Access Statistics for Anders Rahbek

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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 1 3 103 0 2 5 101
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 36
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 2 6 11 145 3 7 15 115
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 1 42 0 0 2 94
Autoregressive conditional root model 0 0 0 190 0 0 0 850
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 0 1 3 19 1 4 14 89
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 1 1 1 98 2 2 4 228
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 0 1 1 185
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 0 0 1 91
Bootstrap Inference for Hawkes and General Point Processes 0 0 0 39 1 2 3 56
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 0 0 1 134
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 1 1 4 375
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 1 2 2 61
Bootstrap inference for Hawkes and general point processes 0 0 0 0 0 1 3 17
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 0 0 0 105
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 0 0 1 18
Co-integration Rank Testing under Conditional Heteroskedasticity 1 1 1 238 1 1 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 1 51 0 0 5 53
Dynamic Conditional Eigenvalue GARCH 0 0 2 72 0 0 4 95
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 23 0 0 1 65
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 126 0 0 1 214
Likelihood Ratio Testing for Cointegration Ranks in I(2) Models 0 0 0 118 0 1 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 0 3 17 1 7 14 58
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 0 0 2 456
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 0 0 2 222
Nonstationary ARCH and GARCH with t-Distributed Innovations 0 0 0 45 0 0 2 76
Nonstationary ARCH and GARCH with t-distributed Innovations 0 0 0 25 0 0 2 61
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 1 79 0 0 1 148
Poisson Autoregression 0 0 2 114 0 0 2 327
Poisson Autoregression 0 0 0 360 0 0 5 992
Specification tests for GARCH processes 0 0 1 6 0 1 2 15
Specification tests for GARCH processes 0 0 2 40 0 1 8 90
TESTING GARCH-X TYPE MODELS 0 0 0 76 0 0 2 153
THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT 0 0 0 23 1 1 2 52
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 0 0 0 90
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 0 0 1 446
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 0 234 0 0 0 559
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 2 2 2 159
The ACR model: a multivariate dynamic mixture autoregression 0 0 0 195 1 2 6 768
The Autoregressive Conditional Root (ACR) Model 0 0 1 39 0 0 2 117
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 20 2 3 6 34
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 54 1 1 3 94
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 0 13 1 2 2 231
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 0 11 0 0 0 18
Trend-Stationarity in the I(2) Cointegration Model 0 0 0 1 0 0 7 641
Unit Root Vector Autoregression with volatility Induced Stationarity 0 0 0 49 1 1 2 115
Unit root vector autoregression with volatility induced stationarity 0 0 0 23 0 0 2 112
Total Working Papers 4 10 33 4,071 20 45 149 11,543

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 0 57
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH 0 0 2 96 1 1 4 235
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 1 2 86 1 2 5 243
An I(2) cointegration model with piecewise linear trends 0 0 0 0 0 1 2 112
Approximate Conditional Unit Root Inference 0 0 0 0 1 1 1 3
Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions 0 0 0 3 0 0 2 20
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 0 0 355
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 0 0 0 54
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 2 131 1 2 8 482
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 1 2 154 1 2 5 308
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 0 0 2 21 1 2 12 60
Bootstrapping non-stationary stochastic volatility 0 0 1 6 0 0 6 37
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 1 1 2 58 2 3 5 155
Cointegration rank inference with stationary regressors in VAR models 0 0 0 1 1 2 4 947
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 2 3 0 0 3 25
Estimation and Asymptotic Inference in the AR-ARCH Model 0 0 0 25 0 0 0 82
Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions 0 1 1 41 0 1 2 103
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 0 1 40 0 0 2 127
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 2 80 1 1 8 222
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 2 5 134 2 7 14 342
Multivariate variance targeting in the BEKK–GARCH model 0 0 1 16 3 3 7 109
Nonstationary GARCH with t-distributed innovations 0 0 0 12 1 1 3 48
ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS 1 1 2 60 1 1 4 160
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 1 1 2 4 2 3 6 25
Poisson Autoregression 0 0 1 33 1 2 5 108
Purchasing power parity: A nonlinear multivariate perspective 0 0 0 24 0 1 2 57
Recent developments in bootstrap methods for dependent data 0 0 0 4 0 0 1 26
Recent developments in bootstrap methods for dependent data 0 0 1 11 0 0 1 37
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 0 1 147
TESTING GARCH-X TYPE MODELS 0 0 1 10 0 0 1 24
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 0 0 67 0 2 4 220
The ACR Model: A Multivariate Dynamic Mixture Autoregression* 0 0 1 91 2 7 38 358
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 1 1 2 9 2 2 4 32
Trend stationarity in the I(2) cointegration model 0 0 0 85 0 0 1 229
Unit root vector autoregression with volatility induced stationarity 0 0 2 17 0 0 4 55
Vector equilibrium correction models with non-linear discontinuous adjustments 0 0 0 150 2 8 34 500
Weak exogeneity in I(2) VAR systems 0 0 1 56 0 0 1 168
Total Journal Articles 4 9 39 1,986 26 55 201 7,058
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Statistics updated 2025-03-03