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 97 1 1 9 83
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 0 0 1 34
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 0 5 16 121 2 10 27 74
An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application 0 0 2 53 0 0 3 159
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application 0 0 0 41 0 0 0 92
Autoregressive conditional root model 0 0 0 188 0 0 1 846
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 1 1 5 11 2 9 25 54
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 0 1 8 97 0 1 20 222
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 1 48 0 1 4 180
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 0 0 1 88
Bootstrap Inference for Hawkes and General Point Processes 0 1 12 39 0 1 17 50
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 0 0 0 133
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 141 0 1 3 358
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 0 0 4 58
Bootstrap inference for Hawkes and general point processes 0 0 0 0 0 0 2 11
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 66 0 1 7 103
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 0 0 0 16
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 0 237 0 0 3 479
Co-integration rank tests under conditional heteroskedasticity 0 0 1 64 0 0 3 175
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 1 1 49 0 1 2 45
Dynamic Conditional Eigenvalue GARCH 1 3 7 63 1 6 21 76
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 3 126 0 0 3 212
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 1 23 0 0 3 63
Likelihood Ratio Testing for Cointegration Ranks in I(2) Models 0 0 0 118 0 1 1 449
Likelihood-Based Inference in Nonlinear Error-Correction Models 0 0 0 151 0 0 2 330
MinP Score Tests with an Inequality Constrained Parameter Space 0 1 1 10 0 3 7 17
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 1 1 202 1 2 6 449
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 39 0 2 3 215
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 1 154 0 1 5 540
Nonstationary ARCH and GARCH with t-Distributed Innovations 0 0 1 45 0 1 6 71
Nonstationary ARCH and GARCH with t-distributed Innovations 0 0 0 25 1 1 1 58
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 76 0 0 0 143
Poisson Autoregression 0 0 0 110 1 4 16 319
Poisson Autoregression 0 0 1 355 0 0 4 969
Specification tests for GARCH processes 1 2 3 3 1 2 3 9
Specification tests for GARCH processes 0 1 7 22 1 6 19 42
TESTING GARCH-X TYPE MODELS 1 1 5 74 2 3 16 139
THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT 0 0 0 23 0 0 0 48
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 0 0 2 444
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 0 0 3 89
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 115 0 0 0 370
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 0 0 2 559
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 0 194 2 2 15 746
The Autoregressive Conditional Root (ACR) Model 0 0 3 37 0 0 3 113
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 20 0 0 1 27
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes 0 1 2 54 1 3 8 89
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 1 1 13 0 1 1 228
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 0 11 0 0 3 18
Trend-Stationarity in the I(2) Cointegration Model 0 0 0 1 1 2 3 628
Unit Root Vector Autoregression with volatility Induced Stationarity 0 0 0 48 0 0 2 111
Unit root vector autoregression with volatility induced stationarity 0 0 0 21 0 0 2 104
Total Working Papers 5 21 87 3,963 17 66 293 11,092


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 1 55
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH 1 1 6 90 1 2 11 222
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 0 4 80 0 0 7 230
An I(2) cointegration model with piecewise linear trends 0 0 0 0 0 0 0 110
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 0 17
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case 0 0 0 108 0 1 5 399
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 3 146 0 0 7 351
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 1 8 0 0 4 52
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 3 128 0 0 9 467
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 1 2 4 148 1 4 11 287
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 1 1 5 13 2 3 14 34
Bootstrapping non-stationary stochastic volatility 0 0 3 3 1 1 10 22
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 0 0 0 56 0 0 6 146
Cointegration rank inference with stationary regressors in VAR models 0 0 0 1 0 0 2 939
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 1 1 0 0 2 20
Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional 0 0 0 21 0 1 2 174
Estimation and Asymptotic Inference in the AR-ARCH Model 1 1 2 24 1 1 4 81
Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions 0 0 0 40 0 1 3 101
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 0 1 38 0 1 5 121
Likelihood-based inference for cointegration with nonlinear error-correction 0 1 4 74 0 1 4 205
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 1 3 13 106 2 5 31 287
Multivariate variance targeting in the BEKK–GARCH model 0 0 0 14 0 1 10 94
Nonstationary GARCH with t-distributed innovations 0 0 1 11 1 1 4 43
ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS 1 2 2 58 1 3 4 155
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 1 2 1 2 7 18
Poisson Autoregression 1 1 5 30 1 2 12 97
Purchasing power parity: A nonlinear multivariate perspective 0 0 1 19 0 0 2 48
Recent developments in bootstrap methods for dependent data 0 0 0 9 0 0 0 34
Recent developments in bootstrap methods for dependent data 0 0 0 3 0 0 1 24
Similarity Issues in Cointegration Analysis 0 0 0 113 0 0 1 293
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 1 47 0 1 3 145
TESTING GARCH-X TYPE MODELS 0 1 8 8 0 1 11 20
THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL 0 0 0 25 0 0 0 90
Testing for co-integration in vector autoregressions with non-stationary volatility 1 1 2 63 2 4 7 208
The ACR Model: A Multivariate Dynamic Mixture Autoregression* 0 0 1 90 0 0 8 303
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 0 0 0 2 0 0 4 21
Trend stationarity in the I(2) cointegration model 0 1 1 83 0 3 5 222
Unit root vector autoregression with volatility induced stationarity 0 1 2 12 0 2 4 41
Vector equilibrium correction models with non-linear discontinuous adjustments 0 0 0 150 0 0 7 446
Weak exogeneity in I(2) VAR systems 0 0 2 55 0 2 5 167
Total Journal Articles 8 16 77 1,888 14 43 233 6,791


Statistics updated 2022-11-05