C22

Time-Series Models

Local Polynomial Whittle Estimation Of Perturbed Fractional Processes

Author(s)

Frank S. Nielsen

Morten Ø. Nielsen

Per Houmann Frederiksen

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Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis

Author(s)

Michael Jansson

Morten Ø. Nielsen

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Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model

Author(s)

Bent Jesper Christensen

Morten Ø. Nielsen

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Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration

Author(s)

Morten Ø. Nielsen

Per Houmann Frederiksen

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The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps

Author(s)

Bent Jesper Christensen

Morten Ø. Nielsen

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A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic

Author(s)

Morten Ø. Nielsen

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The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets

Author(s)

Bent Jesper Christensen

Morten Ø. Nielsen

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A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis

Author(s)

Morten Ø. Nielsen

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Likelihood Inference For A Nonstationary Fractional Autoregressive Model

Author(s)

Morten Ø. Nielsen

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

Author(s)

Morten Ø. Nielsen

Per Houmann Frederiksen

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