Anders Rahbek
Professor
Department of Economics
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-00
Member of:
- 2009
- Published
Asymptotics of the QMLE for General ARCH(q) Models
Kristensen, D. & Rahbek, Anders, 2009, In: Journal of Time Series Econometrics. 1, 1, p. 1-36 38 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- 2008
- Published
Purchasing power parity: A nonlinear multivariate perspective
Bec, F., Salem, M. B. & Rahbek, Anders, 17 Sep 2008, In: Economics Bulletin. 6, 39Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Poisson Autoregression
Fokianos, K., Rahbek, Anders & Tjøstheim, D., 2008, Department of Economics, University of Copenhagen, 37 p.Research output: Working paper › Research
- 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
- 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
- 2007
- 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
- Published
The likelihood ratio test for cointegration ranks in the I(2) model
Nielsen, Heino Bohn & Rahbek, Anders, 2007, In: Econometric Theory. 23, 4, p. 615-637Research output: Contribution to journal › Journal article › Research › peer-review
- 2006
- Published
An Introduction to Regime Switching Time Series Models
Lange, Theis & Rahbek, Anders, 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, p. 1-16.Research output: Working paper › Research
- 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
- 2005
- Published
A Note on the Law of Large Numbers for Functions of Geometrically Ergodic Time Series
Jensen, S. T. & Rahbek, Anders, 2005, Department of Applied Mathematics and Statistics, p. 1-7.Research output: Working paper › Research
- Published
Asymptotics of the QMLE for General ARCH(q) Models
Kristensen, D. & Rahbek, Anders, 2005, Department of Applied Mathematics and Statistics, p. 1-37.Research output: Working paper › Research
- Published
Asymptotics of the QMLE for a Class of ARCH(q) Models
Kristensen, D. & Rahbek, Anders, 2005, In: Econometric Theory. 21, 5, p. 946-961Research output: Contribution to journal › Journal article › Research › peer-review
- 2004
- Published
Asomptotic Inference for Nonstationary Garch
Jensen, S. T. & Rahbek, Anders, 2004, In: Econometric Theory. 20, 6, p. 1203-1226Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
Jensen, S. T. & Rahbek, Anders, 2004, In: Econometrica. 72, 2, p. 641-646Research output: Contribution to journal › Journal article › Research › peer-review
- 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. 137-151Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Vector equilibrium correction models with non-linear discontinuous adjustments
Bec, F. & Rahbek, Anders, 2004, In: Econometrics Journal. 7, 2, p. 628-651Research output: Contribution to journal › Journal article › Research › peer-review
- 2003
- Published
Asymptotic Normality for Non-Stationary, Explosive GARCH
Jensen, S. T. & Rahbek, Anders, 2003, Københavns Universitet, p. 1-22.Research output: Working paper › Research
- 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
- 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
- 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
- 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
- 2002
- Published
Approximate Conditional Unit Root Inference
Hansen, Henrik & Rahbek, Anders, 2002, In: Journal of Time Series Analysis. 23, 1, p. 1-28Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, D. & Rahbek, Anders, 2002, København, p. 1-30.Research output: Working paper › Research
- Published
Autoregressive Conditional Root Model: Inference and Geometric Ergodicity
Shephard, N. & Rahbek, Anders, 2002, Nuffield College, Oxford University, p. 0.Research output: Working paper › Research
ID: 8883
Most downloads
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3060
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An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application
Research output: Working paper › Research
Published -
2475
downloads
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Research output: Working paper › Research
Published -
2452
downloads
Poisson Autoregression
Research output: Working paper › Research
Published