Anders Rahbek
Professor
Økonomisk Institut
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Bygning: 26-3-00
Medlem af:
- 1994
- Udgivet
The Power of Some Multivariate Cointegrations Tests
Rahbek, Anders, 1994, H.C.Ø.-Tryk, s. 37.Publikation: Working paper › Forskning
- 1995
- Udgivet
Test for cointegration rank in partial systems
Johansen, Søren, Harboe, I., Nielsen, B. & Rahbek, Anders, 1995, København, s. 32.Publikation: Working paper › Forskning
- 1996
- Udgivet
Trend-Stationarity in the I(2) Cointegration Model
Jørgensen, C., Kongsted, H. C. & Rahbek, Anders, 1996, Department of Economics, University of Copenhagen, 35 s.Publikation: Working paper › Forskning
- 2002
- Udgivet
Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, D. & Rahbek, Anders, 2002, København, s. 1-30.Publikation: Working paper › Forskning
- Udgivet
Autoregressive Conditional Root Model: Inference and Geometric Ergodicity
Shephard, N. & Rahbek, Anders, 2002, Nuffield College, Oxford University, s. 0.Publikation: Working paper › Forskning
- Udgivet
Non-stationary and no moments asymptotics for the ARCH model
Jensen, S. T. & Rahbek, Anders, 2002, København, s. 1-6.Publikation: Working paper › Forskning
- Udgivet
Vector Equilibrium Correction Models with Non-linear Discontinuous Adjustments
Bec, F. & Rahbek, Anders, 2002, Københavns Universitet, s. 1-21.Publikation: Working paper › Forskning
- 2003
- Udgivet
Asymptotic Normality for Non-Stationary, Explosive GARCH
Jensen, S. T. & Rahbek, Anders, 2003, Københavns Universitet, s. 1-22.Publikation: Working paper › Forskning
- Udgivet
Inference and Ergodicity in the Autoregressive Conditional Root Model
Rahbek, Anders & Shephard, N., 2003, Københavns Universitet, s. 1-30.Publikation: Working paper › Forskning
- Udgivet
Likelihood Ratio Testing for Cointegration Ranks in I(2) Models
Nielsen, Heino Bohn & Rahbek, Anders, 2003, Københavns Universitet, s. 1-22.Publikation: Working paper › Forskning
- Udgivet
Likelihood Ratio Testing for Cointegration Ranks in I(2) Models
Nielsen, Heino Bohn & Rahbek, Anders, 2003, nr. 11 udg., Københavns Universitet, s. 1-25.Publikation: Working paper › Forskning
- 2005
- Udgivet
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, s. 1-7.Publikation: Working paper › Forskning
- Udgivet
Asymptotics of the QMLE for General ARCH(q) Models
Kristensen, D. & Rahbek, Anders, 2005, Department of Applied Mathematics and Statistics, s. 1-37.Publikation: Working paper › Forskning
- 2006
- Udgivet
An Introduction to Regime Switching Time Series Models
Lange, Theis & Rahbek, Anders, 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, s. 1-16.Publikation: Working paper › Forskning
- Udgivet
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, s. 1-23.Publikation: Working paper › Forskning
- 2008
- Udgivet
Poisson Autoregression
Fokianos, K., Rahbek, Anders & Tjøstheim, D., 2008, Department of Economics, University of Copenhagen, 37 s.Publikation: Working paper › Forskning
- Udgivet
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 s.Publikation: Working paper › Forskning
- 2009
- Udgivet
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 s.Publikation: Working paper › Forskning
- 2010
- Udgivet
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 s.Publikation: Working paper › Forskning
- Udgivet
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
Kristensen, D. & Rahbek, Anders, 2010, Department of Economics, University of Copenhagen, 26 s.Publikation: Working paper › Forskning
- 2012
- Udgivet
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 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 11, Bind 12).Publikation: Working paper › Forskning
- Udgivet
Multivariate Variance Targeting in the BEKK-GARCH Model
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2012, Kbh.: Økonomisk institut, Københavns Universitet, 33 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 23, Bind 12).Publikation: Working paper › Forskning
- Udgivet
Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders & Nielsen, Heino Bohn, 2012, Department of Economics, University of Copenhagen, 36 s.Publikation: Working paper › Forskning
- 2013
- Udgivet
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 s. (University of Copenhagen. Institute of Economics. Discussion Papers; Nr. 13).Publikation: Working paper › Forskning
- 2015
- Udgivet
Nonstationary ARCH and GARCH with t-Distributed Innovations
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2015, Copenhagen, 29 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 7, Bind 2015).Publikation: Working paper › Forskning
- 2017
- Udgivet
Testing Garch-X Type Models
Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2017, 35 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-15).Publikation: Working paper › Forskning
- Udgivet
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment
Frydman, R., Johansen, Søren, Rahbek, Anders & Tabor, M. N., 2017, 38 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-10). (Institute for New Economic Thinking Working Paper Series; Nr. 59).Publikation: Working paper › Forskning
- 2018
- Udgivet
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, 5 dec. 2018, 36 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 18-10).Publikation: Working paper › Forskning
- 2019
- Udgivet
A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models
Cavaliere, G. & Rahbek, Anders, 2019, 49 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 19-03).Publikation: Working paper › Forskning
- Udgivet
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth’s Consistency Constraint in Modeling Aggregate Outcomes
Frydman, R., Johansen, Søren, Rahbek, Anders & Tabor, M. N., 15 mar. 2019, 55 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 19-02).Publikation: Working paper › Forskning
- 2020
- Udgivet
An Introduction to Bootstrap Theory in Time Series Econometrics
Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, 28 maj 2020, 35 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 20-02).Publikation: Working paper › Forskning
ID: 8883
Flest downloads
-
3066
downloads
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application
Publikation: Working paper › Forskning
Udgivet -
2481
downloads
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Publikation: Working paper › Forskning
Udgivet -
2457
downloads
Poisson Autoregression
Publikation: Working paper › Forskning
Udgivet