Amanote Research
Register
Sign In
Discover open access scientific publications
Search, annotate, share and cite publications
Publications by Morten Ørregaard Nielsen
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
Philosophy of Science
Applied Mathematics
Economics
Econometrics
History
The Impact of Financial Crises on the Risk–return Tradeoff and the Leverage Effect
Economic Modelling
Economics
Econometrics
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
SSRN Electronic Journal
A Necessary Moment Condition for the Fractional Functional Central Limit Theorem
SSRN Electronic Journal
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
Journal of Applied Econometrics
Economics
Econometrics
Social Sciences
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
Econometric Reviews
Economics
Econometrics
Long Memory in Stock Market Volatility and the Volatility-In-Mean Effect: The FIEGARCH-M Model
SSRN Electronic Journal
