Anders Rahbek

Anders Rahbek

Professor

Member of:

    ORCID: 0000-0002-2549-1913

    Publication year:
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    1 - 25 out of 89Page size: 25
    1. 2024
    2. 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

    3. 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

    4. 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

    5. 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

    6. 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

    7. 2023
    8. 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

    9. 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

    10. 2022
    11. 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

    12. 2021
    13. 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

    14. 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

    15. 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

    16. 2020
    17. 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

    18. 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

    19. 2019
    20. 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

    21. 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

    22. 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

    23. 2018
    24. 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

    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

    26. 2017
    27. 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

    28. 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

    29. 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

    30. 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

    31. 2016
    32. 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

    33. 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

    34. 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

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