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Access Statistics for Anders Rahbek

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS 1 1 4 103 1 1 9 100
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 0 1 1 36
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 2 2 9 141 2 2 14 110
An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application 0 0 0 54 0 0 0 160
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application 0 0 1 42 0 0 2 94
Autoregressive conditional root model 0 0 2 190 0 0 3 850
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 1 1 4 19 2 3 16 87
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 0 0 0 97 0 0 2 226
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 0 0 1 91
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 1 1 1 185
Bootstrap Inference for Hawkes and General Point Processes 0 0 0 39 0 0 2 54
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 0 0 1 134
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 0 2 5 374
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 0 0 0 59
Bootstrap inference for Hawkes and general point processes 0 0 0 0 1 2 4 17
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 0 0 1 18
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 0 0 0 105
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 0 237 0 0 0 480
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 0 0 1 177
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 0 1 51 0 1 5 53
Dynamic Conditional Eigenvalue GARCH 0 0 2 72 0 1 5 95
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 23 0 0 1 65
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 126 0 0 1 214
Likelihood Ratio Testing for Cointegration Ranks in I(2) Models 0 0 0 118 1 1 1 450
Likelihood-Based Inference in Nonlinear Error-Correction Models 0 0 0 151 0 0 0 330
MinP Score Tests with an Inequality Constrained Parameter Space 0 1 5 17 5 10 14 56
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 0 1 3 456
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 40 0 0 2 222
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 154 0 0 2 552
Nonstationary ARCH and GARCH with t-Distributed Innovations 0 0 0 45 0 0 2 76
Nonstationary ARCH and GARCH with t-distributed Innovations 0 0 0 25 0 0 2 61
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 1 79 0 0 1 148
Poisson Autoregression 0 0 2 114 0 0 3 327
Poisson Autoregression 0 0 0 360 0 0 8 992
Specification tests for GARCH processes 0 0 3 40 0 1 10 89
Specification tests for GARCH processes 0 1 1 6 0 1 1 14
TESTING GARCH-X TYPE MODELS 0 0 1 76 0 1 4 153
THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT 0 0 0 23 0 0 1 51
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 0 0 1 446
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 0 0 0 90
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 0 0 2 377
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 0 0 0 559
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 0 0 0 157
The ACR model: a multivariate dynamic mixture autoregression 0 0 0 195 0 1 9 766
The Autoregressive Conditional Root (ACR) Model 0 0 1 39 0 1 2 117
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 20 1 2 4 32
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 54 0 0 2 93
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 0 13 0 0 0 229
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 0 11 0 0 0 18
Trend-Stationarity in the I(2) Cointegration Model 0 0 0 1 0 4 8 641
Unit Root Vector Autoregression with volatility Induced Stationarity 0 0 0 49 0 0 1 114
Unit root vector autoregression with volatility induced stationarity 0 0 0 23 0 2 2 112
Total Working Papers 4 6 37 4,065 14 39 160 11,512

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 6 0 0 0 57
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH 0 0 5 96 0 0 6 234
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 1 3 85 0 2 5 241
An I(2) cointegration model with piecewise linear trends 0 0 0 0 1 2 2 112
Approximate Conditional Unit Root Inference 0 0 0 0 0 0 0 2
Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions 0 0 0 3 0 0 2 20
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case 0 0 0 109 0 0 1 401
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 0 0 0 355
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 0 0 0 54
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 2 131 1 2 9 481
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 0 1 153 0 1 4 306
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 0 0 4 21 0 1 13 58
Bootstrapping non-stationary stochastic volatility 0 0 1 6 0 1 6 37
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 0 0 1 57 1 1 3 153
Cointegration rank inference with stationary regressors in VAR models 0 0 0 1 0 1 2 945
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 2 3 0 0 3 25
Estimation and Asymptotic Inference in the AR-ARCH Model 0 0 0 25 0 0 0 82
Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions 0 0 0 40 0 0 1 102
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 0 1 40 0 0 2 127
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 3 80 0 1 9 221
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 1 2 5 133 4 8 14 339
Multivariate variance targeting in the BEKK–GARCH model 0 0 1 16 0 1 4 106
Nonstationary GARCH with t-distributed innovations 0 0 0 12 0 0 2 47
ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS 0 0 1 59 0 0 3 159
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 1 3 1 1 4 23
Poisson Autoregression 0 0 1 33 1 2 5 107
Purchasing power parity: A nonlinear multivariate perspective 0 0 1 24 0 0 3 56
Recent developments in bootstrap methods for dependent data 0 0 0 4 0 0 1 26
Recent developments in bootstrap methods for dependent data 0 0 1 11 0 0 1 37
Similarity Issues in Cointegration Analysis 0 0 0 113 0 0 0 293
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 0 0 2 147
TESTING GARCH-X TYPE MODELS 0 1 1 10 0 1 1 24
THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL 0 1 1 26 0 1 1 92
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 1 67 1 1 4 219
The ACR Model: A Multivariate Dynamic Mixture Autoregression* 0 1 1 91 3 9 36 354
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 0 0 2 8 0 0 4 30
Trend stationarity in the I(2) cointegration model 0 0 0 85 0 1 2 229
Unit root vector autoregression with volatility induced stationarity 0 2 2 17 0 3 4 55
Vector equilibrium correction models with non-linear discontinuous adjustments 0 0 0 150 4 7 32 496
Weak exogeneity in I(2) VAR systems 0 1 1 56 0 1 1 168
Total Journal Articles 1 9 43 1,978 17 48 192 7,020
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