Anders Rahbek
Professor
Department of Economics
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-00
Member of:
- Published
Estimation and Asymptotic Inference in the First Order AR-ARCH Model
Lange, Theis, Rahbek, Anders & Jensen, S. T., 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, p. 1-23.Research output: Working paper › Research
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Dynamic Conditional Eigenvalue GARCH
Rahbek, Anders, Pedersen, Rasmus Søndergaard & Hetland, Simon Thinggaard, 2023, In: Journal of Econometrics. 237, 2B, 21 p., 105175.Research output: Contribution to journal › Journal article › Research › peer-review
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Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order
Cavaliere, G., de Angelis, L., Rahbek, Anders & Taylor, A. M. R., 2016, In: Econometric Theory. p. 1-34Research output: Contribution to journal › Journal article › Research › peer-review
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Cointegration rank testing under conditional heteroskedasticity
Cavaliere, G., Rahbek, Anders & Taylor, R. M., 2010, In: Econometric Theory. 26, 6, p. 1719-1760 40 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Cointegration Rank Inference with Stationary Regressors in VAR Models
Rahbek, Anders & Mosconi, R., 1999, In: Econometrics Journal. 2, p. 82-97Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Bootstrapping non-stationary stochastic volatility
Boswijk, H. P., Cavaliere, G., Georgiev, I. & Rahbek, Anders, 2021, In: Journal of Econometrics. 224, 1Research output: Contribution to journal › Journal article › Research › peer-review
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Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, 2020, In: Journal of Business and Economic Statistics. 38, 1, p. 55-67Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Bootstrap sequential determination of the number of common Stochastic trends under conditional heteroskedasticity
Giuseppe, C., Rahbek, Anders & Taylor, A. M. R., 2010, In: Estudios de Economia Aplicada. 28, 3, p. 1-34 35 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models
Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, 2015, In: Econometrica. 83, 2, p. 813-831Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Cavaliere, G., Rahbek, Anders & Taylor, A. M. R., 2010, Department of Economics, University of Copenhagen, 19 p.Research output: Working paper › Research
- Published
Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models
Cavaliere, G., Nielsen, Heino Bohn, Pedersen, Rasmus Søndergaard & Rahbek, Anders, 5 Dec 2018, 36 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 18-10).Research output: Working paper › Research
- Published
Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models
Cavaliere, G., Nielsen, Heino Bohn, Pedersen, Rasmus Søndergaard & Rahbek, Anders, Mar 2022, In: Journal of Econometrics. 227, 1, p. 241-263Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Bootstrap Inference for Hawkes and General Point Processes
Cavaliere, G., Lu, Y., Rahbek, Anders & Østergaard, J., 2023, In: Journal of Econometrics. 235, 1, p. 133-165Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Bootstrap Determination of the Co-integration Rank in VAR Models with Unrestricted Deterministic Components
Rahbek, Anders, Cavaliere, G. & Taylor, A. M. R., May 2015, In: Journal of Time Series Analysis. 36, 3, p. 272-289 18 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
Cavaliere, G., Rahbek, Anders & Taylor, A. M. R., 2012, In: Econometrica. 80, 4, p. 1721-1740Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
Cavaliere , G., Rahbek, Anders & Taylor , A. M. R., 2012, Department of Economics, University of Copenhagen, 26 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 11, Vol. 12).Research output: Working paper › Research
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Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
Cavaliere , G., Rahbek, Anders & Taylor, A. M. R., 2014, In: Econometric Reviews. 33, 5–6, p. 606–650Research output: Contribution to journal › Journal article › Research › peer-review
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Autoregressive Conditional Root Model: Inference and Geometric Ergodicity
Shephard, N. & Rahbek, Anders, 2002, Nuffield College, Oxford University, p. 0.Research output: Working paper › Research
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Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, D. & Rahbek, Anders, 2002, København, p. 1-30.Research output: Working paper › Research
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Asymptotics of the QMLE for a Class of ARCH(q) Models
Kristensen, D. & Rahbek, Anders, 2005, In: Econometric Theory. 21, 5, p. 946-961Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Asymptotics of the QMLE for General ARCH(q) Models
Kristensen, D. & Rahbek, Anders, 2005, Department of Applied Mathematics and Statistics, p. 1-37.Research output: Working paper › Research
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Asymptotics of the QMLE for General ARCH(q) Models
Kristensen, D. & Rahbek, Anders, 2009, In: Journal of Time Series Econometrics. 1, 1, p. 1-36 38 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Asymptotic inference on cointegrating rank in partial systems
Harbo, I. S., Johansen, Søren, Nielsen, B. & Rahbek, Anders, 1998, In: Journal of Business and Economic Statistics. 16, p. 388-399Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
Jensen, S. T. & Rahbek, Anders, 2004, In: Econometrica. 72, 2, p. 641-646Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Asymptotic Normality for Non-Stationary, Explosive GARCH
Jensen, S. T. & Rahbek, Anders, 2003, Københavns Universitet, p. 1-22.Research output: Working paper › Research
ID: 8883
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3069
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An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application
Research output: Working paper › Research
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2481
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Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Research output: Working paper › Research
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2457
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Poisson Autoregression
Research output: Working paper › Research
Published