Anders Rahbek

Anders Rahbek

Professor

Member of:

    ORCID: 0000-0002-2549-1913

    Publication year:
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    51 - 75 out of 89Page size: 25
    1. 2012
    2. 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. 1721-1740

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

    3. 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

    4. 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

    5. 2013
    6. 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

    7. 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

    8. 2014
    9. 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. 606–650

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

    10. 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

    11. 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

    12. 2015
    13. 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. 813-831

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

    14. 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

    15. 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. 269-271

      Research output: Contribution to journal › Editorial › Research

    16. 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

    17. 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

    18. 2016
    19. 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. 1-34

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

    20. 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. 64-85

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

    21. 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

    22. 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. 640–663

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

    23. 2017
    24. 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

    25. 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

    26. 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

    27. 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. 513–534

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

    28. 2018
    29. 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. 920-941

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

    30. 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

    31. 2019
    32. 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

    33. 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

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