Videnskabeligt Personale – Københavns Universitet

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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 such as GARCH models, univariate and multivariate.
  • Nonlinear time series models, such as regime switching and threshold models.
  • Nonlinear, and linear, multivariate cointegration models, with and without time varying volatility
  • Poisson intensity count models.
  • Development of Bootrap-based econometric analyses.

H-index:
Google schoolar: (October 2015) 20 [link

Teaching:

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

 

Please also web page [link]

Udvalgte publikationer

  1. Udgivet

    Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models

    Cavaliere, G., Nielsen, H. B. & Rahbek, A. 2015 I : Econometrica. 83, 2, s. 813-831

    Publikation: Forskning - fagfællebedømtTidsskriftartikel

  2. Udgivet

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

    Cavaliere, G., Rahbek, A. & Taylor, A. M. R. 2012 I : Econometrica. 80, 4, s. 1721-1740

    Publikation: Forskning - fagfællebedømtTidsskriftartikel

  3. Udgivet

    Cointegration rank testing under conditional heteroskedasticity

    Cavaliere, G., Rahbek, A. C. & Taylor, R. M. 2010 I : Econometric Theory. 26, 6, s. 1719-1760 40 s.

    Publikation: Forskning - fagfællebedømtTidsskriftartikel

  4. Udgivet

    Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions

    Boswijk, H. P., Cavaliere, G., Rahbek, A. & Taylor, R. 2016 I : Journal of Econometrics. 192, 1, s. 64-85

    Publikation: Forskning - fagfællebedømtTidsskriftartikel

  5. Udgivet

    Unit Root Vector Autoregression with Volatility induced Stationarity

    Nielsen, H. B. & Rahbek, A. dec. 2014 I : Journal of Empirical Finance. 29, s. 144-167

    Publikation: Forskning - fagfællebedømtTidsskriftartikel

  6. Udgivet

    Likelihood-based inference for cointegration with nonlinear error-correction

    Kristensen, D. & Rahbek, A. C. 2010 I : Journal of Econometrics. 158, 1, s. 78-94 17 s.

    Publikation: Forskning - fagfællebedømtTidsskriftartikel

  7. Udgivet

    Testing for co-integration in vector autoregressions with non-stationary volatility

    Cavaliere, G., Rahbek, A. C. & Taylor, R. M. 2010 I : Journal of Econometrics. 158, 1, s. 7-24 18 s.

    Publikation: Forskning - fagfællebedømtTidsskriftartikel

  8. Udgivet

    Poisson Autoregression

    Fokianos, K., Rahbek, A. C. & Tjøstheim, D. 2009 I : Journal of the American Statistical Association. 104, 488, s. 1430-1439 10 s.

    Publikation: Forskning - fagfællebedømtTidsskriftartikel

  9. Udgivet

    The ACR Model: A Multivariate Dynamic Mixture Autoregression

    Bec, F., Rahbek, A. C. & Shephard, N. 2008 I : Oxford Bulletin of Economics and Statistics. 70, 5, s. 583-618 35 s.

    Publikation: Forskning - fagfællebedømtTidsskriftartikel

  10. Udgivet

    Asomptotic Inference for Nonstationary Garch

    Jensen, S. T. & Rahbek, A. 2004 I : Econometric Theory. 20, 6, s. 1203-1226

    Publikation: Forskning - fagfællebedømtTidsskriftartikel

  11. Udgivet

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

    Jensen, S. T. & Rahbek, A. 2004 I : Econometrica. 72, 2, s. 641-646

    Publikation: Forskning - fagfællebedømtTidsskriftartikel

  12. Udgivet

    Vector equilibrium correction models with non-linear discontinuous adjustments

    Bec, F. & Rahbek, A. 2004 I : Econometrics Journal. 7, 2, s. 628-651

    Publikation: Forskning - fagfællebedømtTidsskriftartikel

Udvalgte aktiviteter

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