Anders Rahbek

Anders Rahbek

Professor

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    ORCID: 0000-0002-2549-1913

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    1. 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

    2. Published

      High-Dimensional Cointegration and Kuramoto Inspired Systems

      Stærk-Østergaard, J., Rahbek, Anders & Ditlevsen, Susanne, 2024, In: SIAM Journal on Applied Dynamical Systems. 23, 1, p. 236-255 20 p.

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

    3. Published

      Autoregressive Conditional Root Model: Inference and Geometric Ergodicity

      Shephard, N. & Rahbek, Anders, 2002, Nuffield College, Oxford University, p. 0.

      Research output: Working paper › Research

    4. 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

    5. Published

      Similarity Issues in Cointegration Analysis

      Rahbek, Anders & Nielsen, B., 2000, In: Oxford Bulletin of Economics and Statistics. 62, p. 5-22

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

    6. Published

      Asymptotic Inference on Cointegration Rank in Partial Systems

      Rahbek, Anders, Harbo, I., Johansen, S. & Nielsen, B., 1998, In: Journal of Business and Economic Statistics. 16, p. 388-399

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

    7. 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

    8. Published

      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

    9. Published

      Inference and Ergodicity in the Autoregressive Conditional Root Model

      Rahbek, Anders & Shephard, N., 2003, Københavns Universitet, p. 1-30.

      Research output: Working paper › Research

    10. Published

      The Power of Some Multivariate Cointegrations Tests

      Rahbek, Anders, 1994, H.C.Ø.-Tryk, p. 37.

      Research output: Working paper › Research

    11. 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

    12. Published

      Cointegration Rank Inference with Stationary Regressors in VAR Models

      Rahbek, Anders & Mosconi, R., 1999, In: Econometrics Journal. 2, p. 82-97

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

    13. Published

      The Limit distribution of Cointegration Rank Tests of "Wald Type"

      Rahbek, Anders, 2002, In: Econometric Theory. 18, p. 1016-1017

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

    14. Published

      Unit root vector autoregression with volatility induced stationarity

      Rahbek, Anders & Nielsen, Heino Bohn, 2012, Department of Economics, University of Copenhagen, 36 p.

      Research output: Working paper › Research

    15. Published

      Trend-Stationarity in the I(2) Cointegration Model

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

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

    16. 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

    17. 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

    18. 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

    19. 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

    20. 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

    21. 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

    22. 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

    23. 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

    24. 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

    25. 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

    26. 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

    27. 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

    28. 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

    29. 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

    30. 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

    31. 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

    32. 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

    33. 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

    34. 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

    35. Published

      Likelihood-based inference for cointegration with nonlinear error-correction

      Kristensen, D. & Rahbek, Anders, 2010, In: Journal of Econometrics. 158, 1, p. 78-94 17 p.

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

    36. 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

    37. 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

    38. 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

    39. 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

    40. 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

    41. Published

      Asymptotic Likelihood Based Inference for Cointegrated Homogenous Gaussian Diffusions

      Kessler, M. & Rahbek, Anders, 2001, In: Scandinavian Journal of Statistics. 28, p. 455-470

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

    42. 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. 137-151

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

    43. 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

    44. 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

    45. Published

      Asymptotic Normality for Non-Stationary, Explosive GARCH

      Jensen, S. T. & Rahbek, Anders, 2003, Københavns Universitet, p. 1-22.

      Research output: Working paper › Research

    46. 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

    47. Published

      Asomptotic Inference for Nonstationary Garch

      Jensen, S. T. & Rahbek, Anders, 2004, In: Econometric Theory. 20, 6, p. 1203-1226

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

    48. 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

    49. 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

    50. Published

      Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

      Jensen, S. T. & Rahbek, Anders, 2004, In: Econometrica. 72, 2, p. 641-646

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

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