Anders Rahbek
Personal Details
First Name: | Anders |
Middle Name: | |
Last Name: | Rahbek |
Suffix: | |
RePEc Short-ID: | pra434 |
[This author has chosen not to make the email address public] | |
http://www.econ.ku.dk/rahbek/ | |
Department of Economics University of Copenhagen Øster Farimagsgade 5, building 26 DK-1353 Copenhagen K Denmark | |
+4535324031 | |
Terminal Degree: | 1996 Økonomisk Institut; Københavns Universitet (from RePEc Genealogy) |
Affiliation
(90%) Økonomisk Institut
Københavns Universitet
København, Denmarkhttp://www.econ.ku.dk/
RePEc:edi:okokudk (more details at EDIRC)
(10%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Aarhus, Denmarkhttp://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard, 2021.
"Bootstrap Inference for Hawkes and General Point Processes,"
Papers
2104.03122, arXiv.org, revised Sep 2021.
- Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023. "Bootstrap inference for Hawkes and general point processes," Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
- Cavaliere, Giuseppe & Lu,Ye & Rahbek, Anders & Staerk-Ostergaard, J, 2021. "Bootstrap Inference For Hawkes And General Point Processes," Working Papers 2021-05, University of Sydney, School of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob Stærk-Østergaard, 2021. "Bootstrap inference for Hawkes and general point processes," Discussion Papers 21-05, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek, 2021.
"Specification tests for GARCH processes,"
Papers
2105.14081, arXiv.org.
- Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek, 2021. "Specification tests for GARCH processes," Discussion Papers 21-06, University of Copenhagen. Department of Economics.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & Iliyan Georgiev, 2021.
"Bootstrapping Non-Stationary Stochastic Volatility,"
Papers
2101.03562, arXiv.org.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021. "Bootstrapping non-stationary stochastic volatility," Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
- Peter Boswijk & Giuseppe Cavaliere & Iliyan Georgiev & Anders Rahbek, 2019. "Bootstrapping Non-Stationary Stochastic Volatility," Tinbergen Institute Discussion Papers 19-083/III, Tinbergen Institute.
- Giuseppe Cavaliere & Zeng-Hua Lu & Anders Rahbek & Yuhong Yang, 2021. "MinP Score Tests with an Inequality Constrained Parameter Space," Papers 2107.06089, arXiv.org.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2020. "An Introduction To Bootstrap Theory In Time Series Econometrics," Discussion Papers 20-02, University of Copenhagen. Department of Economics.
- Roman Frydman & Soren Johansen & Anders Rahbek & Morten Tabor, 2019. "The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes," Working Papers Series 92, Institute for New Economic Thinking.
- Simon Hetland & Rasmus Søndergaard Pedersen & Anders Rahbek, 2019. "Dynamic Conditional Eigenvalue GARCH," Discussion Papers 19-13, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
- Roman Frydman & Soeren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2019. "The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes," Discussion Papers 19-02, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018.
"Bootstrap Inference On The Boundary Of The Parameter Space With Application To Conditional Volatility Models,"
Discussion Papers
18-10, University of Copenhagen. Department of Economics.
- Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
- Roman Frydman & Søren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2017.
"The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment,"
CREATES Research Papers
2017-23, Department of Economics and Business Economics, Aarhus University.
- Roman Frydman & Soren Johansen & Anders Rahbek & Morten Tabor, 2017. "The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment," Working Papers Series 59, Institute for New Economic Thinking.
- Roman Frydman & Soeren Johansen & Anders Rahbek & Morten Nyboe, 2017. "The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations Of Market Forecasts, And Sentiment," Discussion Papers 17-10, University of Copenhagen. Department of Economics.
- Rasmus Soendergaard Pedersen & Anders Rahbek, 2017.
"Testing Garch-X Type Models,"
Discussion Papers
17-15, University of Copenhagen. Department of Economics.
- Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019. "Testing Garch-X Type Models," Econometric Theory, Cambridge University Press, vol. 35(5), pages 1012-1047, October.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016.
