Anders Rahbek
Professor
Department of Economics
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-00
Member of:
- 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
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. 137-151Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- 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
- 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
- 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
- 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
- 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
- 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
Multivariate Variance Targeting in the BEKK-GARCH Model
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2014, In: Econometrics Journal. 17, 1, p. 24-55Research output: Contribution to journal › Journal article › Research › peer-review
ID: 8883
Most downloads
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3059
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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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2474
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Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Research output: Working paper › Research
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2451
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Poisson Autoregression
Research output: Working paper › Research
Published