Morten Ørregaard Nielsen

Economics and Econometrics · Journal of Econometrics · 2004–2022

A researcher in the Science corpus: 20 papers; trusts 101 researchers and is trusted by 48 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 217 citations into it; #2,061 of 23,481 by trust here, #3,225 by citations
• Finance — 197 citations into it; #818 of 10,518 by trust here, #1,192 by citations
• Statistics and Probability — 124 citations into it; #3,058 of 12,932 by trust here, #3,703 by citations
• Artificial Intelligence — 13 citations into it; #20,236 of 35,345 by trust here, #23,731 by citations
• Global and Planetary Change — 11 citations into it
• Management Science and Operations Research — 6 citations into it
• Modeling and Simulation — 6 citations into it

Whom Morten Ørregaard Nielsen trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Peter M. Robinson
2. Carlos Velasco
3. Willa W. Chen
4. J. Breitung
5. Katsumi Shimotsu
6. Bent Jesper Christensen
7. Søren Johansen
8. J. Hualde
9. Torben G. Andersen
10. James G. MacKinnon

Who trusts Morten Ørregaard Nielsen overall

1. Katsumi Shimotsu
2. T. Busch
3. Zhongjun Qu
4. James G. MacKinnon
5. Peter M. Robinson
6. Bent Jesper Christensen
7. Xiaofeng Shao
8. Søren Johansen
9. Tim Bollerslev
10. Roberto Dell'Anno

Papers from Morten Ørregaard Nielsen's perspective

Ordered by how strongly the researchers Morten Ørregaard Nielsen trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Statistics for long-memory processes
3. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
4. LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OF
5. The distribution of realized stock return volatility
6. A BIAS-REDUCED LOG-PERIODOGRAM REGRESSION ESTIMATOR FOR THE LONG-MEMORY PARAMETER
7. Asymptotic properties of a robust variance matrix estimator for panel data when T is large
8. How Much Should We Trust Differences-in-Differences Estimates?
9. Inference on the cointegration rank in fractionally integrated processes
10. Econometric analysis of realized volatility and its use in estimating stochastic volatility models

Their papers

• Cluster-robust inference: A guide to empirical practice (2022) — 281 citations
• Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation (2007) — 50 citations
• The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets (2007) — 340 citations
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (2006) — 131 citations
• Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence (2005) — 48 citations
• Asymptotic theory and wild bootstrap inference with clustered errors (2019) — 116 citations
• Local Polynomial Whittle Estimation of Perturbed Fractional Processes (2008) — 53 citations
• Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (2010) — 293 citations
• Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns (2010) — 236 citations
• Fast and wild: Bootstrap inference in Stata using boottest (2018) — 706 citations
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration (2005) — 83 citations
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (2007) — 93 citations
• Fully modified narrow‐band least squares estimation of weak fractional cointegration (2011) — 67 citations
• Multivariate Lagrange Multiplier Tests for Fractional Integration (2005) — 68 citations
• Local empirical spectral measure of multivariate processes with long range dependence (2004) — 57 citations
• Wild Bootstrap and Asymptotic Inference With Multiway Clustering (2019) — 74 citations
• THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS (2015) — 66 citations
• Nonparametric cointegration analysis of fractional systems with unknown integration orders (2010) — 63 citations
• Likelihood inference for a nonstationary fractional autoregressive model (2010) — 185 citations
• NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS (2010) — 64 citations