← All authors Morten Ørregaard Nielsen Aarhus University (from arXiv:2512.00566, 2025) · ORCID · OpenAlex
72 papers in scope · 66 published · 12 on the econ.EM arXiv · 7,145 citations · h-index 33 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
James G. MacKinnon Matthew D. Webb Won-Ki Seo Sunny Karim Yannick Guyonvarch Kyungsik Nam Bruce E. Hansen Laurent Davezies Harold D. Chiang Yong Cai Yuya Sasaki Dakyung Seong Vadim Gorin Seojeong Lee Yulong Wang Massimo Franchi Paolo Paruolo Brendan K. Beare Xiaojun Song Anjana Susarla Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (13 of 72)
working paper 2026 · arXiv
working paper 2025 · arXiv
published 2025 · Econometric Reviews · 1 citations · first circulated 2024
working paper 2024 · arXiv
working paper 2024 · arXiv
working paper 2023 · arXiv · 1 citations
published 2023 · The Stata Journal Promoting communications on statistics and Stata · 24 citations · first circulated 2022
published 2023 · Journal of the American Statistical Association · 9 citations · first circulated 2022
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published 2023 · Journal of Applied Econometrics
published 2023 · Journal of Econometrics · 30 citations
working paper 2023 · arXiv · 12 citations · first circulated 2022
published 2023 · Journal of Applied Econometrics · 42 citations
NEARLY EFFICIENT LIKELIHOOD RATIO TESTS OF A UNIT ROOT IN AN AUTOREGRESSIVE MODEL OF ARBITRARY ORDER
published 2022 · Econometric Theory
published 2022 · Econometric Theory
published 2022 · Journal of Econometrics · 314 citations
INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES
published 2022 · Econometric Theory · 9 citations
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
published 2022 · Electronic Journal of Statistics · 4 citations
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
published 2021 · Journal of Business and Economic Statistics · 3 citations
To infinity and beyond: Efficient computation of ARCH( ∞ ) models
published 2020 · Journal of Time Series Analysis · 6 citations
with Antoine L. Noël
Adaptive Inference in Heteroscedastic Fractional Time Series Models
published 2020 · Journal of Business and Economic Statistics · 12 citations
Wild Bootstrap and Asymptotic Inference With Multiway Clustering
published 2019 · Journal of Business and Economic Statistics · 69 citations
Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction
published 2019 · Journal of Time Series Analysis
Asymptotic theory and wild bootstrap inference with clustered errors
published 2019 · Journal of Econometrics · 24 citations
Fast and wild: Bootstrap inference in Stata using boottest
published 2019 · The Stata Journal Promoting communications on statistics and Stata · 899 citations · first circulated 2018
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
published 2018 · Journal of Time Series Analysis · 27 citations
The cointegrated vector autoregressive model with general deterministic terms
published 2017 · Journal of Econometrics · 1 citations · first circulated 2016
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
published 2017 · Journal of Futures Markets · 62 citations · first circulated 2015
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
published 2017 · Journal of Econometrics · 21 citations · first circulated 2016
Testing the CVAR in the Fractional CVAR Model
published 2017 · Journal of Time Series Analysis
with Soeren Johansen
Forecasting Daily Political Opinion Polls Using the Fractionally Cointegrated Vector Auto-Regressive Model
published 2016 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 25 citations
with Sergei S. Shibaev
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
published 2015 · Journal of Empirical Finance · 69 citations
with Sepideh Dolatabadi, Ke Xu
Guest editors’ introduction: Special issue of Journal of Banking and Finance on recent developments in financial econometrics and applications
published 2015 · Journal of Banking & Finance
THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS
published 2015 · Econometric Theory · 68 citations · first circulated 2012
The impact of financial crises on the risk–return tradeoff and the leverage effect
published 2015 · Economic Modelling · 43 citations · first circulated 2012
Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models
published 2014 · Journal of Time Series Analysis · 39 citations · first circulated 2011
A fractionally cointegrated VAR analysis of economic voting and political support
published 2014 · Canadian Journal of Economics/Revue canadienne d économique · 60 citations
with Maggie Jones, Michał Ksawery Popiel
A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets
published 2014 · Journal of Futures Markets · 74 citations
with Sepideh Dolatabadi, Ke Xu
A FAST FRACTIONAL DIFFERENCE ALGORITHM
published 2014 · Journal of Time Series Analysis · 67 citations · first circulated 2013
with Andreas Noack, Andreas Schmidt Jensen
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
