Multivariate Lagrange Multiplier Tests for Fractional Integration

By Morten Ørregaard Nielsen. 2005

68 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9ec11d7057d143c4b81c42d758153d01c578fae0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Morten Ørregaard Nielsen
2. Bent Jesper Christensen
3. T. Busch
4. Katsumi Shimotsu
5. Zhongjun Qu
6. Peter M. Robinson
7. Roberto Renò
8. Tim Bollerslev

In Finance

1. Morten Ørregaard Nielsen
2. Bent Jesper Christensen
3. T. Busch
4. Katsumi Shimotsu
5. Peter M. Robinson
6. Zhongjun Qu
7. Roberto Renò
8. Tim Bollerslev

Citations in the corpus

• The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets (2007, methodology): “1See, e.g., Jorion (1995), Xu & Taylor (1995), Covrig & Low (2003), and Pong, Shackleton, Taylor & Xu (2004) on the foreign exchange market, Day & Lewis (1992), Canina & Figlewski (1993), Lamoureux & Lastrapes (1993), Christensen & Prabhala (1998), Fleming (1998), and Blair, Poon & Taylor (2001) on ”