Granger og Robert F. Engle

  Christiansen, C. & Haldrup, N., 2004, In: Finans/Invest. 4, 2, p. 23-27 5 p.

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

• Testing for Additive Outliers in Seasonally Integrated Time Series

  Haldrup, N., Montanes, A. & Sanso, A., 2004, Afdeling for Nationaløkonomi, Institut for Økonomi, Aarhus Universitet.

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

• 2003

  Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis

  Haldrup, N., 2003, The internal market and the relevant geographical market. Bruxelles: Enterprise DG

  Research output: Contribution to book/anthology/report/proceeding › Book chapter › Research