Anders Rahbek

Professor

Phone: +45 35324031
Fax:     +45 35323064
Email: anders.rahbek@econ.ku.dk

Office location:
26.2.01: Bygning 26, 2. sal

Administrative assistant:
Kristine Rosenqvist, +45 35323074

Biographic information

PhD in Econometrics, Institute of Mathematical Sciences (IMF), University of Copenhagen, 1996; MSc in Mathematics and Economics, IMF, 1992; MSc in Econometrics, London School of Economics, 1991.

Assistant Professor, University of Copenhagen, 1996 -1999; Associate Professor, University of Copenhagen, 1999 - 2007;
Economics Group Visitor, Oxford University, 2000-2001; Professor, University of Copenhagen, 2007 –

Teaching

Financial Econometrics A: Volatility Models
Financial Econometrics B: Topics in Financial Time Series
Quantitative Methods 3 (Econometrics C)

Research interests

Analysis of financial time series, GARCH and volatility modeling, nonlinear time series analysis and cointegration.

Selected publications

Co-integration Rank Testing under Conditional Heteroskedasticity, w. A.M.R. Taylor and G.Cavaliere, forthcoming in Econometric Theory, 2010

Likelihood-Based Inference in Nonlinear Error-Correction Models, with D. Kristensen, forthcoming in Journal of Econometrics, 2010.

Testing for co-integration in vector autoregressions with non-stationary volatility, w. R. Taylor and G. Cavaliere, forthcoming in Journal of Econometrics, 2010.

Poisson Autoregression, w. D. Tjøstheim and K. Fokianos, Jornal of American Statistical Association, 2009.

Non-Stationary and no Moments Asymptotics for the ARCH Model (with S.T. Jensen), Econometrica, 2004.

Asymptotic Inference for Nonstationary GARCH (with S. T. Jensen), Econometric Theory, 2004.

Administrative duties

Econometrics Group, coordinator.
Finance Research Unit (FRU), core member.

Other professional activities

CREATES (Center for Research in Econometric Analysis of Time Series, Research fellow.
ETSERN (European Time Series Econometrics Research Network), coordinator.
Associate Editor: Oxford Bulletin of Economics and Statistics, Econometrics Journal.

Last updated  February 2010