Anders Rahbek
Professor
Department of Economics
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-00
Member of:
- Published
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
Agosto, A., Cavaliere, G., Kristensen, D. & Rahbek, Anders, Sep 2016, In: Journal of Empirical Finance. 38, Part B, p. 640–663Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Vector Equilibrium Correction Models with Non-linear Discontinuous Adjustments
Bec, F. & Rahbek, Anders, 2002, Københavns Universitet, p. 1-21.Research output: Working paper › Research
- Published
The ACR Model: A Multivariate Dynamic Mixture Autoregression
Bec, F., Rahbek, Anders & Shephard, N., 2008, In: Oxford Bulletin of Economics and Statistics. 70, 5, p. 583-618 35 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Vector equilibrium correction models with non-linear discontinuous adjustments
Bec, F. & Rahbek, Anders, 2004, In: Econometrics Journal. 7, 2, p. 628-651Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Purchasing power parity: A nonlinear multivariate perspective
Bec, F., Salem, M. B. & Rahbek, Anders, 17 Sep 2008, In: Economics Bulletin. 6, 39Research 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
- Published
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
Boswijk, H. P., Cavaliere, G., Rahbek, Anders & Taylor, R., 2016, In: Journal of Econometrics. 192, 1, p. 64-85Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
Boswijk, H. P., Cavaliere, G., Rahbek, Anders & Taylor, A. M. R., 2013, Kbh: Økonomisk institut, Københavns Universitet, 51 p. (University of Copenhagen. Institute of Economics. Discussion Papers; No. 13).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
Recent Developments in Bootstrap Methods for Dependent Data
Cavaliere, G., Politis, D. & Rahbek, Anders, 2015, In: Journal of Time Series Analysis. 36, 3, p. 269-271Research output: Contribution to journal › Editorial › Research
- Published
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
- Published
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
Cavaliere, G., Perera, I. & Rahbek, Anders, 2024, In: Journal of Business and Economic Statistics. p. 197-214Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The Fixed Volatility Bootstrap for a Class of ARCH(q) Models
Cavaliere, G., Pedersen, Rasmus Søndergaard & Rahbek, Anders, 5 Aug 2018, In: Journal of Time Series Analysis. 39, 6, p. 920-941Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, G., Rahbek, Anders & Taylor, R. M., 2010, In: Journal of Econometrics. 158, 1, p. 7-24 18 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
Cavaliere, G., Rahbek, Anders & Taylor, A. M. R., 2008, Department of Economics, University of Copenhagen, 31 p.Research output: Working paper › Research
- Published
Tail Behavior of ACD Models and Consequences for Likelihood-Based Estimation
Cavaliere, G., Mikosch, Thomas Valentin, Rahbek, Anders & Rasmussen, Frederik Vilandt, 2024, In: Journal of Econometrics. 238, 2, 14 p., 105613.Research output: Contribution to journal › Journal article › Research › peer-review
- 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 PressResearch output: Chapter in Book/Report/Conference proceeding › Book chapter › 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
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 paper › Research
- Published
A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models
Cavaliere, G. & Rahbek, Anders, 2019, 49 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-03).Research output: Working paper › Research
- 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
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
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR MODELS
Cavaliere, G., Angelis, L. D., Rahbek, Anders & Robert Taylor, A. M., 1 Feb 2015, In: Oxford Bulletin of Economics and Statistics. 77, 1, p. 106-128 23 p.Research 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
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. 1-48Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
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
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
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., 2014, In: Econometric Reviews. 33, 5–6, p. 606–650Research 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
- 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
- Published
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment
Frydman, R., Johansen, Søren, Rahbek, Anders & Tabor, M. N., 2017, 38 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-10). (Institute for New Economic Thinking Working Paper Series; No. 59).Research output: Working paper › Research
- 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 paper › Research
- Accepted/In press
The validity of bootstrap testing for threshold autoregression
Giannerini, S., Goracci, G. & Rahbek, Anders, 2024, (Accepted/In press) In: Journal of Econometrics.Research 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
Approximate Conditional Unit Root Inference
Hansen, Henrik & Rahbek, Anders, 2002, In: Journal of Time Series Analysis. 23, 1, p. 1-28Research 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 for Non-Stationary, Explosive GARCH
Jensen, S. T. & Rahbek, Anders, 2003, Københavns Universitet, p. 1-22.Research output: Working paper › Research
- Published
A Note on the Law of Large Numbers for Functions of Geometrically Ergodic Time Series
Jensen, S. T. & Rahbek, Anders, 2005, Department of Applied Mathematics and Statistics, p. 1-7.Research output: Working paper › Research
- Published
Asomptotic Inference for Nonstationary Garch
Jensen, S. T. & Rahbek, Anders, 2004, In: Econometric Theory. 20, 6, p. 1203-1226Research 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
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
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
Test for cointegration rank in partial systems
Johansen, Søren, Harboe, I., Nielsen, B. & Rahbek, Anders, 1995, København, p. 32.Research output: Working paper › Research
- Published
Trend-Stationarity in the I(2) Cointegration Model
Jørgensen, C., Kongsted, H. C. & Rahbek, Anders, 1996, Department of Economics, University of Copenhagen, 35 p.Research output: Working paper › Research
- Published
Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions
Kessler, M. & Rahbek, Anders, 2004, In: Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems. 7, 2, p. 137-151Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Asymptotic Likelihood Based Inference for Cointegrated Homogenous Gaussian Diffusions
Kessler, M. & Rahbek, Anders, 2001, In: Scandinavian Journal of Statistics. 28, p. 455-470Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
ID: 8883
Most downloads
-
3064
downloads
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application
Research output: Working paper › Research
Published -
2479
downloads
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Research output: Working paper › Research
Published -
2456
downloads
Poisson Autoregression
Research output: Working paper › Research
Published