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 0 4 12 116
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 0 2 11 48
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 0 0 0 149 0 4 15 136
An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application 0 0 0 54 0 1 16 176
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application 0 0 0 42 0 5 11 105
Autoregressive conditional root model 0 0 0 190 0 4 16 866
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 0 0 1 20 0 5 23 113
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 0 0 1 99 2 4 16 246
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 0 5 15 200
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 0 2 13 104
Bootstrap Inference for Hawkes and General Point Processes 0 1 1 40 2 8 19 75
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 0 3 12 387
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 0 5 8 143
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 1 2 8 69
Bootstrap inference for Hawkes and general point processes 0 0 0 0 0 2 16 33
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 0 6 12 31
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 0 4 18 124
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 0 238 0 3 8 489
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 0 4 14 191
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 1 1 52 0 4 12 66
Dynamic Conditional Eigenvalue GARCH 0 0 0 72 0 2 11 109
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 23 0 1 13 78
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 1 127 0 2 13 228
Likelihood Ratio Testing for Cointegration Ranks in I(2) Models 0 0 0 118 0 1 6 456
Likelihood-Based Inference in Nonlinear Error-Correction Models 0 0 0 151 0 4 12 342
MinP Score Tests with an Inequality Constrained Parameter Space 0 0 1 22 0 1 16 85
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 0 2 14 471
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 40 1 2 10 233
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 154 0 2 4 556
Nonstationary ARCH and GARCH with t-Distributed Innovations 0 0 0 45 0 1 8 84
Nonstationary ARCH and GARCH with t-distributed Innovations 0 0 0 25 0 3 4 65
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 79 0 4 15 163
Poisson Autoregression 0 0 0 360 0 2 16 1,009
Poisson Autoregression 0 0 1 115 0 6 20 349
Specification tests for GARCH processes 0 0 0 6 0 2 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 7 11 164
THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT 0 0 0 23 0 5 14 66
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 0 2 8 98
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 0 2 8 454
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 0 4 17 576
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 0 3 15 392
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 1 4 15 175
The ACR model: a multivariate dynamic mixture autoregression 0 0 0 195 0 4 12 782
The Autoregressive Conditional Root (ACR) Model 0 0 0 39 0 4 12 129
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 20 2 8 20 54
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 54 0 1 14 110
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 0 11 0 4 12 31
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 1 14 0 1 10 241
Trend-Stationarity in the I(2) Cointegration Model 0 0 0 1 0 2 19 661
Unit Root Vector Autoregression with volatility Induced Stationarity 0 0 0 49 0 3 6 121
Unit root vector autoregression with volatility induced stationarity 0 0 0 23 1 9 12 124
Total Working Papers 0 2 10 4,090 10 175 664 12,253

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 10 67
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH 0 0 0 97 1 1 9 246
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 0 1 87 0 3 9 252
An I(2) cointegration model with piecewise linear trends 0 0 0 0 0 1 9 121
Approximate Conditional Unit Root Inference 0 0 0 0 0 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 0 2 6 407
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 3 5 19 376
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 0 1 9 65
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 0 131 1 5 29 512
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 1 1 3 157 1 2 23 331
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 0 0 2 26 0 1 21 87
Bootstrapping non-stationary stochastic volatility 0 1 1 7 0 2 9 48
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 0 0 0 59 1 5 17 174
Cointegration rank inference with stationary regressors in VAR models 0 0 0 1 0 3 8 959
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 1 1 4 0 3 11 36
Estimation and Asymptotic Inference in the AR-ARCH Model 0 0 1 26 0 2 15 97
Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions 0 0 1 42 2 3 15 118
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 0 2 42 0 6 27 156
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 0 81 0 6 18 241
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 1 136 1 8 26 371
Multivariate variance targeting in the BEKK–GARCH model 0 1 1 17 0 1 7 118
Nonstationary GARCH with t-distributed innovations 0 0 0 12 1 5 16 65
ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS 0 0 0 60 0 6 16 178
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 1 1 5 0 5 9 34
Poisson Autoregression 0 0 2 38 1 2 26 137
Purchasing power parity: A nonlinear multivariate perspective 0 0 1 25 0 4 15 72
Recent developments in bootstrap methods for dependent data 1 1 1 12 1 3 8 45
Recent developments in bootstrap methods for dependent data 0 0 0 4 0 1 11 38
Similarity Issues in Cointegration Analysis 0 0 0 113 0 2 15 308
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 0 2 10 158
TESTING GARCH-X TYPE MODELS 0 0 0 10 0 0 8 32
THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL 0 0 0 26 0 1 6 98
Testing for co-integration in vector autoregressions with non-stationary volatility 0 1 2 70 0 3 19 243
The ACR Model: A Multivariate Dynamic Mixture Autoregression* 0 0 0 91 0 4 28 394
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 0 0 0 9 0 0 8 41
Trend stationarity in the I(2) cointegration model 0 0 2 88 1 2 14 244
Unit root vector autoregression with volatility induced stationarity 0 0 0 17 1 7 12 69
Vector equilibrium correction models with non-linear discontinuous adjustments 0 0 0 150 0 1 16 525
Weak exogeneity in I(2) VAR systems 0 0 0 56 1 3 8 176
Total Journal Articles 2 7 23 2,021 16 112 552 7,672
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