Anders Rahbek

Anders Rahbek

Professor

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    ORCID: 0000-0002-2549-1913

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    1. 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

    2. 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

    3. 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

    4. Published

      Nonstationary GARCH with t-distributed innovations

      Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016, In: Economics Letters. 138, p. 19-21

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

    5. 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

    6. 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. 513–534

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

    7. 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

    8. 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

    9. Published

      Poisson Autoregression

      Fokianos, K., Rahbek, Anders & Tjøstheim, D., 2008, Department of Economics, University of Copenhagen, 37 p.

      Research output: Working paper › Research

    10. 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

    11. Published

      Purchasing power parity: A nonlinear multivariate perspective

      Bec, F., Salem, M. B. & Rahbek, Anders, 17 Sep 2008, In: Economics Bulletin. 6, 39

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

    12. 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. 269-271

      Research output: Contribution to journal › Editorial › Research

    13. Published

      Similarity Issues in Cointegration Analysis

      Rahbek, Anders & Nielsen, B., 2000, In: Oxford Bulletin of Economics and Statistics. 62, p. 5-22

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

    14. 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. 197-214

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

    15. 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

    16. 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

    17. 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

    18. 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

    19. 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

    20. Published

      Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models

      Kristensen, D. & Rahbek, Anders, 2013, In: Econometric Theory. 29, 6, p. 1238-1288

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

    21. 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

    22. 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

    23. Published

      Testing in GARCH-X Type Models

      Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019, In: Econometric Theory. 35, 5, p. 1012-1047

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

    24. 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

    25. 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. 920-941

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

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