Anders Rahbek
Professor
Department of Economics
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-00
Member of:
- Published
Multivariate Variance Targeting in the BEKK-GARCH Model
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2012, Kbh.: Økonomisk institut, Københavns Universitet, 33 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 23, Vol. 12).Research output: Working paper › Research
- Published
Non-stationary and no moments asymptotics for the ARCH model
Jensen, S. T. & Rahbek, Anders, 2002, København, p. 1-6.Research output: Working paper › Research
- Published
Nonstationary ARCH and GARCH with t-Distributed Innovations
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2015, Copenhagen, 29 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 7, Vol. 2015).Research output: Working paper › Research
- Published
Nonstationary GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016, In: Economics Letters. 138, p. 19-21Research output: Contribution to journal › Journal article › Research › peer-review
- Published
On the Law of Large Numbers for (Geometrically) Ergodic Marcov Chains
Jensen, S. T. & Rahbek, Anders, 2007, In: Econometric Theory. 23, p. 761-766 6 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, Jul 2017, In: Journal of Time Series Analysis. 38, 4, p. 513–534Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Oscillating systems with cointegrated phase processes
Østergaard, J., Rahbek, Anders & Ditlevsen, Susanne, 2017, In: Journal of Mathematical Biology. 75, 4, p. 845–883 39 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space
Rahbek, Anders & Nielsen, Heino Bohn, 2024, In: The Econometrics Journal.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Poisson Autoregression
Fokianos, K., Rahbek, Anders & Tjøstheim, D., 2008, Department of Economics, University of Copenhagen, 37 p.Research output: Working paper › Research
- Published
Poisson Autoregression
Fokianos, K., Rahbek, Anders & Tjøstheim, D., 2009, In: Journal of the American Statistical Association. 104, 488, p. 1430-1439 10 p.Research output: Contribution to journal › Journal article › Research › peer-review
ID: 8883
Most downloads
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3076
downloads
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application
Research output: Working paper › Research
Published -
2488
downloads
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Research output: Working paper › Research
Published -
2467
downloads
Poisson Autoregression
Research output: Working paper › Research
Published