Anders Rahbek

University of Copenhagen - Department of Statistics and Operations Research

Universitetsparken 5

DK-2100

Denmark

University of Copenhagen - Department of Economics

Øster Farimagsgade 5

Bygning 26

1353 Copenhagen K.

Denmark

SCHOLARLY PAPERS

31

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59

CROSSREF CITATIONS

71

Scholarly Papers (31)

1.
Downloads 165 (189,229)
Citation 9

Poisson Autoregression

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 08-35
Number of pages: 38 Posted: 24 Feb 2009
University of Cyprus - Department of Mathematics and Statistics, University of Copenhagen - Department of Statistics and Operations Research and University of Bergen - Faculty of Mathematics and Natural Sciences
Downloads 165 (189,394)
Citation 9

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Poisson Autoregression

Posted: 24 Mar 2009
University of Cyprus - Department of Mathematics and Statistics, University of Copenhagen - Department of Statistics and Operations Research and University of Bergen - Faculty of Mathematics and Natural Sciences

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asymptotic theory, count data, generalized linear models, geometric ergodicity, integer GARCH, likelihood, noncanonical link function, observation driven models, Poisson regression, irreducibility

The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Institute for New Economic Thinking Working Paper Series No. 59
Number of pages: 39 Posted: 29 Jun 2017
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 60 (378,848)

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Asset-Price Movements, Model Ambiguity, Models with Time-Varying Parameters, REH, Behavioral Finance, GAS Models

The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Number of pages: 38 Posted: 23 Jun 2017
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 51 (409,838)

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Asset-Price Movements, Model Ambiguity, Models with Time-Varying Parameters, REH, Behavioral Finance, GAS Models

The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Institute for New Economic Thinking Working Paper Series No. 59
Number of pages: 39 Posted: 13 Sep 2017
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 30 (502,324)

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Asset-Price Movements, Model Ambiguity, Models with Time-Varying Parameters, REH, Behavioral Finance, GAS Models

The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth’s Consistency Constraint in Modeling Aggregate Outcomes

Number of pages: 55 Posted: 15 Mar 2019
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 64 (366,280)

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Unforeseeable Change; Knightian Uncertainty; Muth’s Hypothesis; Model Ambiguity; REH; Behavioral Finance

The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth’s Consistency Constraint in Modeling Aggregate Outcomes

Institute for New Economic Thinking Working Paper Series No. 92 (2019)
Number of pages: 62 Posted: 05 Mar 2019
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 47 (424,825)

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Unforeseeable Change; Knightian Uncertainty; Muth’s Hypothesis; Model Ambiguity; REH; Behavioral Finance

4.

Testing for Co-Integration in Vector Autoregressions with Non-Stationary Volatility

CREATES Research Paper No. 2008-50, Univ. of Copenhagen Dept. of Economics Discussion Paper No. 08-34
Number of pages: 39 Posted: 03 Oct 2008
Giuseppe Cavaliere, Anders Rahbek and Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Essex - Essex Business SchoolUniversity of Essex
Downloads 108 (263,464)
Citation 19

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Co-integration, non-stationary volatility, trace and maximum eigenvalue tests, wild bootstrap

5.

Asymptotics of the QMLE for General Arch(Q) Models

Number of pages: 37 Posted: 14 Oct 2005
Dennis Kristensen and Anders Rahbek
University College London and University of Copenhagen - Department of Statistics and Operations Research
Downloads 101 (275,997)
Citation 3

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ARCH, QMLE, consistency, asymptotic normality

Multivariate Variance Targeting in the BEKK-GARCH Model

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-23
Number of pages: 34 Posted: 21 Nov 2012
Rasmus Pedersen and Anders Rahbek
University of Copenhagen - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 85 (310,854)
Citation 2

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Multivariate Variance Targeting in the BEKK–GARCH Model

The Econometrics Journal, Vol. 17, Issue 1, pp. 24-55, 2014
Number of pages: 32 Posted: 19 Feb 2014
Rasmus Pedersen and Anders Rahbek
University of Copenhagen - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 1 (714,406)
Citation 1
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Asymptotic theory, BEKK, Covariance targeting, Multivariate GARCH, Time series, Variance targeting

Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-07
Number of pages: 24 Posted: 12 Feb 2010
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 45 (432,809)
Citation 1

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co-integration, trace test, sequential rank determination, i.i.d. bootstrap, wild bootstrap

Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models

CREATES Research Paper No. 2010-7
Number of pages: 25 Posted: 11 Feb 2010
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 31 (496,909)

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Co-integration, trace test, sequential rank determination, i.i.d.bootstrap, wild bootstrap

8.