"On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space,"
Quaderni di Dipartimento
6, Department of Statistics, University of Bologna.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2017. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 513-534, July.
- Cavaliere, G & De Angelis, L & Rahbek, A & Taylor, AMR, 2016.
"Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order,"
Essex Finance Centre Working Papers
17454, University of Essex, Essex Business School.
- Cavaliere, Giuseppe & De Angelis, Luca & Rahbek, Anders & Robert Taylor, A.M., 2018. "Determining The Cointegration Rank In Heteroskedastic Var Models Of Unknown Order," Econometric Theory, Cambridge University Press, vol. 34(2), pages 349-382, April.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2015.
"Nonstationary ARCH and GARCH with t-Distributed Innovations,"
Discussion Papers
15-07, University of Copenhagen. Department of Economics.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2015. "Nonstationary ARCH and GARCH with t-distributed Innovations," CREATES Research Papers 2015-27, Department of Economics and Business Economics, Aarhus University.
- Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015.
"Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX),"
CREATES Research Papers
2015-11, Department of Economics and Business Economics, Aarhus University.
- Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013.
"Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions,"
Discussion Papers
13-13, University of Copenhagen. Department of Economics.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A.M.Robert Taylor, 2013.
"A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models,"
Quaderni di Dipartimento
4, Department of Statistics, University of Bologna.
- Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A. M. Robert Taylor, 2015. "A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(1), pages 106-128, February.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2012.
"Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models,"
Discussion Papers
12-11, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2014. "Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 606-650, August.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2012. "Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models," CREATES Research Papers 2012-36, Department of Economics and Business Economics, Aarhus University.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2012.
"Multivariate Variance Targeting in the BEKK-GARCH Model,"
CREATES Research Papers
2012-53, Department of Economics and Business Economics, Aarhus University.
- Rasmus S. Pedersen & Anders Rahbek, 2014. "Multivariate variance targeting in the BEKK–GARCH model," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 24-55, February.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," Discussion Papers 12-23, University of Copenhagen. Department of Economics.
- Anders Rahbek & Heino Bohn Nielsen, 2012.
"Unit Root Vector Autoregression with volatility Induced Stationarity,"
CREATES Research Papers
2012-29, Department of Economics and Business Economics, Aarhus University.
- Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit root vector autoregression with volatility induced stationarity," Discussion Papers 12-02, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Anders Rahbek & Taylor A.M.Robert, 2011. "Bootstrap determination of the co-integration rank in VAR models," Quaderni di Dipartimento 9, Department of Statistics, University of Bologna.
- Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2010.
"Bootstrap Sequential Determination of the Co-integration Rank in VAR Models,"
CREATES Research Papers
2010-07, Department of Economics and Business Economics, Aarhus University.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," Discussion Papers 10-07, University of Copenhagen. Department of Economics.
- Dennis Kristensen & Anders Rahbek, 2010.
"Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models,"
Discussion Papers
10-25, University of Copenhagen. Department of Economics.
- Kristensen, Dennis & Rahbek, Anders, 2013. "Testing And Inference In Nonlinear Cointegrating Vector Error Correction Models," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1238-1288, December.
- Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," CREATES Research Papers 2010-68, Department of Economics and Business Economics, Aarhus University.
- Takamitsu Kurita & Heino Bohn Nielsen & Anders Rahbek, 2009.
"An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application,"
CREATES Research Papers
2009-28, Department of Economics and Business Economics, Aarhus University.
- Takamitsu Kurita & Heino Bohn Nielsen & Anders Rahbek, 2009. "An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application," Discussion Papers 09-13, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2009. "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers 09/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009.
"Co-integration Rank Testing under Conditional Heteroskedasticity,"
CREATES Research Papers
2009-22, Department of Economics and Business Economics, Aarhus University.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(6), pages 1719-1760, December.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008.
"Poisson Autoregression,"
Discussion Papers
08-35, University of Copenhagen. Department of Economics, revised Dec 2008.
- Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009. "Poisson Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2009. "Poisson Autoregression," CREATES Research Papers 2009-12, Department of Economics and Business Economics, Aarhus University.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
"The ACR model: a multivariate dynamic mixture autoregression,"
THEMA Working Papers
2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2007.
"Testing for co-integration in vector autoregressions with non-stationary volatility,"
Discussion Papers
07/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," Discussion Papers 08-34, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, Department of Economics and Business Economics, Aarhus University.
- Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, Department of Economics and Business Economics, Aarhus University.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2005. "The Autoregressive Conditional Root (ACR) Model," Working Papers 2005-26, Center for Research in Economics and Statistics.
- Heino Bohn Nielsen & Anders Rahbek, 2003. "Likelihood Ratio Testing for Cointegration Ranks in I(2) Models," Discussion Papers 03-42, University of Copenhagen. Department of Economics.
- Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002.
- Clara Jørgensen & Hans Christian Kongsted & Anders Rahbek, 1996.
"Trend-Stationarity in the I(2) Cointegration Model,"
Discussion Papers
96-12, University of Copenhagen. Department of Economics.
- Rahbek, Anders & Christian Kongsted, Hans & Jorgensen, Clara, 1999. "Trend stationarity in the I(2) cointegration model," Journal of Econometrics, Elsevier, vol. 90(2), pages 265-289, June.
Articles
- Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021.
"Bootstrapping non-stationary stochastic volatility,"
Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
- Peter Boswijk & Giuseppe Cavaliere & Iliyan Georgiev & Anders Rahbek, 2019. "Bootstrapping Non-Stationary Stochastic Volatility," Tinbergen Institute Discussion Papers 19-083/III, Tinbergen Institute.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & Iliyan Georgiev, 2021. "Bootstrapping Non-Stationary Stochastic Volatility," Papers 2101.03562, arXiv.org.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2020. "Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 55-67, January.
- Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019.
"Testing Garch-X Type Models,"
Econometric Theory, Cambridge University Press, vol. 35(5), pages 1012-1047, October.
- Rasmus Soendergaard Pedersen & Anders Rahbek, 2017. "Testing Garch-X Type Models," Discussion Papers 17-15, University of Copenhagen. Department of Economics.
- Cavaliere, Giuseppe & De Angelis, Luca & Rahbek, Anders & Robert Taylor, A.M., 2018.
"Determining The Cointegration Rank In Heteroskedastic Var Models Of Unknown Order,"
Econometric Theory, Cambridge University Press, vol. 34(2), pages 349-382, April.
- Cavaliere, G & De Angelis, L & Rahbek, A & Taylor, AMR, 2016. "Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order," Essex Finance Centre Working Papers 17454, University of Essex, Essex Business School.
- Giuseppe Cavaliere & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "The Fixed Volatility Bootstrap for a Class of Arch(q) Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 920-941, November.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2017.
"On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 513-534, July.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2016. "On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space," Quaderni di Dipartimento 6, Department of Statistics, University of Bologna.
- Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016. "Nonstationary GARCH with t-distributed innovations," Economics Letters, Elsevier, vol. 138(C), pages 19-21.
- Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016.
"Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX),"
Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
- Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," CREATES Research Papers 2015-11, Department of Economics and Business Economics, Aarhus University.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016.
"Inference on co-integration parameters in heteroskedastic vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- Giuseppe Cavaliere & Heino Bohn Nielsen & Anders Rahbek, 2015. "Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models," Econometrica, Econometric Society, vol. 83, pages 813-831, March.
- Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A. M. Robert Taylor, 2015.
"A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(1), pages 106-128, February.
- Giuseppe Cavaliere & Luca De Angelis & Anders Rahbek & A.M.Robert Taylor, 2013. "A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models," Quaderni di Dipartimento 4, Department of Statistics, University of Bologna.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Michael Wolf & Dan Wunderli, 2015.
