Anders Rahbek

Anders Rahbek

Professor

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    ORCID: 0000-0002-2549-1913

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    1. 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

    2. 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

    3. 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

    4. 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

    5. 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

    6. 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

    7. Published

      Bootstrap sequential determination of the number of common Stochastic trends under conditional heteroskedasticity

      Giuseppe, C., Rahbek, Anders & Taylor, A. M. R., 2010, In: Estudios de Economia Aplicada. 28, 3, p. 1-34 35 p.

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

    8. Published

      Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling

      Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, 2020, In: Journal of Business and Economic Statistics. 38, 1, p. 55-67

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

    9. Published

      Bootstrapping non-stationary stochastic volatility

      Boswijk, H. P., Cavaliere, G., Georgiev, I. & Rahbek, Anders, 2021, In: Journal of Econometrics. 224, 1

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

    10. Published

      Cointegration Rank Inference with Stationary Regressors in VAR Models

      Rahbek, Anders & Mosconi, R., 1999, In: Econometrics Journal. 2, p. 82-97

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

    11. Published

      Cointegration rank testing under conditional heteroskedasticity

      Cavaliere, G., Rahbek, Anders & Taylor, R. M., 2010, In: Econometric Theory. 26, 6, p. 1719-1760 40 p.

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

    12. 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

    13. Published

      Dynamic Conditional Eigenvalue GARCH

      Rahbek, Anders, Pedersen, Rasmus Søndergaard & Hetland, Simon Thinggaard, 2023, In: Journal of Econometrics. 237, 2B, 21 p., 105175.

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

    14. Published

      Estimation and Asymptotic Inference in the First Order AR-ARCH Model

      Lange, Theis, Rahbek, Anders & Jensen, S. T., 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, p. 1-23.

      Research output: Working paper › Research

    15. 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

    16. 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

    17. 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. 137-151

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

    18. 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

    19. 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

    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

      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

    22. 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

    23. 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

    24. 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

    25. 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

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