Morten Ørregaard Nielsen: Research

Home Curriculum Vitae Research Software Teaching

 

My main research area is time series econometrics with focus on integration, cointegration, long memory, and fractional processes. I have also worked on applications, e.g. to electricity price dynamics, as well as financial econometrics and empirical finance (realized/implied volatility, high-frequency data, efficient markets hypothesis). Recently, I have also worked on cluster-robust inference and bootstrap methods for clustered data.

 

Citations

 

Research Interests

  • Estimation and inference in fractional integration and cointegration models.
  • Semiparametric analysis of long memory processes.
  • Financial econometrics and high frequency data.
  • Unit root and cointegration testing.
  • Cluster-robust inference and bootstrap methods for clustered data.

 

Current Working Papers

 

Articles in Journals

 

Editorials, comments, etc.