Morten Ørregaard Nielsen

Morten Ørregaard Nielsen publication distribution in Economics and Finance in 2026

The chart shows the distribution of publications by all Research.com ranked scientists in the field of Economics and Finance in 2026. The highlighted bar marks where Morten Ørregaard Nielsen sits on this spectrum.

Morten Ørregaard Nielsen D-index placement in Economics and Finance in 2026

The chart shows the D-index (discipline H-index) distribution of Economics and Finance scientists ranked by Research.com in 2026. The highlighted bar marks where Morten Ørregaard Nielsen sits on this spectrum.

Best Publications

• Fast and wild: Bootstrap inference in Stata using boottest:

  David Malin Roodman;James G. MacKinnon;Morten Ørregaard Nielsen;Matthew Webb

  915
  Citations

• The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

  Thomas Busch;Bent Jesper Christensen;Morten Ørregaard Nielsen

  460
  Citations

• Likelihood inference for a fractionally cointegrated vector autoregressive model

  SÃÿren Johansen;Morten ßrregaard Nielsen

  362
  Citations

• A regime switching long memory model for electricity prices

  Niels Haldrup;Morten Ørregaard Nielsen

  338
  Citations

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

  Torben G. Andersen;Tim Bollerslev;Per Houmann Frederiksen;Morten Ørregaard Nielsen

  299
  Citations

• Cluster-robust inference: A guide to empirical practice

  Unknown

  237
  Citations

• Likelihood inference for a nonstationary fractional autoregressive model

  Søren Johansen;Morten Ørregaard Nielsen

  194
  Citations

• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting

  Bent Jesper Christensen;Morten Ørregaard Nielsen

  166
  Citations

• Asset Market Perspectives on the Israeli–Palestinian Conflict

  Asaf Zussman;Noam Zussman;Morten Ørregaard Nielsen

  131
  Citations

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

  Morten Ørregaard Nielsen;Katsumi Shimotsu

  115
  Citations

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

  Bent Jesper Christensen;Morten Nielsen

  111
  Citations

• Efficient inference in multivariate fractionally integrated time series models

  Morten Ørregaard Nielsen

  96
  Citations

• A vector autoregressive model for electricity prices subject to long memory and regime switching

  Niels Haldrup;Frank S. Nielsen;Frank S. Nielsen;Morten Ørregaard Nielsen;Morten Ørregaard Nielsen

  93
  Citations

• Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model

  Bent Jesper Christensen;Morten Ørregaard Nielsen;Jie Zhu

  91
  Citations

• Estimation of fractional integration in the presence of data noise

  Niels Haldrup;Morten Ørregaard Nielsen

  90
  Citations

• Asymptotic theory and wild bootstrap inference with clustered errors

  Antoine A. Djogbenou;James G. MacKinnon;Morten Ørregaard Nielsen

  81
  Citations

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

  Torben G. Andersen;Torben G. Andersen;Torben G. Andersen;Tim Bollerslev;Tim Bollerslev;Per Skaarup Frederiksen;Morten Ørregaard Nielsen

  81
  Citations

• Local empirical spectral measure of multivariate processes with long range dependence

  Morten Ørregaard Nielsen

  80
  Citations

• Spectral analysis of fractionally cointegrated systems

  Morten Ørregaard Nielsen

  77
  Citations

• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration

  Unknown

  73
  Citations