Person:250879

Available identifiers

zbMath Open rahbek.andersMaRDI QIDQ250879

List of research outcomes

Publication	Date of Publication	Type
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary	2024-03-06	Paper
The validity of bootstrap testing for threshold autoregression	2024-03-06	Paper
Tail behavior of ACD models and consequences for likelihood-based estimation	2024-02-13	Paper
High-Dimensional Cointegration and Kuramoto Inspired Systems	2024-01-29	Paper
Dynamic conditional eigenvalue GARCH	2023-11-17	Paper
Bootstrap inference for Hawkes and general point processes	2023-06-09	Paper
Multivariate variance targeting in the BEKK-GARCH model	2022-07-26	Paper
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models	2022-05-31	Paper
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models	2022-03-16	Paper
Bootstrapping non-stationary stochastic volatility	2021-07-30	Paper
A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS	2021-04-16	Paper
TESTING GARCH-X TYPE MODELS	2019-11-18	Paper
Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models	2019-01-30	Paper
The Fixed Volatility Bootstrap for a Class of Arch(q) Models	2018-11-16	Paper
Nonstationary GARCH with \(t\)-distributed innovations	2018-08-31	Paper
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER	2018-04-25	Paper
Oscillating systems with cointegrated phase processes	2017-10-09	Paper
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space	2017-07-21	Paper
Testing for co-integration in vector autoregressions with non-stationary volatility	2016-08-04	Paper
Likelihood-based inference for cointegration with nonlinear error-correction	2016-08-04	Paper
Inference on co-integration parameters in heteroskedastic vector autoregressions	2016-03-01	Paper
Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components	2015-05-20	Paper
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS	2014-06-23	Paper
Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models	2013-11-08	Paper
Asymptotics of the QMLE for Non-Linear ARCH Models	2013-06-14	Paper
THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL	2012-05-14	Paper
ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS	2012-05-14	Paper
An I(2) cointegration model with piecewise linear trends	2011-07-27	Paper
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY	2011-04-21	Paper
Estimation and Asymptotic Inference in the AR-ARCH Model	2011-03-30	Paper
Poisson Autoregression	2011-02-01	Paper
An Introduction to Regime Switching Time Series Models	2009-11-27	Paper
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case	2006-06-19	Paper
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS	2006-03-08	Paper
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH	2005-09-05	Paper
Vector equilibrium correction models with non‐linear discontinuous adjustments	2005-07-04	Paper
Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions	2005-01-17	Paper
Approximate Conditional Unit Root Inference	2002-08-05	Paper
Asymptotic Likelihood Based Inference for Co-integrated Homogenous Gaussian Diffusions	2002-02-17	Paper
Cointegration rank inference with stationary regressors in VAR models	2000-05-14	Paper
Weak exogeneity in \(I(2)\) VAR systems	1999-11-25	Paper
Trend stationarity in the \(I(2)\) cointegration model.	1999-09-08	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Anders Rahbek