Anders Rahbek
Professor
Department of Economics
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-00
Member of:
- 2024
- Published
High-Dimensional Cointegration and Kuramoto Inspired Systems
Stærk-Østergaard, J., Rahbek, Anders & Ditlevsen, Susanne, 2024, In: SIAM Journal on Applied Dynamical Systems. 23, 1, p. 236-255 20 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space
Rahbek, Anders & Nielsen, Heino Bohn, 2024, In: The Econometrics Journal.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
Cavaliere, G., Perera, I. & Rahbek, Anders, 2024, In: Journal of Business and Economic Statistics. p. 197-214Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Tail Behavior of ACD Models and Consequences for Likelihood-Based Estimation
Cavaliere, G., Mikosch, Thomas Valentin, Rahbek, Anders & Rasmussen, Frederik Vilandt, 2024, In: Journal of Econometrics. 238, 2, 14 p., 105613.Research output: Contribution to journal › Journal article › Research › peer-review
- Accepted/In press
The validity of bootstrap testing for threshold autoregression
Giannerini, S., Goracci, G. & Rahbek, Anders, 2024, (Accepted/In press) In: Journal of Econometrics.Research output: Contribution to journal › Journal article › Research › peer-review
- 2023
- Published
Bootstrap Inference for Hawkes and General Point Processes
Cavaliere, G., Lu, Y., Rahbek, Anders & Østergaard, J., 2023, In: Journal of Econometrics. 235, 1, p. 133-165Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Dynamic Conditional Eigenvalue GARCH
Rahbek, Anders, Pedersen, Rasmus Søndergaard & Hetland, Simon Thinggaard, 2023, In: Journal of Econometrics. 237, 2B, 21 p., 105175.Research output: Contribution to journal › Journal article › Research › peer-review
- 2022
- Published
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, Mar 2022, In: Journal of Econometrics. 227, 1, p. 241-263Research output: Contribution to journal › Journal article › Research › peer-review
- 2021
- 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. 1-48Research output: Contribution to journal › Journal article › Research › peer-review
- 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 PressResearch output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review
ID: 8883
Most downloads
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3064
downloads
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application
Research output: Working paper › Research
Published -
2478
downloads
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Research output: Working paper › Research
Published -
2456
downloads
Poisson Autoregression
Research output: Working paper › Research
Published