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 3 105 2 3 10 109
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 1 3 4 40
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 0 0 10 149 0 1 14 122
An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application 0 0 0 54 1 2 2 162
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 1 2 2 852
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 1 1 2 20 2 4 10 95
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 0 1 2 99 1 4 8 234
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 1 1 2 186
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 2 4 5 96
Bootstrap Inference for Hawkes and General Point Processes 0 0 0 39 0 0 4 58
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 0 1 4 378
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 1 2 4 138
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 1 1 3 62
Bootstrap inference for Hawkes and general point processes 0 0 0 0 2 2 3 19
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 0 0 3 21
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 0 1 3 108
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 1 238 2 2 3 483
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 0 2 2 179
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 0 0 51 0 1 2 55
Dynamic Conditional Eigenvalue GARCH 0 0 0 72 1 4 7 102
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 126 2 2 3 217
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 0 5 22 0 3 24 75
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 1 7 8 464
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 40 2 2 5 227
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 154 0 0 0 552
Nonstationary ARCH and GARCH with t-Distributed Innovations 0 0 0 45 2 3 4 80
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 4 5 153
Poisson Autoregression 0 0 0 114 2 7 9 336
Poisson Autoregression 0 0 0 360 1 5 6 998
Specification tests for GARCH processes 0 0 0 6 0 0 1 15
Specification tests for GARCH processes 0 0 1 41 4 5 8 97
TESTING GARCH-X TYPE MODELS 0 0 0 76 0 0 1 154
THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT 0 0 0 23 2 3 5 56
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 0 1 1 91
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 1 2 2 448
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 2 5 5 382
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 7 8 8 567
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 3 3 6 163
The ACR model: a multivariate dynamic mixture autoregression 0 0 0 195 1 2 7 773
The Autoregressive Conditional Root (ACR) Model 0 0 0 39 0 0 3 120
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 20 0 0 3 34
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 54 2 3 7 100
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 1 1 14 2 4 6 235
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 0 11 2 3 4 22
Trend-Stationarity in the I(2) Cointegration Model 0 0 0 1 0 3 5 646
Unit Root Vector Autoregression with volatility Induced Stationarity 0 0 0 49 0 2 3 117
Unit root vector autoregression with volatility induced stationarity 0 0 0 23 0 0 0 112
Total Working Papers 2 4 25 4,086 54 117 235 11,733

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 1 3 60
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH 0 0 1 97 0 2 5 239
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 0 2 87 0 1 5 246
An I(2) cointegration model with piecewise linear trends 0 0 0 0 0 3 4 115
Approximate Conditional Unit Root Inference 0 0 0 0 1 2 3 5
Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions 0 0 0 3 0 0 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 1 3 6 361
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 0 1 4 58
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 0 131 4 7 10 490
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 1 1 3 156 2 6 12 318
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 1 1 5 26 1 4 15 73
Bootstrapping non-stationary stochastic volatility 0 0 0 6 2 3 6 43
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 0 0 2 59 3 4 10 162
Cointegration rank inference with stationary regressors in VAR models 0 0 0 1 0 1 8 953
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 0 3 2 2 3 28
Estimation and Asymptotic Inference in the AR-ARCH Model 0 0 1 26 3 3 5 87
Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions 0 1 2 42 1 5 6 108
Inference on co-integration parameters in heteroskedastic vector autoregressions 0 0 1 41 3 7 14 141
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 1 81 0 0 3 224
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 1 4 136 1 7 18 353
Multivariate variance targeting in the BEKK–GARCH model 0 0 0 16 2 2 7 113
Nonstationary GARCH with t-distributed innovations 0 0 0 12 2 2 8 55
ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS 0 0 1 60 1 1 4 163
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 1 4 0 1 4 26
Poisson Autoregression 0 1 5 38 3 13 20 126
Purchasing power parity: A nonlinear multivariate perspective 0 0 1 25 2 2 4 60
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 1 1 4 30
Similarity Issues in Cointegration Analysis 0 0 0 113 1 1 1 294
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 1 1 3 150
TESTING GARCH-X TYPE MODELS 0 0 0 10 1 2 3 27
THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL 0 0 0 26 0 1 1 93
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 2 69 0 1 9 227
The ACR Model: A Multivariate Dynamic Mixture Autoregression* 0 0 0 91 7 8 24 375
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 0 0 1 9 0 2 5 35
Trend stationarity in the I(2) cointegration model 0 0 2 87 1 2 5 234
Unit root vector autoregression with volatility induced stationarity 0 0 0 17 1 1 3 58
Vector equilibrium correction models with non-linear discontinuous adjustments 0 0 0 150 5 8 25 517
Weak exogeneity in I(2) VAR systems 0 0 0 56 2 2 3 171
Total Journal Articles 2 5 35 2,012 55 113 274 7,277
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