Research output per year
Research output per year
Personal profile
Primary fields of research
- Macro-econometrics, co-integration methods.
- Financial econometrics, volatility models.
- Applied econometric, quantitative methods in general.
- Bootstrap, simulation-based methods.
Teaching
- Applied econometrics.
- Econometrics thheory and methodology.
- Financial econometrics.
CV
Positions:
- 2018- Professor, MSO in Economics and Econometrics University of Copenhagen, Department of Economics
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2005-2018 Associate Professor in Economics and Econometrics University of Copenhagen, Department of Economics
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2003-2005 Assistant Professor, University of Copenhagen, Department of Economics
- 2004 PhD in Economics, University of Copenhagen, Department of Economics
Past and current research projects:
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2011-2013 Econometric Modeling of Instabilities in Financial Time Series
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2013-2016 Developing and implementing new bootstrap methods for the econometric analysis of financial and macroeconomic time series data
- 2017-2021 Theory of the Bootstrap in Econometric Models with Time Varying Volatility
Editorial work:
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2010- Associate Editor, Oxford Bulletin of Economics and Statistics
- Referee for: Journal of Econometrics, Journal of Applied Econometrics, Oxford Bulletin of Economics and Statistics, Journal of Time Series Analysis, Scandinavian Journal of Economics, Cliometrica, Journal of Economic Growth, Journal of Asian Economics, Regional Science and Urban Economics, and Danish Journal of Economics.
Teaching Awards:
- 2004 Department of Economics Teaching Award.
- 2005 The Invisible Hand Award (Teacher of the year award granted by The Society of Social Economics).
- 2009 The Invisible Hand Award (Teacher of the year award granted by The Society of Social Economics).
Keywords
- Faculty of Social Sciences
- econometrics
- empirical analysis
Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Confidence intervals for price discovery
Rahbek, A., Nielsen, H. B. & Paruolo, P., 2026, In: Oxford Bulletin of Economics and Statistics.Research output: Contribution to journal › Journal article › Research › peer-review
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Power of Unit Root Tests Against Nonlinear and Noncausal Alternatives with an Application to the Brent Crude Oil Price
Nielsen, H. B., Bec, F., Guay, A. & Saïdi, S., 2025, In: Studies in Nonlinear Dynamics and Econometrics. 29, 1, p. 1-18 18 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Testing in GARCH-X models: boundary, correlations and bootstrap theory
Nielsen, H. B., Pedersen, R. S., Rahbek, A. & Thorsen, S. N., 2025, In: Journal of Time Series Analysis. 46, 6, p. 1175-1204 30 p.Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile -
Forecast Performance of Noncausal Autoregressions and the Importance of Unit Root Pretesting
Nielsen, H. B. & Bec, F., 2024, In: Journal of Forecasting. 43, 8, p. 3072-3088 17 p.Research output: Contribution to journal › Journal article › Research › peer-review
Open AccessFile -
Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space
Rahbek, A. & Nielsen, H. B., 2024, In: The Econometrics Journal. 27, 1, p. 107-125 19 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models
Cavaliere, G., Nielsen, H. B., Pedersen, R. S. & Rahbek, A., Mar 2022, In: Journal of Econometrics. 227, 1, p. 241-263Research output: Contribution to journal › Journal article › Research › peer-review
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An Introduction to Bootstrap Theory in Time Series Econometrics
Cavaliere, G., Nielsen, H. B. & Rahbek, A., 2021, Oxford Research Encyclopedia of Economics and Finance. Hamilton, J. H., Dixit, A., Edwards, S. & Judd, K. (eds.). Oxford University PressResearch output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review
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Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1
Bec, F., Nielsen, H. B. & Saïdi, S., Dec 2021, In: Oxford Bulletin of Economics and Statistics. 82, 6, p. 1413-1428 16 p.Research output: Contribution to journal › Journal article › Research › peer-review
File
Activities
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Oxford Bulletin of Economics and Statistics (Journal)
Nielsen, H. B. (Editor)
2017Activity: Peer-review and editorial work types › Editor of Research journal › Research
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Journal of Time Series Analysis (Journal)
Nielsen, H. B. (Peer reviewer)
2017Activity: Peer-review and editorial work types › Peer review of manuscripts › Research
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Censor på specialer, CBS
Nielsen, H. B. (Participant)
2016Activity: Presentations, memberships and other activity types › External teaching and subject coordination
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Oxford Bulletin of Economics and Statistics (Journal)
Nielsen, H. B. (Editor)
2016Activity: Peer-review and editorial work types › Editor of Research journal › Research
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Scandinavian Journal of Statistics (Journal)
Nielsen, H. B. (Peer reviewer)
2016Activity: Peer-review and editorial work types › Peer review of manuscripts › Research
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Australian Economic Papers (Journal)
Nielsen, H. B. (Peer reviewer)
Jan 2015Activity: Peer-review and editorial work types › Peer review of manuscripts › Research
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Censor på specialer, CBS
Nielsen, H. B. (Participant)
2015Activity: Presentations, memberships and other activity types › External teaching and subject coordination
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Oxford Bulletin of Economics and Statistics (Journal)
Nielsen, H. B. (Editor)
2015Activity: Peer-review and editorial work types › Editor of Research journal › Research