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 0 0 2 105 3 6 11 115
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 2 5 12 48
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 0 0 2 149 3 7 18 135
An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application 0 0 0 54 1 1 16 176
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application 0 0 0 42 4 5 10 104
Autoregressive conditional root model 0 0 0 190 4 8 16 866
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 0 0 1 20 3 5 22 111
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 0 0 1 99 2 4 14 244
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 2 4 13 104
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 5 9 15 200
Bootstrap Inference for Hawkes and General Point Processes 1 1 1 40 6 10 17 73
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 3 6 12 387
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 4 4 8 142
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 1 2 7 68
Bootstrap inference for Hawkes and general point processes 0 0 0 0 1 3 15 32
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 4 4 18 124
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 3 4 10 28
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 0 238 3 5 8 489
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 4 8 14 191
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 0 0 51 3 5 12 65
Dynamic Conditional Eigenvalue GARCH 0 0 0 72 2 2 13 109
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 1 1 127 2 5 14 228
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 23 1 5 13 78
Likelihood Ratio Testing for Cointegration Ranks in I(2) Models 0 0 0 118 1 1 6 456
Likelihood-Based Inference in Nonlinear Error-Correction Models 0 0 0 151 3 8 11 341
MinP Score Tests with an Inequality Constrained Parameter Space 0 0 4 22 1 2 22 85
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 2 3 14 471
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 40 1 3 9 232
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 154 2 2 4 556
Nonstationary ARCH and GARCH with t-Distributed Innovations 0 0 0 45 1 1 8 84
Nonstationary ARCH and GARCH with t-distributed Innovations 0 0 0 25 2 2 3 64
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 79 2 6 13 161
Poisson Autoregression 0 0 0 360 2 5 16 1,009
Poisson Autoregression 0 0 1 115 5 10 21 348
Specification tests for GARCH processes 0 0 0 6 2 3 6 21
Specification tests for GARCH processes 0 0 1 41 0 6 18 108
TESTING GARCH-X TYPE MODELS 0 0 0 76 7 7 11 164
THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT 0 0 0 23 3 5 12 64
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 2 5 8 98
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 1 3 7 453
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 1 1 13 390
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 3 3 16 575
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 1 4 12 172
The ACR model: a multivariate dynamic mixture autoregression 0 0 0 195 4 9 12 782
The Autoregressive Conditional Root (ACR) Model 0 0 0 39 4 5 12 129
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 20 5 11 17 51
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 54 1 2 15 110
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 1 14 1 3 10 241
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 0 11 3 5 11 30
Trend-Stationarity in the I(2) Cointegration Model 0 0 0 1 2 4 19 661
Unit Root Vector Autoregression with volatility Induced Stationarity 0 0 0 49 2 2 5 120
Unit root vector autoregression with volatility induced stationarity 0 0 0 23 5 6 8 120
Total Working Papers 1 2 15 4,089 135 244 647 12,213

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 2 10 67
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH 0 0 0 97 0 3 9 245
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 0 1 87 2 2 8 251
An I(2) cointegration model with piecewise linear trends 0 0 0 0 0 1 8 120
Approximate Conditional Unit Root Inference 0 0 0 0 1 1 4 7
Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions 0 0 0 3 0 0 6 26
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case 0 0 0 109 2 3 6 407
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 2 4 18 373
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 1 5 10 65
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 0 131 4 7 28 511
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 0 2 156 1 7 22 330
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 0 0 3 26 1 2 23 87
Bootstrapping non-stationary stochastic volatility 0 0 0 6 1 2 8 47
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 0 0 1 59 4 6 18 173
Cointegration rank inference with stationary regressors in VAR models 0 0 0 1 2 4 11 958
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 0 3 0 2 8 33
Estimation and Asymptotic Inference in the AR-ARCH Model 0 0 1 26 2 5 15 97
Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions 0 0 1 42 1 2 13 116
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 1 2 42 5 7 26 155
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 0 81 6 12 18 241
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 2 136 7 9 27 370
Multivariate variance targeting in the BEKK–GARCH model 0 0 0 16 0 1 7 117
Nonstationary GARCH with t-distributed innovations 0 0 0 12 4 7 16 64
ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS 0 0 0 60 5 7 17 177
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 4 3 3 7 32
Poisson Autoregression 0 0 5 38 1 5 28 136
Purchasing power parity: A nonlinear multivariate perspective 0 0 1 25 3 6 14 71
Recent developments in bootstrap methods for dependent data 0 0 0 4 0 1 11 37
Recent developments in bootstrap methods for dependent data 0 0 0 11 1 1 6 43
Similarity Issues in Cointegration Analysis 0 0 0 113 2 6 15 308
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 2 4 11 158
TESTING GARCH-X TYPE MODELS 0 0 0 10 0 1 8 32
THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL 0 0 0 26 1 1 6 98
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 2 69 2 7 21 242
The ACR Model: A Multivariate Dynamic Mixture Autoregression* 0 0 0 91 3 12 31 393
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 0 0 0 9 0 1 9 41
Trend stationarity in the I(2) cointegration model 0 1 3 88 1 5 14 243
Unit root vector autoregression with volatility induced stationarity 0 0 0 17 6 7 13 68
Vector equilibrium correction models with non-linear discontinuous adjustments 0 0 0 150 1 5 20 525
Weak exogeneity in I(2) VAR systems 0 0 0 56 0 0 5 173
Total Journal Articles 0 2 24 2,014 77 166 555 7,637
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