Anders Rahbek

Anders Rahbek

Professor

Member of:

    ORCID: 0000-0002-2549-1913

    Publication year:
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    21 - 30 out of 89Page size: 10
    1. 2017
    2. 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

    3. 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

    4. 2016
    5. 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

    6. 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

    7. 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

    8. 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

    9. 2015
    10. 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

    11. 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

    12. 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

    13. 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

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