C22

Time-Series Models

The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models

Author(s)

Morten Ø. Nielsen

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The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect

Author(s)

Bent Jesper Christensen

Morten Ø. Nielsen

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Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model

Author(s)

Morten Ø. Nielsen

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Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models

Author(s)

Morten Ø. Nielsen

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A Necessary Moment Condition For The Fractional Functional Central Limit Theorem

Author(s)

Morten Ø. Nielsen

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Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests

Author(s)

James G. MacKinnon

Morten Ø. Nielsen

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Critical Values For Cointegration Tests

Author(s)

James G. MacKinnon

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Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration

Author(s)

Morten Ø. Nielsen

Per Houmann Frederiksen

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Finite Sample Accuracy Of Integrated Volatility Estimators

Author(s)

Morten Ø. Nielsen

Per Houmann Frederiksen

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Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots

Author(s)

Michael Jansson

Morten Ø. Nielsen

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