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

33

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41

Scholarly Papers (33)

1.
Downloads 230 (188,856)
Citation 6

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 230 (188,422)
Citation 6

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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 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 123 (321,156)
Citation 1

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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 57 (511,402)
Citation 1

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

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 64 (482,789)

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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 58 (507,211)

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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 34 (631,384)

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

4.

An Introduction to Bootstrap Theory in Time Series Econometrics

Number of pages: 35 Posted: 28 May 2020
University of Bologna - Department of Economics, University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Downloads 120 (325,475)

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Bootstrap Theory; Bootstrap Implementation; Econometric Time Series Analysis; Testing; Asymptotic Theory; Auto-regressive Models

5.

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
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 116 (333,393)
Citation 22

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

6.

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 111 (343,794)

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

7.

Asymptotics of the QMLE for General Arch(Q) Models

Number of pages: 37 Posted: 14 Oct 2005
University College London and University of Copenhagen - Department of Statistics and Operations Research
Downloads 104 (359,254)
Citation 3

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ARCH, QMLE, consistency, asymptotic normality

8.

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 97 (375,813)
Citation 2

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

9.

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 95 (380,734)
Citation 3

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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 49 (548,058)
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 33 (637,852)
Citation 1

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

11.

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 76 (435,028)
Citation 3

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

12.

Likelihood-Based Inference in Nonlinear Error-Correction Models

CREATES Research Paper No. 2007-38
Number of pages: 44 Posted: 04 Feb 2008
University of Copenhagen - Department of Statistics and Operations Research and University College London
Downloads 76 (435,028)
Citation 3

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error correction, geometric ergodicity, maximum likelihood, nonlinear

13.

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
University College London and University of Copenhagen - Department of Statistics and Operations Research
Downloads 69 (458,282)
Citation 3

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14.

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 66 (468,829)
Citation 4

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

15.

Asset Prices Under Knightian Uncertainty

Institute for New Economic Thinking Working Paper Series No. 172
Number of pages: 34 Posted: 17 Feb 2022
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 65 (472,469)

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Asset Prices, Unforeseeable Change, Knightian Uncertainty, Muth’s Hypothesis, Model Ambiguity, Rational Expectations (REH), Behavioral Finance

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 EssexUniversity of Essex - Essex Business School
Downloads 37 (612,699)
Citation 1

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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 EssexUniversity of Essex - Essex Business School
Downloads 22 (721,624)
Citation 4

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

17.

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 52 (524,844)
Citation 9

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

18.

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 49 (538,226)
Citation 14

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

19.

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 46 (552,285)
Citation 1

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

20.

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 35 (610,485)
Citation 2

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

21.

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 34 (616,379)

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

22.

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 26 (669,120)
Citation 1

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

23.

Bootstrap inference for Hawkes and general point processes

Number of pages: 46 Posted: 13 May 2021
Department of Economics, University of Bologna - Department of Economics, The University of Sydney - School of Economics, University of Copenhagen - Department of Statistics and Operations Research and affiliation not provided to SSRN
Downloads 21 (707,563)

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self-exciting point processes, conditional intensity, bootstrap inference, Hawkes process

24.

Approximate Conditional Unit Root Inference

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 14 (767,927)

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Conditional likelihood, unit roots, profile likelihood, likelihood ratio test, small-sample corrections, Bartlett corrections

25.

Specification Tests for GARCH Processes

Number of pages: 46 Posted: 02 Jun 2021
University of Bologna - Department of Economics, University of Sheffield - Department of Economics and University of Copenhagen - Department of Statistics and Operations Research
Downloads 9 (817,417)

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GARCH model, bootstrap, specification test, Kolmogorov-Smirnov test, Cramér-von Mises test, marked empirical process, nuisance parameters on the boundary,

26.

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
National Institute of Statistics and Economic Studies (INSEE)University of Cergy-Pontoise, University of Copenhagen - Department of Statistics and Operations Research and Harvard University
Downloads 2 (899,760)

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27.

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 (914,276)
Citation 2

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ARCH, fixed Volatility bootstrap, hypothesis testing

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 EssexUniversity of Essex - Essex Business School
Downloads 1 (914,276)

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29.

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 (929,692)
Citation 3

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bootstrap, boundary, ARCH, location model

30.

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
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of EssexUniversity of Essex - Essex Business School
Downloads 0 (929,692)

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Bootstrap, co‐integration, trace statistic, rank determination, unrestricted constant, unrestricted trend

31.

Purchasing Power Parity: A Nonlinear Multivariate Approach

Economics Bulletin, Vol. 6, No. 39, pp. 1-6, 2008
Posted: 21 Mar 2009
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Cergy-Pontoise - THEMA, 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

32.

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

33.

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