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Morten Ørregaard Nielsen

Institution: Aarhus Universitet

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://sites.google.com/view/mortennielsen/

First Publication: 2004

Most Recent: 2024

RePEc ID: pni42 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 6.73 1.85 0.00 8.58 93%
Last 10 Years 0.00 11.44 3.87 0.59 15.89 95%
All Time 0.00 32.29 9.92 4.79 47.01 98%

Publication Statistics

Raw Publications 38
Coauthorship-Adjusted Count 32.14

Publications (38)

Year Article Journal Tier Authors
2024 Bootstrap Inference in the Presence of Bias Journal of the American Statistical Association B 4
2023 Cluster-robust inference: A guide to empirical practice Journal of Econometrics A 3
2023 Testing for the appropriate level of clustering in linear regression models Journal of Econometrics A 3
2023 Fast and reliable jackknife and bootstrap methods for cluster‐robust inference Journal of Applied Econometrics B 3
2023 INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES Econometric Theory B 3
2022 Adaptive Inference in Heteroscedastic Fractional Time Series Models Journal of Business & Economic Statistics A 3
2022 Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks Journal of Business & Economic Statistics A 3
2021 Wild Bootstrap and Asymptotic Inference With Multiway Clustering Journal of Business & Economic Statistics A 3
2020 TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS Econometric Theory B 2
2019 Asymptotic theory and wild bootstrap inference with clustered errors Journal of Econometrics A 3
2018 The cointegrated vector autoregressive model with general deterministic terms Journal of Econometrics A 2
2018 Economic significance of commodity return forecasts from the fractionally cointegrated VAR model Journal of Futures Markets C 4
2017 Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form Journal of Econometrics A 3
2016 THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS Econometric Theory B 2
2016 A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets Journal of Empirical Finance C 3
2015 Improved likelihood ratio tests for cointegration rank in the VAR model Journal of Econometrics A 3
2015 Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets Journal of Econometrics A 3
2015 The impact of financial crises on the risk–return tradeoff and the leverage effect Economic Modeling C 3
2015 A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets Journal of Futures Markets C 3
2014 A fractionally cointegrated VAR analysis of economic voting and political support Canadian Journal of Economics C 3
2014 Numerical Distribution Functions of Fractional Unit Root and Cointegration Tests Journal of Applied Econometrics B 2
2012 A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM Econometric Theory B 2
2012 Local polynomial Whittle estimation of perturbed fractional processes Journal of Econometrics A 3
2011 The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets Journal of Econometrics A 3
2010 A vector autoregressive model for electricity prices subject to long memory and regime switching Energy Economics A 3
2010 Likelihood inference for a nonstationary fractional autoregressive model Journal of Econometrics A 2
2010 Nonparametric cointegration analysis of fractional systems with unknown integration orders Journal of Econometrics A 1
2010 Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model Journal of Empirical Finance C 3
2009 A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC Econometric Theory B 1
2008 Asset Market Perspectives on the Israeli–Palestinian Conflict Economica C 3
2008 Finite sample accuracy and choice of sampling frequency in integrated volatility estimation Journal of Empirical Finance C 2
2007 The Effect of Long Memory in Volatility on Stock Market Fluctuations Review of Economics and Statistics A 2
2007 Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach Journal of Econometrics A 2
2006 Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting Journal of Econometrics A 2
2006 A regime switching long memory model for electricity prices Journal of Econometrics A 2
2005 Noncontemporaneous cointegration and the importance of timing Economics Letters C 1
2004 EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS Econometric Theory B 1
2004 Spectral analysis of fractionally cointegrated systems Economics Letters C 1