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, 2002, København, p. 1-30.

      Research output: Working paper › Research

    2. 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

    3. 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

    4. 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

    5. 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

    6. 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

    7. 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. 133-165

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

    8. 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

    9. 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. 241-263

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

    10. 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

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