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 1 105 0 1 11 117
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 1 3 18 139
An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application 0 0 0 54 1 1 17 177
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application 0 0 0 42 1 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 1 99 0 2 16 246
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 2 2 14 106
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 0 0 15 200
Bootstrap Inference for Hawkes and General Point Processes 0 0 1 40 1 3 18 76
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 0 0 10 387
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 1 1 1 71 2 2 9 145
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 0 1 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 1 2 19 126
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 5 5 15 36
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 0 238 1 2 10 491
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 2 2 16 193
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 0 1 52 1 1 13 67
Dynamic Conditional Eigenvalue GARCH 0 0 0 72 0 0 11 109
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 1 127 0 0 13 228
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 23 0 0 13 78
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 1 4 16 346
MinP Score Tests with an Inequality Constrained Parameter Space 0 0 0 22 2 2 15 87
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 2 2 16 473
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 40 1 2 9 234
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 154 3 3 7 559
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 0 0 4 65
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 79 0 0 14 163
Poisson Autoregression 0 0 1 115 2 2 22 351
Poisson Autoregression 0 1 1 361 0 1 17 1,010
Specification tests for GARCH processes 0 0 0 41 0 0 16 108
Specification tests for GARCH processes 0 0 0 6 0 0 6 21
TESTING GARCH-X TYPE MODELS 0 0 0 76 1 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 0 125 0 0 8 454
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 1 1 9 99
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 2 2 19 578
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 0 0 15 392
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 0 1 15 175
The ACR model: a multivariate dynamic mixture autoregression 0 0 0 195 0 2 13 784
The Autoregressive Conditional Root (ACR) Model 0 0 0 39 0 7 16 136
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 20 0 2 20 54
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 54 0 0 13 110
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 1 11 242
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 1 7 122
Unit root vector autoregression with volatility induced stationarity 0 0 0 23 0 1 12 124
Total Working Papers 1 4 12 4,094 35 65 692 12,308

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 3 11 70
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH 0 0 0 97 0 1 9 246
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 0 0 87 0 0 7 252
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 1 3 8 29
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case 0 0 0 109 1 1 7 408
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 1 5 20 378
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 1 29 512
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 1 2 157 0 2 20 332
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 0 0 1 26 0 0 18 87
Bootstrapping non-stationary stochastic volatility 0 0 1 7 0 2 10 50
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 1 1 1 60 2 3 18 176
Cointegration rank inference with stationary regressors in VAR models 0 0 0 1 1 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 0 0 13 97
Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions 0 0 1 42 0 2 15 118
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 0 1 42 1 1 23 157
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 0 81 1 6 23 247
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 2 3 138 1 4 28 374
Multivariate variance targeting in the BEKK–GARCH model 0 0 1 17 1 3 10 121
Nonstationary GARCH with t-distributed innovations 0 0 0 12 0 2 13 66
ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS 0 0 0 60 0 0 16 178
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 1 5 3 3 12 37
Poisson Autoregression 0 0 1 38 1 2 25 138
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 0 4 0 0 9 38
Recent developments in bootstrap methods for dependent data 0 1 1 12 0 1 8 45
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 7 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 1 4 21 247
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 2 10 43
Trend stationarity in the I(2) cointegration model 0 0 1 88 0 1 12 244
Unit root vector autoregression with volatility induced stationarity 0 0 0 17 0 7 18 75
Vector equilibrium correction models with non-linear discontinuous adjustments 0 0 0 150 1 7 23 532
Weak exogeneity in I(2) VAR systems 0 0 0 56 0 1 7 176
Total Journal Articles 1 6 18 2,025 18 77 569 7,733
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