Concepedia

Morten Ørregaard Nielsen

MØ

60

Publications

4.1K

Citations

34

H-Index

2001

Active since

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 business, statistics, and engineering.

Top concepts

BusinessStatisticsEngineeringEconomicsFinanceEconometricsStatistical InferenceAsset PricingVolatility ModelingEstimation Theory

Publications per year

2001–2023

59

Publications

60

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 · 837 citations · Full text

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 · 313 citations

Economics, Volatility Modeling, Financial Economics +10

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

Søren Johansen, Morten Ørregaard Nielsen · Econometrica · 2012 · 299 citations

Cluster-robust inference: A guide to empirical practice

James G. MacKinnon, Morten Ørregaard Nielsen, Matthew D. Webb · Journal of Econometrics · 2022 · 249 citations · Full text

Engineering, Unsupervised Machine Learning, Data Science +16

Likelihood inference for a nonstationary fractional autoregressive model

Søren Johansen, Morten Ørregaard Nielsen · Journal of Econometrics · 2010 · 167 citations

Econometrics, Statistical Inference, Fractional Stochastics +4

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