"Recent developments in bootstrap methods for dependent data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 352-376, May.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Paul Doukhan & Gabriel Lang & Anne Leucht & Michael H. Neumann, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 290-314, May.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2014.
"Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models,"
Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 606-650, August.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2012. "Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models," Discussion Papers 12-11, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2012. "Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models," CREATES Research Papers 2012-36, Department of Economics and Business Economics, Aarhus University.
- Rasmus S. Pedersen & Anders Rahbek, 2014.
"Multivariate variance targeting in the BEKK–GARCH model,"
Econometrics Journal, Royal Economic Society, vol. 17(1), pages 24-55, February.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," CREATES Research Papers 2012-53, Department of Economics and Business Economics, Aarhus University.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," Discussion Papers 12-23, University of Copenhagen. Department of Economics.
- Nielsen, Heino Bohn & Rahbek, Anders, 2014.
"Unit root vector autoregression with volatility induced stationarity,"
Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit Root Vector Autoregression with volatility Induced Stationarity," CREATES Research Papers 2012-29, Department of Economics and Business Economics, Aarhus University.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit root vector autoregression with volatility induced stationarity," Discussion Papers 12-02, University of Copenhagen. Department of Economics.
- Kristensen, Dennis & Rahbek, Anders, 2013.
"Testing And Inference In Nonlinear Cointegrating Vector Error Correction Models,"
Econometric Theory, Cambridge University Press, vol. 29(6), pages 1238-1288, December.
- Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," CREATES Research Papers 2010-68, Department of Economics and Business Economics, Aarhus University.
- Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," Discussion Papers 10-25, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2012. "Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models," Econometrica, Econometric Society, vol. 80(4), pages 1721-1740, July.
- Theis Lange & Anders Rahbek & Søren Tolver Jensen, 2011. "Estimation and Asymptotic Inference in the AR-ARCH Model," Econometric Reviews, Taylor & Francis Journals, vol. 30(2), pages 129-153.
- Takamitsu Kurita & Heino Bohn Nielsen & Anders Rahbek, 2011. "An I(2) cointegration model with piecewise linear trends," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 131-155, July.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010.
"Cointegration Rank Testing Under Conditional Heteroskedasticity,"
Econometric Theory, Cambridge University Press, vol. 26(6), pages 1719-1760, December.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009. "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers 2009-22, Department of Economics and Business Economics, Aarhus University.
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010.
"Testing for co-integration in vector autoregressions with non-stationary volatility,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," Discussion Papers 08-34, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, Department of Economics and Business Economics, Aarhus University.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2007. "Testing for co-integration in vector autoregressions with non-stationary volatility," Discussion Papers 07/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
- Kristensen Dennis & Rahbek Anders, 2009. "Asymptotics of the QMLE for Non-Linear ARCH Models," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-38, April.
- Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009.
"Poisson Autoregression,"
Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008. "Poisson Autoregression," Discussion Papers 08-35, University of Copenhagen. Department of Economics, revised Dec 2008.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2009. "Poisson Autoregression," CREATES Research Papers 2009-12, Department of Economics and Business Economics, Aarhus University.
- Frédérique Bec & Anders Rahbek & Mélika Ben Salem, 2008.
"Purchasing power parity: A nonlinear multivariate perspective,"
Economics Bulletin, AccessEcon, vol. 6(39), pages 1-6.
- Frédérique Bec & Mélika Ben & Salem Anders Rahbek, 2008. "Purchasing power parity: A nonlinear multivariate perspective," Post-Print hal-04176294, HAL.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
"The ACR Model: A Multivariate Dynamic Mixture Autoregression,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR model: a multivariate dynamic mixture autoregression," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Jensen, Søren Tolver & Rahbek, Anders, 2007. "On The Law Of Large Numbers For (Geometrically) Ergodic Markov Chains," Econometric Theory, Cambridge University Press, vol. 23(4), pages 761-766, August.
- Nielsen, Heino Bohn & Rahbek, Anders, 2007. "The Likelihood Ratio Test For Cointegration Ranks In The I(2) Model," Econometric Theory, Cambridge University Press, vol. 23(4), pages 615-637, August.
