Anders Rahbek

Anders Rahbek

Professor

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    ORCID: 0000-0002-2549-1913

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    1. Published

      Asymptotics of the QMLE for a Class of ARCH(q) Models

      Kristensen, D. & Rahbek, Anders, 2005, In: Econometric Theory. 21, 5, p. 946-961

      Research output: Contribution to journal › Journal article › Research › peer-review

    2. Published

      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

    3. Published

      Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models

      Kristensen, D. & Rahbek, Anders, 2013, In: Econometric Theory. 29, 6, p. 1238-1288

      Research output: Contribution to journal › Journal article › Research › peer-review

    4. Published

      Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models

      Kristensen, D. & Rahbek, Anders, 2010, Department of Economics, University of Copenhagen, 26 p.

      Research output: Working paper › Research

    5. 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

    6. 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

    7. Published

      An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application

      Kurita, T., Nielsen, Heino Bohn & Rahbek, Anders, 2009, Department of Economics, University of Copenhagen, 24 p.

      Research output: Working paper › Research

    8. Published

      An I(2) cointegration model with piecewise linear trends

      Kurita, T., Nielsen, Heino Bohn & Rahbek, Anders, Jul 2011, In: Econometrics Journal. 14, 2, p. 131-155 25 p.

      Research output: Contribution to journal › Journal article › Research › peer-review

    9. Published

      An Introduction to Regime Switching Time Series Models

      Lange, Theis & Rahbek, Anders, 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, p. 1-16.

      Research output: Working paper › Research

    10. 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

    11. Published

      An Introduction to Regime Switching Time Series Models

      Lange, Theis & Rahbek, Anders, 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J. P. & Mikosch, T. (eds.). Springer, p. 871-888 18 p.

      Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

    12. Published

      Estimation and asymptotic inference in the first order AR-ARCH model

      Lange, Theis, Rahbek, Anders & Jensen, S. T., Mar 2011, In: Econometric Reviews. 30, 2, p. 129-153 25 p.

      Research output: Contribution to journal › Journal article › Research › peer-review

    13. Published

      Likelihood Ratio Testing for Cointegration Ranks in I(2) Models

      Nielsen, Heino Bohn & Rahbek, Anders, 2003, nr. 11 ed., Københavns Universitet, p. 1-25.

      Research output: Working paper › Research

    14. Published

      The likelihood ratio test for cointegration ranks in the I(2) model

      Nielsen, Heino Bohn & Rahbek, Anders, 2007, In: Econometric Theory. 23, 4, p. 615-637

      Research output: Contribution to journal › Journal article › Research › peer-review

    15. Published

      Likelihood Ratio Testing for Cointegration Ranks in I(2) Models

      Nielsen, Heino Bohn & Rahbek, Anders, 2003, Københavns Universitet, p. 1-22.

      Research output: Working paper › Research

    16. Published

      Unit Root Vector Autoregression with Volatility induced Stationarity

      Nielsen, Heino Bohn & Rahbek, Anders, Dec 2014, In: Journal of Empirical Finance. 29, p. 144-167

      Research output: Contribution to journal › Journal article › Research › peer-review

    17. Published

      Nonstationary GARCH with t-distributed innovations

      Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016, In: Economics Letters. 138, p. 19-21

      Research output: Contribution to journal › Journal article › Research › peer-review

    18. 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

    19. Published

      Multivariate Variance Targeting in the BEKK-GARCH Model

      Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2014, In: Econometrics Journal. 17, 1, p. 24-55

      Research output: Contribution to journal › Journal article › Research › peer-review

    20. 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

    21. Published

      Testing Garch-X Type Models

      Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2017, 35 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-15).

      Research output: Working paper › Research

    22. Published

      Testing in GARCH-X Type Models

      Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019, In: Econometric Theory. 35, 5, p. 1012-1047

      Research output: Contribution to journal › Journal article › Research › peer-review

    23. Published

      Stochastic properties of multivariate time series equations with emphasis on ARCH

      Rahbek, Anders, 2003, In: IFAC Proceedings Volumes (IFAC-PapersOnline). 36, 16, p. 227-232 6 p.

      Research output: Contribution to journal › Conference article › Research › peer-review

    24. Published

      Weak exogeneity in I(2)VAR systems

      Rahbek, Anders & Paruolo, P., 1999, In: Journal of Econometrics. 93, p. 281-308

      Research output: Contribution to journal › Journal article › Research › peer-review

    25. Published

      Trend stationarity in the I(2) cointegration model

      Rahbek, Anders, Kongsted, H. C. & Jørgensen, C., 1999, In: Journal of Econometrics. 90, 2, p. 265-289

      Research output: Contribution to journal › Journal article › Research › peer-review

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