Anders Rahbek

Anders Rahbek

Professor

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    ORCID: 0000-0002-2549-1913

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    1. 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

    2. 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

    3. 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

    4. 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. 1-48

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

    5. 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

    6. 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

    7. 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

    8. 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 Press

      Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review

    9. 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

    10. 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

    11. Published

      Approximate Conditional Unit Root Inference

      Hansen, Henrik & Rahbek, Anders, 2002, In: Journal of Time Series Analysis. 23, 1, p. 1-28

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

    12. 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

    13. 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

    14. 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

    15. Published

      Asymptotic Normality for Non-Stationary, Explosive GARCH

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

      Research output: Working paper › Research

    16. 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

    17. Published

      Asymptotic inference on cointegrating rank in partial systems

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

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

    18. 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

    19. 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

    20. 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

    21. 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

    22. 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

    23. 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

    24. 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

    25. 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

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