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 2 104 1 2 7 106
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 0 1 2 37
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 0 1 11 149 0 2 14 121
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 0 42 0 0 0 94
Autoregressive conditional root model 0 0 0 190 0 0 0 850
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 0 0 1 19 1 1 7 91
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 0 0 1 98 0 0 5 230
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 1 1 1 92
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 0 0 1 185
Bootstrap Inference for Hawkes and General Point Processes 0 0 0 39 0 2 4 58
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 1 2 2 136
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 2 2 5 377
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 0 0 2 61
Bootstrap inference for Hawkes and general point processes 0 0 0 0 0 0 2 17
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 1 1 2 107
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 2 2 3 21
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 1 238 0 0 1 481
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 0 0 0 177
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 0 0 51 0 0 2 54
Dynamic Conditional Eigenvalue GARCH 0 0 0 72 0 0 4 98
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 126 0 0 1 215
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 23 0 0 0 65
Likelihood Ratio Testing for Cointegration Ranks in I(2) Models 0 0 0 118 0 0 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 4 6 22 1 6 26 72
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 0 0 2 457
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 154 0 0 1 552
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 40 1 2 3 225
Nonstationary ARCH and GARCH with t-Distributed Innovations 0 0 0 45 1 1 1 77
Nonstationary ARCH and GARCH with t-distributed Innovations 0 0 0 25 0 0 0 61
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 79 0 1 1 149
Poisson Autoregression 0 0 0 114 0 1 2 329
Poisson Autoregression 0 0 0 360 0 0 2 993
Specification tests for GARCH processes 0 0 1 6 0 0 2 15
Specification tests for GARCH processes 0 1 1 41 0 1 4 92
TESTING GARCH-X TYPE MODELS 0 0 0 76 0 1 2 154
THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT 0 0 0 23 0 1 2 53
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 0 0 0 446
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 0 234 0 0 0 559
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 0 0 1 377
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 0 0 3 160
The ACR model: a multivariate dynamic mixture autoregression 0 0 0 195 1 1 6 771
The Autoregressive Conditional Root (ACR) Model 0 0 0 39 3 3 4 120
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 20 0 0 4 34
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 54 1 2 4 97
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 0 11 0 0 1 19
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 0 13 0 0 2 231
Trend-Stationarity in the I(2) Cointegration Model 0 0 0 1 0 1 6 643
Unit Root Vector Autoregression with volatility Induced Stationarity 0 0 0 49 0 0 1 115
Unit root vector autoregression with volatility induced stationarity 0 0 0 23 0 0 2 112
Total Working Papers 1 7 24 4,082 17 37 148 11,616

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 1 2 2 59
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH 0 0 1 97 0 0 3 237
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 1 3 87 0 2 6 245
An I(2) cointegration model with piecewise linear trends 0 0 0 0 0 0 2 112
Approximate Conditional Unit Root Inference 0 0 0 0 0 0 1 3
Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions 0 0 0 3 0 1 1 21
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case 0 0 0 109 0 0 0 401
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 0 3 3 358
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 0 2 3 57
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 0 131 0 0 4 483
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 1 2 155 1 4 7 312
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 0 2 4 25 1 5 12 69
Bootstrapping non-stationary stochastic volatility 0 0 0 6 1 1 5 40
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 0 0 3 59 0 1 8 158
Cointegration rank inference with stationary regressors in VAR models 0 0 0 1 1 5 8 952
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 0 3 0 1 1 26
Estimation and Asymptotic Inference in the AR-ARCH Model 1 1 1 26 1 2 2 84
Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions 0 0 1 41 0 0 1 103
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 1 1 41 3 5 8 134
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 1 81 0 1 4 224
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 1 5 135 0 2 16 346
Multivariate variance targeting in the BEKK–GARCH model 0 0 0 16 0 0 6 111
Nonstationary GARCH with t-distributed innovations 0 0 0 12 2 4 6 53
ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS 0 0 1 60 0 1 4 162
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 1 4 0 0 3 25
Poisson Autoregression 1 2 4 37 1 3 8 113
Purchasing power parity: A nonlinear multivariate perspective 0 1 1 25 0 1 2 58
Recent developments in bootstrap methods for dependent data 0 0 0 11 0 0 0 37
Recent developments in bootstrap methods for dependent data 0 0 0 4 0 3 3 29
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 1 2 149
TESTING GARCH-X TYPE MODELS 0 0 1 10 1 1 2 25
THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL 0 0 1 26 0 0 1 92
Testing for co-integration in vector autoregressions with non-stationary volatility 0 1 2 69 0 4 8 226
The ACR Model: A Multivariate Dynamic Mixture Autoregression* 0 0 1 91 0 3 24 367
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 0 0 1 9 0 1 3 33
Trend stationarity in the I(2) cointegration model 0 2 2 87 0 3 4 232
Unit root vector autoregression with volatility induced stationarity 0 0 2 17 0 2 5 57
Vector equilibrium correction models with non-linear discontinuous adjustments 0 0 0 150 0 2 22 509
Weak exogeneity in I(2) VAR systems 0 0 1 56 0 1 2 169
Total Journal Articles 2 13 40 2,007 13 67 202 7,164
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