Anders Rahbek

Anders Rahbek

Professor

Member of:

    ORCID: 0000-0002-2549-1913

    Publication year:
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    26 - 50 out of 89Page size: 25
    1. 2016
    2. 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

    3. 2015
    4. 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

    5. 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

    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

      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

    8. 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

    9. 2014
    10. Published

      Unit Root Vector Autoregression with Volatility induced Stationarity

      Nielsen, Heino Bohn & Rahbek, Anders, Dec 2014, In: Journal of Empirical Finance. 29, p. 144-167

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

    11. Published

      Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

      Cavaliere , G., Rahbek, Anders & Taylor, A. M. R., 2014, In: Econometric Reviews. 33, 5–6, p. 606–650

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

    12. 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

    13. 2013
    14. 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

    15. 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

    16. 2012
    17. Published

      Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

      Cavaliere , G., Rahbek, Anders & Taylor , A. M. R., 2012, Department of Economics, University of Copenhagen, 26 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 11, Vol. 12).

      Research output: Working paper › Research

    18. Published

      Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models

      Cavaliere, G., Rahbek, Anders & Taylor, A. M. R., 2012, In: Econometrica. 80, 4, p. 1721-1740

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

    19. 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

    20. 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

    21. 2011
    22. Published

      An I(2) cointegration model with piecewise linear trends

      Kurita, T., Nielsen, Heino Bohn & Rahbek, Anders, Jul 2011, In: Econometrics Journal. 14, 2, p. 131-155 25 p.

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

    23. 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

    24. 2010
    25. 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

    26. 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

    27. 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

    28. 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

    29. 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

    30. 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

    31. 2009
    32. Published

      An Introduction to Regime Switching Time Series Models

      Lange, Theis & Rahbek, Anders, 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J. P. & Mikosch, T. (eds.). Springer, p. 871-888 18 p.

      Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

    33. Published

      An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application

      Kurita, T., Nielsen, Heino Bohn & Rahbek, Anders, 2009, Department of Economics, University of Copenhagen, 24 p.

      Research output: Working paper › Research

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