Concepedia
Statistics
Publications
59
Citations
4.3K
H-Index
34
Active since
2001
Affiliations
Aarhus University(Current)
Queen's University
Cornell University
Carleton University
University of Copenhagen
Morten Ørregaard Nielsen is an author at Aarhus University specializing in econometrics, economics, and time series analysis.
Publications per year
2001–2023
58
Fast and wild: Bootstrap inference in Stata using boottest
David Roodman, Morten Ørregaard Nielsen, James G. MacKinnon et al. · The Stata Journal Promoting communications on statistics and Stata · 2019 · 884 citations · Full text
Public Health, Biostatistics, Formal Methods +12
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Thomas Busch, Bent Jesper Christensen, Morten Ørregaard Nielsen · Journal of Econometrics · 2010 · 318 citations
Business, Economics, Finance +17
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
Søren Johansen, Morten Ørregaard Nielsen · Econometrica · 2012 · 305 citations
Natural Sciences, Mathematics, Econometrics +16
Cluster-robust inference: A guide to empirical practice
James G. MacKinnon, Morten Ørregaard Nielsen, Matthew D. Webb · Journal of Econometrics · 2022 · 302 citations · Full text
Social Sciences, Economics, Econometrics +16
Likelihood inference for a nonstationary fractional autoregressive model
Søren Johansen, Morten Ørregaard Nielsen · Journal of Econometrics · 2010 · 171 citations
Natural Sciences, Mathematics, Stochastic Modeling +15
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