Morten Ørregaard Nielsen

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