Fast and wild: Bootstrap inference in Stata using boottest D Roodman, MØ Nielsen, JG MacKinnon, MD Webb The Stata Journal 19 (1), 4-60, 2019 | 887 | 2019 |
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets T Busch, BJ Christensen, MØ Nielsen Journal of Econometrics 160 (1), 48-57, 2011 | 406 | 2011 |
Likelihood inference for a fractionally cointegrated vector autoregressive model S Johansen, MØ Nielsen Econometrica 80 (6), 2667-2732, 2012 | 349 | 2012 |
A regime switching long memory model for electricity prices N Haldrup, MØ Nielsen Journal of econometrics 135 (1-2), 349-376, 2006 | 333 | 2006 |
Continuous‐time models, realized volatilities, and testable distributional implications for daily stock returns TG Andersen, T Bollerslev, P Frederiksen, M Ørregaard Nielsen Journal of Applied Econometrics 25 (2), 233-261, 2010 | 295 | 2010 |
Likelihood inference for a nonstationary fractional autoregressive model S Johansen, MØ Nielsen Journal of Econometrics 158 (1), 51-66, 2010 | 199 | 2010 |
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting BJ Christensen, MØ Nielsen Journal of Econometrics 133 (1), 343-371, 2006 | 187* | 2006 |
Cluster-robust inference: A guide to empirical practice JG MacKinnon, MØ Nielsen, MD Webb Journal of Econometrics 232 (2), 272-299, 2023 | 166 | 2023 |
The effect of long memory in volatility on stock market fluctuations BJ Christensen, MØ Nielsen The Review of Economics and Statistics 89 (4), 684-700, 2007 | 117 | 2007 |
Asymptotic theory and wild bootstrap inference with clustered errors AA Djogbenou, JG MacKinnon, MØ Nielsen Journal of Econometrics 212 (2), 393-412, 2019 | 116 | 2019 |
Asset market perspectives on the Israeli–Palestinian conflict A Zussman, N Zussman, MØ Nielsen Economica 75 (297), 84-115, 2008 | 115 | 2008 |
A Matlab program and user’s guide for the fractionally cointegrated VAR model M ßrregaard Nielsen, MÅC Ksawery Popiel | 110* | 2018 |
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach MØ Nielsen, K Shimotsu Journal of Econometrics 141 (2), 574-596, 2007 | 105 | 2007 |
The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models S Johansen, MØ Nielsen Econometric Theory 32 (5), 1095-1139, 2016 | 101* | 2016 |
A vector autoregressive model for electricity prices subject to long memory and regime switching N Haldrup, FS Nielsen, MØ Nielsen Energy Economics 32 (5), 1044-1058, 2010 | 96 | 2010 |
Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration MØ Nielsen, PH Frederiksen Econometric Reviews 24 (4), 405-443, 2005 | 96 | 2005 |
A fast fractional difference algorithm AN Jensen, MØ Nielsen Journal of Time Series Analysis 35 (5), 428-436, 2014 | 89 | 2014 |
Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model BJ Christensen, MØ Nielsen, J Zhu Journal of Empirical Finance 17 (3), 460-470, 2010 | 87 | 2010 |
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets S Dolatabadi, MØ Nielsen, K Xu Journal of Futures Markets 35 (4), 339-356, 2015 | 79 | 2015 |
Wild bootstrap and asymptotic inference with multiway clustering JG MacKinnon, MØ Nielsen, MD Webb Journal of Business & Economic Statistics 39 (2), 505-519, 2021 | 76* | 2021 |