Anders Rahbek
Professor
Department of Economics
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-00
Member of:
- Published
Weak exogeneity in I(2)VAR systems
Rahbek, Anders & Paruolo, P., 1999, In: Journal of Econometrics. 93, p. 281-308Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Vector equilibrium correction models with non-linear discontinuous adjustments
Bec, F. & Rahbek, Anders, 2004, In: Econometrics Journal. 7, 2, p. 628-651Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Vector Equilibrium Correction Models with Non-linear Discontinuous Adjustments
Bec, F. & Rahbek, Anders, 2002, Københavns Universitet, p. 1-21.Research output: Working paper › Research
- 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
- Published
Unit Root Vector Autoregression with Volatility induced Stationarity
Nielsen, Heino Bohn & Rahbek, Anders, Dec 2014, In: Journal of Empirical Finance. 29, p. 144-167Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Trend-Stationarity in the I(2) Cointegration Model
Jørgensen, C., Kongsted, H. C. & Rahbek, Anders, 1996, Department of Economics, University of Copenhagen, 35 p.Research output: Working paper › Research
- Published
Trend-Stationarity in the I(2) Cointegration Model
Rahbek, Anders, Kongsted, H. C. & Jørgensen, H. C., 1999, In: Journal of Econometrics. 90, p. 265-289Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Trend stationarity in the I(2) cointegration model
Rahbek, Anders, Kongsted, H. C. & Jørgensen, C., 1999, In: Journal of Econometrics. 90, 2, p. 265-289Research 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
- Published
The likelihood ratio test for cointegration ranks in the I(2) model
Nielsen, Heino Bohn & Rahbek, Anders, 2007, In: Econometric Theory. 23, 4, p. 615-637Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- Published
The Power of Some Multivariate Cointegrations Tests
Rahbek, Anders, 1994, H.C.Ø.-Tryk, p. 37.Research output: Working paper › Research
- Published
The Limit distribution of Cointegration Rank Tests of "Wald Type"
Rahbek, Anders, 2002, In: Econometric Theory. 18, p. 1016-1017Research output: Contribution to journal › Journal article › Research › peer-review
- 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
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
- Published
The ACR Model: A Multivariate Dynamic Mixture Autoregression
Bec, F., Rahbek, Anders & Shephard, N., 2008, In: Oxford Bulletin of Economics and Statistics. 70, 5, p. 583-618 35 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- Published
Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, G., Rahbek, Anders & Taylor, R. M., 2010, In: Journal of Econometrics. 158, 1, p. 7-24 18 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
Cavaliere, G., Rahbek, Anders & Taylor, A. M. R., 2008, Department of Economics, University of Copenhagen, 31 p.Research output: Working paper › Research
- Published
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
Kristensen, D. & Rahbek, Anders, 2010, Department of Economics, University of Copenhagen, 26 p.Research output: Working paper › Research
- Published
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
Kristensen, D. & Rahbek, Anders, 2013, In: Econometric Theory. 29, 6, p. 1238-1288Research 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
Test for cointegration rank in partial systems
Johansen, Søren, Harboe, I., Nielsen, B. & Rahbek, Anders, 1995, København, p. 32.Research output: Working paper › Research
- 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
- Published
Stochastic properties of multivariate time series equations with emphasis on ARCH
Rahbek, Anders, 2003, In: IFAC Proceedings Volumes (IFAC-PapersOnline). 36, 16, p. 227-232 6 p.Research output: Contribution to journal › Conference 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
Similarity Issues in Cointegration Analysis
Rahbek, Anders & Nielsen, B., 2000, In: Oxford Bulletin of Economics and Statistics. 62, p. 5-22Research output: Contribution to journal › Journal article › Research › peer-review
- 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. 269-271Research output: Contribution to journal › Editorial › Research
- Published
Purchasing power parity: A nonlinear multivariate perspective
Bec, F., Salem, M. B. & Rahbek, Anders, 17 Sep 2008, In: Economics Bulletin. 6, 39Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Poisson Autoregression
Fokianos, K., Rahbek, Anders & Tjøstheim, D., 2008, Department of Economics, University of Copenhagen, 37 p.Research output: Working paper › Research
- Published
Poisson Autoregression
Fokianos, K., Rahbek, Anders & Tjøstheim, D., 2009, In: Journal of the American Statistical Association. 104, 488, p. 1430-1439 10 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
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
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
On the Law of Large Numbers for (Geometrically) Ergodic Marcov Chains
Jensen, S. T. & Rahbek, Anders, 2007, In: Econometric Theory. 23, p. 761-766 6 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Nonstationary GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016, In: Economics Letters. 138, p. 19-21Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- Published
Non-stationary and no moments asymptotics for the ARCH model
Jensen, S. T. & Rahbek, Anders, 2002, København, p. 1-6.Research output: Working paper › Research
- 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
- 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
- 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
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
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
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
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
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
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
Estimation and asymptotic inference in the first order AR-ARCH model
Lange, Theis, Rahbek, Anders & Jensen, S. T., Mar 2011, In: Econometric Reviews. 30, 2, p. 129-153 25 p.Research 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