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).
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
Keywords
- Faculty of Social Sciences
- econometrics
- empirical analysis
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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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Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
Cavaliere, G., Nielsen, H. B. & Rahbek, A., 2 Jan 2020, In: Journal of Business and Economic Statistics. 13 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., 2019, (Accepted/In press) In: Journal of Econometrics.Research output: Contribution to journal › Journal article › Research › peer-review
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Estimation bias and bias correction in reduced rank autoregressions
Nielsen, H. B., 16 Mar 2019, In: Econometric Reviews. 38, 3, p. 332-349 18 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., 5 Dec 2018, 36 p. (SSRN: Social Science Research Network ).Research output: Working paper › Research
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On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
Cavaliere, G., Nielsen, H. B. & Rahbek, A., Jul 2017, In: Journal of Time Series Analysis. 38, 4, p. 513–534Research output: Contribution to journal › Journal article › Research › peer-review
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The Co-Integrated Vector Autoregression With Errors-In-Variables
Nielsen, H. B., 7 Feb 2016, In: Econometric Reviews. 35, 2, p. 169-200Research output: Contribution to journal › Journal article › Research › peer-review
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Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models
Cavaliere, G., Nielsen, H. B. & Rahbek, A., 1 Mar 2015, In: Econometrica. 83, 2, p. 813-831Research output: Contribution to journal › Journal article › Research › peer-review
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Unit Root Vector Autoregression with Volatility induced Stationarity
Nielsen, H. B. & Rahbek, A., 1 Dec 2014, In: Journal of Empirical Finance. 29, p. 144-167Research output: Contribution to journal › Journal article › Research › peer-review
Activities
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Journal of Time Series Analysis (Journal)
Heino Bohn Nielsen (Referee)
2017Activity: Publication peer-review and editorial work types › Peer review of manuscripts › Research
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Oxford Bulletin of Economics and Statistics (Journal)
Heino Bohn Nielsen (Editor)
2017Activity: Publication peer-review and editorial work types › Editor of Research journal › Research
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Scandinavian Journal of Statistics (Journal)
Heino Bohn Nielsen (Referee)
2016Activity: Publication peer-review and editorial work types › Peer review of manuscripts › Research
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Oxford Bulletin of Economics and Statistics (Journal)
Heino Bohn Nielsen (Editor)
2016Activity: Publication peer-review and editorial work types › Editor of Research journal › Research
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Censor på specialer, CBS
Heino Bohn Nielsen (Participant)
2016Activity: Other activity types › Other (prizes, external teaching and other activities) - External teaching and subject coordination
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Australian Economic Papers (Journal)
Heino Bohn Nielsen (Referee)
Jan 2015Activity: Publication peer-review and editorial work types › Peer review of manuscripts › Research
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Oxford Bulletin of Economics and Statistics (Journal)
Heino Bohn Nielsen (Referee)
2015Activity: Publication peer-review and editorial work types › Peer review of manuscripts › Research
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Review of Economics and Statistics (Journal)
Heino Bohn Nielsen (Referee)
2015Activity: Publication peer-review and editorial work types › Peer review of manuscripts › Research