Anders Rahbek

Anders Rahbek

Professor

Research:
International collaboration on econometric analysis for models applied in analysis of macroeconomic and financial data. This includes analysis for testing and inference, as well as implementation of:

  • Time varying volatility models: GARCH models, univariate and multivariate.
  • Bootstrap theory and bootstrap applications
  • Hawkes and general Point Processes
  • Nonlinear time series models: stochastic regime switching and threshold models.
  • Nonlinear, and linear, cointegration models: with and without time varying volatility
  • Poisson intensity count models

H-index:
Google schoolar h-index: (March 2021) 27

Teaching:

  • Financial Econometrics | Univariate Volatility models, including GARCH, Stochastic Volatility and Realized Volatility
  • Advanced Econometrics | Multivariate modeling, including multivariate GARCH, factor models and term structure models.
  • Cointegration and time series analysis.
  • Econometrics | An introduction to likelihood-based econometrics.

Please also web page [link]

Selected publications

  1. Accepted/In press

    Bootstrapping non-stationary stochastic volatility

    Cavaliere, G., Boswijk, H. P., Georgiev, I. & Rahbek, Anders, 2021, (Accepted/In press) In : Journal of Econometrics.

    Research output: Contribution to journalJournal articleResearchpeer-review

  2. 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 journalJournal articleResearchpeer-review

  3. 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 journalJournal articleResearchpeer-review

  4. 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 journalJournal articleResearchpeer-review

  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 journalJournal articleResearchpeer-review

  6. 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 journalJournal articleResearchpeer-review

  7. 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 journalJournal articleResearchpeer-review

  8. 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 journalJournal articleResearchpeer-review

  9. 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 journalJournal articleResearchpeer-review

  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 journalJournal articleResearchpeer-review

  11. 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 journalJournal articleResearchpeer-review

  12. 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 journalJournal articleResearchpeer-review

  13. 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 journalJournal articleResearchpeer-review

  14. 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 journalJournal articleResearchpeer-review

  15. 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 journalJournal articleResearchpeer-review

  16. Published

    Asomptotic Inference for Nonstationary Garch

    Jensen, S. T. & Rahbek, Anders, 2004, In : Econometric Theory. 20, 6, p. 1203-1226

    Research output: Contribution to journalJournal articleResearchpeer-review

  17. Published

    Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

    Jensen, S. T. & Rahbek, Anders, 2004, In : Econometrica. 72, 2, p. 641-646

    Research output: Contribution to journalJournal articleResearchpeer-review

  18. 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 proceedingBook chapterResearchpeer-review

  19. Published

    Vector equilibrium correction models with non-linear discontinuous adjustments

    Bec, F. & Rahbek, Anders, 2004, In : Econometrics Journal. 7, 2, p. 628-651

    Research output: Contribution to journalJournal articleResearchpeer-review

  20. E-pub ahead of print

    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, 15 Sep 2020, In : Journal of Econometrics.

    Research output: Contribution to journalJournal articleResearchpeer-review

  21. 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 journalJournal articleResearchpeer-review

  22. 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 journalJournal articleResearchpeer-review

  23. 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 journalJournal articleResearchpeer-review

Selected activities

  1. Network: ETSERN: ETSERN: Econometric Time Series European Research Network - www.etsern.eu - initiated as coordiniator in 2008 - two meetings held - continuing in 2009 + 2010

    Rahbek, Anders (Participant)
    27 Apr 2009 → …

    Activity: Other activity typesOther (prizes, external teaching and other activities) - Other

ID: 8883