published 2012 · Econometrica · 307 citations · first circulated 2010
A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
published 2011 · Econometric Theory · 6 citations · first circulated 2010
Local polynomial Whittle estimation of perturbed fractional processes
published 2011 · Journal of Econometrics · 37 citations · first circulated 2008
with Per Skaarup Frederiksen, Frank S. Nielsen
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
published 2011 · Journal of Time Series Econometrics · 9 citations · first circulated 2009
Fully modified narrow‐band least squares estimation of weak fractional cointegration
published 2011 · Econometrics Journal · 53 citations
with Per Frederiksen
Likelihood inference for a nonstationary fractional autoregressive model
published 2010 · Journal of Econometrics · 171 citations · first circulated 2007
A vector autoregressive model for electricity prices subject to long memory and regime switching
published 2010 · Energy Economics · 22 citations · first circulated 2007
with Niels Haldrup, Frank S. Nielsen
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
published 2010 · Journal of Econometrics · 319 citations · first circulated 2007
Nonparametric cointegration analysis of fractional systems with unknown integration orders
published 2009 · Journal of Econometrics · 10 citations
Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model
published 2009 · Journal of Empirical Finance · 61 citations · first circulated 2007
A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC
published 2009 · Econometric Theory · 23 citations · first circulated 2008
Continuous‐time models, realized volatilities, and testable distributional implications for daily stock returns
published 2009 · Journal of Applied Econometrics · 76 citations · first circulated 2007
Bias-Reduced Estimation of Long-Memory Stochastic Volatility
published 2008 · Journal of Financial Econometrics · 14 citations
with Peder Frederiksen, Per Skaarup Frederiksen
The Effect of Long Memory in Volatility on Stock Market Fluctuations
published 2007 · The Review of Economics and Statistics · 89 citations
Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation
published 2007 · Journal of Business and Economic Statistics · 51 citations · first circulated 2001
Asset Market Perspectives on the Israeli–Palestinian Conflict
published 2007 · Economica · 84 citations · first circulated 2006
with Asaf Zussman, Noam Zussman
Finite sample accuracy and choice of sampling frequency in integrated volatility estimation
published 2007 · Journal of Empirical Finance · 38 citations
with Per Frederiksen
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
published 2006 · Journal of Econometrics · 87 citations
Comment
published 2006 · Journal of Business and Economic Statistics · 10 citations
Estimation of fractional integration in the presence of data noise
published 2006 · Computational Statistics & Data Analysis · 61 citations · first circulated 2003
with Niels Haldrup
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
published 2006 · Studies in Nonlinear Dynamics and Econometrics · 22 citations · first circulated 2005
with Niels Haldrup
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
published 2005 · Econometric Reviews · 71 citations
with Per Frederiksen
A regime switching long memory model for electricity prices
published 2005 · Journal of Econometrics · 32 citations
with Niels Haldrup
Multivariate Lagrange Multiplier Tests for Fractional Integration
published 2005 · Journal of Financial Econometrics · 5 citations
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
published 2005 · Journal of Econometrics · 122 citations
Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
published 2005 · Journal of Time Series Analysis · 2 citations
Noncontemporaneous cointegration and the importance of timing
published 2004 · Economics Letters · 4 citations
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics
published 2004 · Journal of Business and Economic Statistics · 34 citations · first circulated 2002
Efficient inference in multivariate fractionally integrated time series models
published 2004 · Econometrics Journal · 61 citations · first circulated 2002
SEASONALITY IN ECONOMIC MODELS
published 2004 · Macroeconomic Dynamics · 18 citations · first circulated 2001
with Bjarne Brendstrup, Svend Hylleberg, Lars Skipper, Lars Stentoft
Spectral analysis of fractionally cointegrated systems
published 2004 · Economics Letters · 47 citations · first circulated 2002
EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
published 2004 · Econometric Theory · 36 citations · first circulated 2001
Local empirical spectral measure of multivariate processes with long range dependence
published 2003 · Stochastic Processes and their Applications · 51 citations
NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS
published 1996 · Journal of Applied Econometrics · 3097 citations · first circulated 1995
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