Likelihood-Based Inference in Nonlinear Error-Correction Models

CREATES Research Paper No. 2007-38
Number of pages: 44 Posted: 04 Feb 2008
Anders Rahbek and Dennis Kristensen
University of Copenhagen - Department of Statistics and Operations Research and University College London
Downloads 73 (336,934)
Citation 2

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error correction, geometric ergodicity, maximum likelihood, nonlinear

9.

Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-25
Number of pages: 44 Posted: 10 Oct 2010
Dennis Kristensen and Anders Rahbek
University College London and University of Copenhagen - Department of Statistics and Operations Research
Downloads 65 (358,705)
Citation 2

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10.

Unit Root Vector Autoregression with Volatility Induced Stationarity

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-02
Number of pages: 37 Posted: 13 Jun 2012
Anders Rahbek and Heino Bohn Nielsen
University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 56 (386,262)
Citation 3

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vector autoregression, unit-root, reduced rank, volatility induced stationarity, term structure, double autoregression

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Tinbergen Institute 13-187/III
Number of pages: 53 Posted: 27 Nov 2013
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Essex - Essex Business SchoolUniversity of Essex
Downloads 34 (481,505)

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co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 13-13
Number of pages: 52 Posted: 28 Nov 2013
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Essex - Essex Business SchoolUniversity of Essex
Downloads 17 (585,697)
Citation 3

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Co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap

12.

Co-Integration Rank Testing under Conditional Heteroskedasticity

CREATES Research Paper No. 2009-22
Number of pages: 48 Posted: 28 May 2009
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 48 (413,539)
Citation 9

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Co-integration, trace and maximum eigenvalue rank tests, conditional heteroskedasticity, i.i.d. bootstrap, wild bootstrap

13.

Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-11
Number of pages: 37 Posted: 05 Sep 2012
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 46 (420,977)
Citation 13

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Bootstrap, Co-integration, Trace statistic, Rank determination, heteroskedasticity

14.

Testing Garch-X Type Models

Number of pages: 35 Posted: 26 Aug 2017
Rasmus Pedersen and Anders Rahbek
University of Copenhagen - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 33 (474,794)
Citation 1

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Testing on the Boundary; Likelihood-Ratio Test; Non-Identification; GARCH-X; PAR-X; GARCH Models; Integer-Valued

15.

Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models

Number of pages: 36 Posted: 05 Dec 2018
University of Bologna - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Downloads 28 (499,806)
Citation 2

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Inference on the boundary, Nuisance parameters on the boundary, ARCH models, Bootstrap

16.

Nonstationary ARCH and GARCH with t-Distributed Innovations

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 15-07
Number of pages: 29 Posted: 25 Apr 2015
Rasmus Pedersen and Anders Rahbek
University of Copenhagen - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 28 (499,806)

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ARCH, GARCH, asymptotic normality, asymptotic theory, consistency, t-distribution, maximum likelihood, nonstationarity

17.

A Primer on Bootstrap Testing of Hypotheses in Time Series Models: With an Application to Double Autoregressive Models

Number of pages: 49 Posted: 02 May 2019
Giuseppe Cavaliere and Anders Rahbek
University of Bologna - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 27 (505,170)

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Bootstrap; Hypothesis testing; Double-autoregressive models; Parameter on the boundary; Infinite variance

18.

An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application

University of Copenhagen Department of Economics Discussion Papers No. 09-13
Number of pages: 27 Posted: 25 Jul 2009
affiliation not provided to SSRN, University of Copenhagen - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 21 (540,251)

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cointegration, I(2), piecewise linear trends, likelihood analysis, US consumption

19.

Dynamic Conditional Eigenvalue GARCH

Number of pages: 55 Posted: 09 Jan 2020
University of Copenhagen - Department of Economics, University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Downloads 15 (577,392)

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Multivariate GARCH; GO-GARCH; Reduced Rank; Asymptotic Theory

20.

Vector Equilibrium Correction Models with Non-Linear Discontinuous Adjustments

Econometrics Journal, Vol. 7, No. 2, pp. 628-651, December 2004
Number of pages: 24 Posted: 14 Dec 2004
Frederique Bec and Anders Rahbek
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and University of Copenhagen - Department of Statistics and Operations Research
Downloads 15 (577,392)
Citation 1
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21.