- Kristensen, Dennis & Rahbek, Anders, 2005. "ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS," Econometric Theory, Cambridge University Press, vol. 21(5), pages 946-961, October.
- Frédérique Bec & Anders Rahbek, 2004. "Vector equilibrium correction models with non-linear discontinuous adjustments," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 628-651, December.
- Søren Tolver Jensen & Anders Rahbek, 2004. "Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case," Econometrica, Econometric Society, vol. 72(2), pages 641-646, March.
- M. Kessler & A. Rahbek, 2004. "Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions," Statistical Inference for Stochastic Processes, Springer, vol. 7(2), pages 137-151, May.
- Jensen, Søren Tolver & Rahbek, Anders, 2004. "Asymptotic Inference For Nonstationary Garch," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1203-1226, December.
- Henrik Hansen & Anders Rahbek, 2002. "Approximate Conditional Unit Root Inference," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(1), pages 1-28, January.
- Mathieu Kessler & Anders Rahbek, 2001. "Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(3), pages 455-470, September.
- Bent Nielsen & Anders Rahbek, 2000. "Similarity Issues in Cointegration Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(1), pages 5-22, February.
- Paruolo, Paolo & Rahbek, Anders, 1999. "Weak exogeneity in I(2) VAR systems," Journal of Econometrics, Elsevier, vol. 93(2), pages 281-308, December.
- Anders Rahbek & Rocco Mosconi, 1999. "Cointegration rank inference with stationary regressors in VAR models," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 76-91.
- Rahbek, Anders & Christian Kongsted, Hans & Jorgensen, Clara, 1999.
"Trend stationarity in the I(2) cointegration model,"
Journal of Econometrics, Elsevier, vol. 90(2), pages 265-289, June.
- Clara Jørgensen & Hans Christian Kongsted & Anders Rahbek, 1996. "Trend-Stationarity in the I(2) Cointegration Model," Discussion Papers 96-12, University of Copenhagen. Department of Economics.
RePEc:lrk:eeaart:28_3_2 is not listed on IDEAS
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 37 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (30) 2002-04-06 2003-12-14 2008-04-12 2008-06-27 2008-09-29 2009-01-17 2009-01-17 2009-04-05 2009-06-03 2009-07-11 2009-08-02 2010-02-20 2010-10-23 2012-06-25 2012-09-09 2012-12-06 2013-12-29 2015-02-22 2015-05-02 2016-09-04 2016-10-09 2017-09-03 2018-11-26 2019-04-15 2019-12-09 2019-12-23 2020-05-11 2021-04-12 2021-05-31 2021-07-19. Author is listed
- NEP-ETS: Econometric Time Series (29) 2002-04-03 2003-12-14 2008-04-12 2008-06-27 2008-09-29 2009-01-17 2009-01-17 2009-04-05 2009-06-03 2009-07-11 2009-08-02 2010-02-20 2010-02-27 2010-10-23 2012-06-25 2012-09-09 2012-12-06 2013-12-29 2015-04-25 2015-05-02 2015-06-13 2016-09-04 2018-11-26 2019-04-15 2019-12-09 2019-12-23 2020-05-11 2021-04-12 2021-05-31. Author is listed
- NEP-ORE: Operations Research (8) 2009-01-17 2009-04-05 2013-12-29 2017-07-16 2018-11-26 2019-12-09 2019-12-23 2020-05-11. Author is listed
- NEP-UPT: Utility Models and Prospect Theory (4) 2017-07-16 2019-03-04 2019-12-09 2019-12-09
- NEP-MAC: Macroeconomics (2) 2019-03-04 2019-12-09
- NEP-FMK: Financial Markets (1) 2008-09-29
- NEP-GEN: Gender (1) 2020-05-11
- NEP-HPE: History and Philosophy of Economics (1) 2019-03-04
- NEP-IFN: International Finance (1) 2002-04-03
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