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 0 8 109
A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models 0 0 0 4 3 6 10 46
AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS 0 0 4 149 1 7 14 129
An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application 0 0 0 54 0 13 15 175
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application 0 0 0 42 0 5 5 99
Autoregressive conditional root model 0 0 0 190 4 10 12 862
BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES 0 0 1 20 2 13 19 108
BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS 0 0 1 99 0 6 12 240
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 48 3 8 9 194
Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models 0 0 0 40 2 6 11 102
Bootstrap Inference for Hawkes and General Point Processes 0 0 0 39 2 7 9 65
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 143 3 6 9 384
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models 0 0 0 70 0 0 4 138
Bootstrap determination of the co-integration rank in VAR models 0 0 0 3 1 5 6 67
Bootstrap inference for Hawkes and general point processes 0 0 0 0 0 10 12 29
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 4 0 3 6 24
Bootstrapping Non-Stationary Stochastic Volatility 0 0 0 67 0 12 15 120
Co-integration Rank Testing under Conditional Heteroskedasticity 0 0 0 238 1 2 4 485
Co-integration rank tests under conditional heteroskedasticity 0 0 0 64 1 5 7 184
Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order 0 0 0 51 1 6 8 61
Dynamic Conditional Eigenvalue GARCH 0 0 0 72 0 5 12 107
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 1 1 1 127 3 9 12 226
Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions 0 0 0 23 3 11 11 76
Likelihood Ratio Testing for Cointegration Ranks in I(2) Models 0 0 0 118 0 5 5 455
Likelihood-Based Inference in Nonlinear Error-Correction Models 0 0 0 151 4 7 7 337
MinP Score Tests with an Inequality Constrained Parameter Space 0 0 5 22 0 8 25 83
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 1 5 13 469
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 40 1 3 8 230
Multivariate Variance Targeting in the BEKK-GARCH Model 0 0 0 154 0 2 2 554
Nonstationary ARCH and GARCH with t-Distributed Innovations 0 0 0 45 0 3 7 83
Nonstationary ARCH and GARCH with t-distributed Innovations 0 0 0 25 0 1 1 62
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 79 2 4 9 157
Poisson Autoregression 0 0 0 360 2 8 14 1,006
Poisson Autoregression 0 1 1 115 3 5 14 341
Specification tests for GARCH processes 0 0 0 6 1 4 4 19
Specification tests for GARCH processes 0 0 1 41 4 9 16 106
TESTING GARCH-X TYPE MODELS 0 0 0 76 0 3 4 157
THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT 0 0 0 23 1 4 8 60
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 1 3 5 451
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 3 5 6 96
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 116 0 7 12 389
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility 0 0 0 234 0 5 13 572
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 0 30 2 7 11 170
The ACR model: a multivariate dynamic mixture autoregression 0 0 0 195 3 3 8 776
The Autoregressive Conditional Root (ACR) Model 0 0 0 39 1 5 8 125
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 20 4 10 10 44
The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes 0 0 0 54 1 9 15 109
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 1 14 2 5 9 240
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment 0 0 0 11 1 4 8 26
Trend-Stationarity in the I(2) Cointegration Model 0 0 0 1 2 13 18 659
Unit Root Vector Autoregression with volatility Induced Stationarity 0 0 0 49 0 1 3 118
Unit root vector autoregression with volatility induced stationarity 0 0 0 23 0 2 2 114
Total Working Papers 1 2 17 4,088 69 305 495 12,038

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 2 7 10 67
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH 0 0 1 97 1 4 8 243
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 0 1 87 0 3 6 249
An I(2) cointegration model with piecewise linear trends 0 0 0 0 1 5 8 120
Approximate Conditional Unit Root Inference 0 0 0 0 0 1 3 6
Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions 0 0 0 3 0 5 6 26
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case 0 0 0 109 0 3 3 404
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 0 8 14 369
Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models 0 0 0 8 3 5 9 63
Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models 0 0 0 131 0 14 22 504
Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models 0 0 2 156 3 8 18 326
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling 0 0 5 26 1 13 26 86
Bootstrapping non-stationary stochastic volatility 0 0 0 6 1 3 9 46
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY 0 0 1 59 1 6 13 168
Cointegration rank inference with stationary regressors in VAR models 0 0 0 1 1 2 8 955
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 0 0 0 3 1 4 7 32
Estimation and Asymptotic Inference in the AR-ARCH Model 0 0 1 26 0 5 10 92
Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions 0 0 1 42 0 6 11 114
Inference on co-integration parameters in heteroskedastic vector autoregressions 1 1 2 42 2 9 23 150
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 1 81 5 10 12 234
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 2 136 0 8 19 361
Multivariate variance targeting in the BEKK–GARCH model 0 0 0 16 0 3 7 116
Nonstationary GARCH with t-distributed innovations 0 0 0 12 2 4 11 59
ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS 0 0 0 60 1 8 11 171
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space 0 0 0 4 0 3 4 29
Poisson Autoregression 0 0 5 38 3 8 26 134
Purchasing power parity: A nonlinear multivariate perspective 0 0 1 25 2 7 10 67
Recent developments in bootstrap methods for dependent data 0 0 0 11 0 5 5 42
Recent developments in bootstrap methods for dependent data 0 0 0 4 0 6 10 36
Similarity Issues in Cointegration Analysis 0 0 0 113 3 11 12 305
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 2 6 9 156
TESTING GARCH-X TYPE MODELS 0 0 0 10 0 4 7 31
THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL 0 0 0 26 0 4 5 97
Testing for co-integration in vector autoregressions with non-stationary volatility 0 0 2 69 3 11 18 238
The ACR Model: A Multivariate Dynamic Mixture Autoregression* 0 0 0 91 5 11 28 386
The Fixed Volatility Bootstrap for a Class of Arch(q) Models 0 0 0 9 0 5 8 40
Trend stationarity in the I(2) cointegration model 1 1 3 88 2 6 11 240
Unit root vector autoregression with volatility induced stationarity 0 0 0 17 1 4 7 62
Vector equilibrium correction models with non-linear discontinuous adjustments 0 0 0 150 3 6 23 523
Weak exogeneity in I(2) VAR systems 0 0 0 56 0 2 5 173
Total Journal Articles 2 2 28 2,014 49 243 462 7,520
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