Anders Rahbek
Professor
Department of Economics
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-00
Member of:
- 2024
- 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
- 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
- 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
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
- 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
- 2023
- 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
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
- 2022
- 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
- 2021
- 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
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
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
- 2020
- 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
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
- 2019
- 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
- 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
Testing in GARCH-X Type Models
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019, In: Econometric Theory. 35, 5, p. 1012-1047Research output: Contribution to journal › Journal article › Research › peer-review
- 2018
- 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
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
- 2017
- 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
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
- 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
- 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
- 2016
- 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
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
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
ID: 8883
Most downloads
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3064
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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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2478
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Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Research output: Working paper › Research
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2456
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Poisson Autoregression
Research output: Working paper › Research
Published