Approximate Conditional Unit Root Inference

Journal of Time Series Analysis, Vol. 23, pp. 1-28, 2002
Number of pages: 28 Posted: 22 Nov 2002
Anders Rahbek and Henrik Hansen
University of Copenhagen - Department of Statistics and Operations Research and Institute of Food and Resource Economics
Downloads 13 (590,444)
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Conditional likelihood, unit roots, profile likelihood, likelihood ratio test, small-sample corrections, Bartlett corrections

22.

Bootstrapping Non-Stationary Stochastic Volatility

Tinbergen Institute Discussion Paper 2019-083/III
Number of pages: 38 Posted: 17 Dec 2019
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Bologna and University of Copenhagen - Department of Statistics and Operations Research
Downloads 8 (623,994)

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Bootstrap, Non-stationary stochastic volatility, Random limit measures, Weak convergence in Distribution

23.

An I(2) Cointegration Model with Piecewise Linear Trends

The Econometrics Journal, Vol. 14, Issue 2, pp. 131-155, 2011
Number of pages: 25 Posted: 08 Jun 2011
Fukuoka University, affiliation not provided to SSRN and University of Copenhagen - Department of Statistics and Operations Research
Downloads 2 (669,161)
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Cointegration, I(2), Likelihood analysis, Piecewise linear trends, Rank test, US consumption.

24.

The Fixed Volatility Bootstrap for a Class of Arch() Models

Journal of Time Series Analysis, Vol. 39, Issue 6, pp. 920-941, 2018
Number of pages: 22 Posted: 07 Oct 2018
University of Bologna - Department of Economics, University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Downloads 1 (681,130)
Citation 1
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ARCH, fixed Volatility bootstrap, hypothesis testing

25.

The ACR Model: A Multivariate Dynamic Mixture Autoregression

Oxford Bulletin of Economics and Statistics, Vol. 70, Issue 5, pp. 583-618, October 2008
Number of pages: 36 Posted: 16 Sep 2008
Frédérique Bec, Anders Rahbek and Neil Shephard
University of Cergy-Pontoise, University of Copenhagen - Department of Statistics and Operations Research and Harvard University
Downloads 1 (681,130)
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26.

On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space

Journal of Time Series Analysis, Vol. 38, Issue 4, pp. 513-534, 2017
Number of pages: 22 Posted: 03 Jun 2017
University of Bologna - Department of Economics, University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Downloads 0 (698,456)
Citation 2
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bootstrap, boundary, ARCH, location model

27.

Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components

Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 272-289, 2015
Number of pages: 18 Posted: 24 Apr 2015
Giuseppe Cavaliere, Anders Rahbek and Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Essex - Essex Business SchoolUniversity of Essex
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Bootstrap, co‐integration, trace statistic, rank determination, unrestricted constant, unrestricted trend

28.

A Comparison of Sequential and Information‐Based Methods for Determining the Co‐Integration Rank in Heteroskedastic VAR Models

Oxford Bulletin of Economics and Statistics, Vol. 77, Issue 1, pp. 106-128, 2015
Number of pages: 23 Posted: 07 Jan 2015
University of Bologna - Department of Economics, University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Essex - Essex Business SchoolUniversity of Essex
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29.

Purchasing Power Parity: A Nonlinear Multivariate Approach

Economics Bulletin, Vol. 6, No. 39, pp. 1-6, 2008
Posted: 21 Mar 2009
Frederique Bec, Melika Ben Salem and Anders Rahbek
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Université Paris-Est Marne la Vallée (UPEMLV) and University of Copenhagen - Department of Statistics and Operations Research

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Real exchange rate, threshold vector equilibrium correction model

30.

Non-Stationary and No Moments Asymptotics of the Arch Model

U of Copenhagen, Statistics and Operations Research Working Paper No. 12
Posted: 15 Nov 2002
Anders Rahbek and Soren Tolver Jensen
University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen

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ARCH, Asymptotics, Non-stationary, ergodicity

31.

Autoregressive Conditional Root Model

Nuffield College, Economics Working Paper No. 2002-W7
Posted: 19 Mar 2002
Anders Rahbek and Neil Shephard
University of Copenhagen - Department of Statistics and Operations Research and Harvard University

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Cointegration, Equilibrium correction model, GARCH, Hidden Markov model, Likelihood, Regime switching, STAR model, Stochastic break, Stochastic unit root, Switching regression, Real Exchange Rate, PPP, Unit root hypothesis