Nielsen, Morten Ørregaard
Ørregꜳrd Nielsen, M.
Morten Ørregaard Nielsen
VIAF ID: 307265216 (Personal)
Permalink: http://viaf.org/viaf/307265216
Preferred Forms
- 100 0 _ ‡a Morten Ørregaard Nielsen
- 100 1 _ ‡a Nielsen, Morten Ørregaard
- 100 1 _ ‡a Nielsen, Morten Ørregaard
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4xx's: Alternate Name Forms (13)
5xx's: Related Names (3)
- 510 2 _ ‡a Aarhus Universitet ‡b Center for Research in Econometric Analysis of Time Series ‡4 affi ‡4 https://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
- 510 2 _ ‡a Cornell University ‡4 affi ‡4 https://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
- 510 2 _ ‡a Queen's University ‡4 affi ‡4 https://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
Works
Title | Sources |
---|---|
Directional congestion and regime switching in a long memory model for electricity prices | |
Efficient likelihood inference in nonstationary univariate models | |
Estimation of fractional integration in the presence of data noise | |
Local empirical spectral measure of multivariate processes with long range dependence | |
Noncontemporaneous cointegration and the importance of timing | |
Optimal residual based tests for fractional cointegration and exchange rate dynamics | |
Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high-frequency options data | |
Semiparametric estimation in time series regression with long range dependence | |
Spectral analysis of fractionally cointegrated systems | |
Testing the CVAR in the fractional CVAR model | |
The ¤cointegrated vector autoregressive model with general deterministic terms | |
The ¤effect of long memory in volatility on stock market fluctuations | |
A ¤fast fractional difference algorithm | |
The ¤implied-realized volatility relation with jumps in underlying asset prices | |
The ¤information content of treasury bond options concerning future volatility and price jumps | |
A ¤necessary moment condition for the fractional functional central limit theorem | |
The ¤role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets | |
The ¤role of initial values in nonstationary fractional time series models |