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 2 106 1 2 12 118
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 0 0 11 48
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 0 1 1 150 0 3 17 139
An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application 0 0 0 54 0 1 16 177
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application 0 0 0 42 0 1 12 106
Autoregressive conditional root model 0 0 0 190 0 0 16 866
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 0 1 2 21 0 1 23 114
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 0 0 0 99 2 2 17 248
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 0 0 15 200
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 0 2 14 106
Bootstrap Inference for Hawkes and General Point Processes 0 0 1 40 0 1 18 76
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 1 1 71 1 3 10 146
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 1 1 10 388
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 0 0 8 69
Bootstrap inference for Hawkes and general point processes 0 0 0 0 0 0 16 33
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 0 2 19 126
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 2 7 17 38
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 0 238 1 3 11 492
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 1 3 17 194
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 1 1 2 53 1 2 14 68
Dynamic Conditional Eigenvalue GARCH 0 0 0 72 0 0 11 109
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 23 0 0 13 78
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 1 127 0 0 13 228
Likelihood Ratio Testing for Cointegration Ranks in I(2) Models 0 0 0 118 0 1 7 457
Likelihood-Based Inference in Nonlinear Error-Correction Models 0 0 0 151 0 4 16 346
MinP Score Tests with an Inequality Constrained Parameter Space 0 0 0 22 1 3 15 88
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 1 3 16 474
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 154 1 4 8 560
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 40 0 1 9 234
Nonstationary ARCH and GARCH with t-Distributed Innovations 0 0 0 45 0 0 7 84
Nonstationary ARCH and GARCH with t-distributed Innovations 0 0 0 25 1 1 5 66
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 79 1 1 13 164
Poisson Autoregression 0 1 1 361 2 3 18 1,012
Poisson Autoregression 0 0 1 115 0 2 20 351
Specification tests for GARCH processes 0 0 0 6 0 0 6 21
Specification tests for GARCH processes 0 0 0 41 0 0 16 108
TESTING GARCH-X TYPE MODELS 0 0 0 76 0 1 11 165
THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT 0 0 0 23 0 0 13 66
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 0 1 9 99
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 0 0 8 454
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 1 3 20 579
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 1 1 15 393
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 0 0 15 175
The ACR model: a multivariate dynamic mixture autoregression 0 0 0 195 0 2 12 784
The Autoregressive Conditional Root (ACR) Model 0 0 0 39 1 8 17 137
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 20 1 1 21 55
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 54 0 0 12 110
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 0 11 0 0 12 31
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 1 14 1 2 12 243
Trend-Stationarity in the I(2) Cointegration Model 0 0 0 1 0 0 18 661
Unit Root Vector Autoregression with volatility Induced Stationarity 0 0 0 49 1 2 8 123
Unit root vector autoregression with volatility induced stationarity 0 0 0 23 0 0 12 124
Total Working Papers 2 6 13 4,096 23 78 701 12,331

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 3 11 70
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH 0 0 0 97 1 1 9 247
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 1 1 1 88 3 3 10 255
An I(2) cointegration model with piecewise linear trends 0 0 0 0 0 1 10 122
Approximate Conditional Unit Root Inference 0 0 0 0 0 0 4 7
Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions 0 1 1 4 0 3 8 29
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case 0 0 0 109 0 1 7 408
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 0 2 18 378
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 0 0 8 65
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 0 131 0 0 26 512
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 0 2 157 0 1 19 332
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 1 1 2 27 2 2 19 89
Bootstrapping non-stationary stochastic volatility 0 0 1 7 0 2 10 50
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 0 1 1 60 0 2 18 176
Cointegration rank inference with stationary regressors in VAR models 0 0 0 1 0 1 8 960
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 1 4 0 0 10 36
Estimation and Asymptotic Inference in the AR-ARCH Model 0 0 0 26 1 1 14 98
Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions 0 0 0 42 0 0 14 118
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 0 1 42 0 1 21 157
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 0 81 0 6 23 247
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 1 3 4 139 2 5 27 376
Multivariate variance targeting in the BEKK–GARCH model 0 0 1 17 1 4 11 122
Nonstationary GARCH with t-distributed innovations 0 0 0 12 0 1 13 66
ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS 0 0 0 60 1 1 17 179
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 1 5 0 3 12 37
Poisson Autoregression 0 0 1 38 0 1 22 138
Purchasing power parity: A nonlinear multivariate perspective 0 0 0 25 0 0 14 72
Recent developments in bootstrap methods for dependent data 0 0 1 12 0 0 8 45
Recent developments in bootstrap methods for dependent data 0 0 0 4 0 0 9 38
Similarity Issues in Cointegration Analysis 0 0 0 113 0 2 17 310
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 0 0 9 158
TESTING GARCH-X TYPE MODELS 0 0 0 10 0 0 6 32
THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL 0 0 0 26 0 0 6 98
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 1 70 3 7 24 250
The ACR Model: A Multivariate Dynamic Mixture Autoregression* 0 0 0 91 0 6 33 400
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 0 0 0 9 1 3 10 44
Trend stationarity in the I(2) cointegration model 0 0 1 88 0 0 12 244
Unit root vector autoregression with volatility induced stationarity 0 0 0 17 1 7 19 76
Vector equilibrium correction models with non-linear discontinuous adjustments 0 0 0 150 0 7 22 532
Weak exogeneity in I(2) VAR systems 0 0 0 56 0 0 7 176
Total Journal Articles 3 7 20 2,028 16 77 565 7,749
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