Anders Rahbek

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

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