Anders Rahbek

Anders Rahbek

Professor


  1. 2022
  2. 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. 241-263

    Research output: Contribution to journalJournal articleResearchpeer-review

  3. Accepted/In press

    Bootstrap Inference for Hawkes and General Point Processes

    Rahbek, Anders, Østergaard, Jacob, Lu, Y. & Cavaliere, G., 24 Feb 2022, (Accepted/In press) In: Journal of Econometrics.

    Research output: Contribution to journalJournal articleResearchpeer-review

  4. 2021
  5. Published

    A Primer on Bootstrap Testing of Hypotheses in Time Series Models: With an Application to Double Autoregressive Models

    Cavaliere, G. & Rahbek, Anders, 2021, In: Econometric Theory. 37, 1, p. 1-48

    Research output: Contribution to journalJournal articleResearchpeer-review

  6. Published

    An Introduction to Bootstrap Theory in Time Series Econometrics

    Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, 2021, Oxford Research Encyclopedia of Economics and Finance. Hamilton, J. H., Dixit, A., Edwards, S. & Judd, K. (eds.). Oxford University Press

    Research output: Chapter in Book/Report/Conference proceedingBook chapterResearchpeer-review

  7. Published

    Bootstrapping non-stationary stochastic volatility

    Boswijk, H. P., Cavaliere, G., Georgiev, I. & Rahbek, Anders, 2021, In: Journal of Econometrics. 224, 1

    Research output: Contribution to journalJournal articleResearchpeer-review

  8. Published

    Dynamic Conditional Eigenvalue GARCH

    Rahbek, Anders, Pedersen, Rasmus Søndergaard & Hetland, Simon Thinggaard, 2021, In: Journal of Econometrics. 2021, 21 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  9. 2020
  10. Published

    An Introduction to Bootstrap Theory in Time Series Econometrics

    Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, 28 May 2020, 35 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 20-02).

    Research output: Working paperResearch

  11. Published

    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. 55-67

    Research output: Contribution to journalJournal articleResearchpeer-review

  12. 2019
  13. Published

    Dynamic Conditional Eigenvalue GARCH

    Hetland, Simon Thinggaard, Pedersen, Rasmus Søndergaard & Rahbek, Anders, 17 Dec 2019, 55 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-13).

    Research output: Working paperResearch

  14. Published

    The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth’s Consistency Constraint in Modeling Aggregate Outcomes

    Frydman, R., Johansen, Søren, Rahbek, Anders & Tabor, M. N., 15 Mar 2019, 55 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-02).

    Research output: Working paperResearch

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